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Credit Derivatives Handbook, Vol. 2: A Guide to the Exotics Credit Derivatives Market

Posted on 2010-04-14




Name:Credit Derivatives Handbook, Vol. 2: A Guide to the Exotics Credit Derivatives Market
Language:English
File size:6.3 Mb
Publish Date: 2006
ISBN: : N/A
Pages: 118 pages
File Type: PDF
File Size: 6,3 MB
Other Info: Merrill Lynch
  

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Merrill Lynch, ""

Follows up volume 1 with tranching of CDOs, CDOs of CDOs, etc.

Table of content:

Exotics Credit Derivatives -

Tried and Tested

1.Overview of the exotics credit derivatives market 3

Single Tranche Synthetic CDO

2. A guide to bespoke single-tranches 8

First-to-Default Baskets

3. A guide to usage and valuation 23

Standardized Tranches

4. A guide to the index tranche market 33

Trading Correlation

5. Managing risks in tranche trading 45

Tranche Relative Value Tools

6. Identifying relative value in tranche markets 63

Correlation Strategies

7. Interesting trade ideas in the tranche market 80

Modeling Correlation Products

8. Pricing models for CDOs & FTDs 101

What Correlation?

9. Moving from compound to base correlation and beyond 126

Synthetic CDO^2

10. CDO of CDOs 138

Leveraged Super Senior

11. A guide to synthetic LSS 148

CDO Combination Notes

12. Combining tranches to tailor investor needs 156

CPPI for Debt Investors

13. Principal protection techniques 169

CDS Options

14. Payers and Receivers, trading spread volatility 176

CMCDS

15. Bulish on Credit, Bearish on Spreads 186

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