Credit Derivatives and Structured Credit

Credit derivatives as a financial tool has been growing exponentially from almost nothing more than seven years ago to approximately US$5 trillion deals completed by end of 2005. This indicates the growing importance of credit derivatives in the financial sector and how widely it is being used these days by banks globally. It is also being increasingly used as a device of synthetic securitisation. This significant market trend underscores the need for a book of such a nature. Kothari, an undisputed expert in credit derivatives, explains the subject matter using easy-to-understand terms, presents it in a logical structure, demystifies the technical jargons and blends them into a cohesive whole. This revised book will also include the following: - New credit derivative definitions - New features of the synthetic CDO market - Case studies of leading transactions of synethetic securitisations - Basle II rules - The Consultative Paper 3 has significantly revised the rules, particularly on synthetic CDOs - Additional inputs on legal issues - New clarifications on accounting for credit derivatives/credit linked notes

Vinod Kothari is widely recognized as a specialist in structured finance and credit risk. Author, trainer and consultant, he has been dealing with credit derivatives for over the last seven years, and structured finance for over the last 12 years.

He has several books to his credit, including Securitization: The Financial Instrument of the Future; Securitization, Asset Reconstruction and Enforcement of Security Interests; Lease Financing and Hirepurchase; and Introduction to Securitization (jointly with Frank Fabozzi).

As a trainer, Kothari runs public and private training workshops in structured finance and credit risk areas all over the world, and trains nearly 1,000 executives at all levels. He has handled several consulting assignments for banks, companies and governments. These include complete handholding through a securitization of mortgage receivables, cashflow modeling, valuation, handling a project on financing for affordable housing for a government, and advising regulators on security interest and securitization laws, among others.

Kothari is a chartered accountant, and a company secretary. With a brilliant academic record, Vinod Kothari has been a rankholder at school, college, university and professional examinations.

He is based in Kolkata, India and may be contacted at vinod@vinodkothari.com

Market, instruments and motivations
Structure, evolution and motivations
Appendix: Terminology
The credit derivatives market
Single name Instruments
Credit default swaps
Total rate of return swaps
Credit linked notes
Credit default swaps on asset backed securities
Loan credit default swaps
Credit derivative options and other volatility products
Equity default swaps, recovery swaps, and other exotic instruments
Portfolio products
Introduction to Portfolio products
Introduction to CDOs
Index trades and exchange traded futures
Single tranche CDOs, CPDOs and other CDO innovations
CDO case studies
Credit derivative product companies
Pricing and valuation of credit derivatives
Pricing and valuation of single name credit derivatives
Pricing and valuation of portfolio derivatives
Trading strategies in credit derivatives
Legal, operational and other technical aspects
Legal aspects of credit derivatives
Documentation for credit derivatives
Operational aspects of credit derivatives
Taxation of credit derivative products
Accounting for credit derivatives
Regulatory capital, Basle norms and credit derivatives
Economic capital and credit derivatives
An epilogue that would contain a general commentary on the developments in the market in the wake of subprime
Terminology
Table of Contents provided by Publisher. All Rights Reserved.

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Credit Derivatives and Structured Credit Trading

Summary

Author Biography

Table of Contents

Supplemental Materials