A very good introduction to credit derivatives at the level of
"J.C.Hull - Options, Futures...", as remarked by a reviewer.
This book is also at the level of, but better than the recent text
"Credit Derivatives - A primer on credit risk..." by Chacko et al.
The chapters are short (less than 10 pages mostly),
well organized, clear, gives a good overview, just enough mathematics
and simple numerical examples to fix ideas.
1. Part 1 is chapter 1 to 3, introducing credit derivative (CD) market
and uses of CD.
2. Part 2 is chapter 4 to 14, each describing a type of CD.
Each chapter describing that CD is organized as
a. How does it work ?
b. Common uses.
d. Variations of the basic structure
3. Part 3 is chapter 15 to 18, describing basic elements of credit risk
modeling like valuing defaultable bonds, CDS premium to hazard rates,
structural/reduced form modeling etc.
4. Part 4 is chapter 19 to 23, addressing valuations of portfolio credit
risk (baskets default swaps, portfolio swaps, CDO's ..)
5. Part 5 is chapter 24 & 25 giving CD documentation/regulatory issues.
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