Timo SchläFer

Structured Credit Products: Credit Derivatives and Synthetic Securitisation Second Edition

Foreword ( Professor Darrell Duffie, Stanford University). Preface. Acknowledgements. About the Author. Prologue: The 2007 2008 credit and liquidity crunch: Impact on structured credit markets. PART I: Credit risk and credit derivative instruments. CHAPTER 1: Credit risk. CHAPTER 2: Credit derivatives I: Unfunded instruments. CHAPTER 3: Credit derivatives II: Funded instruments. CHAPTER 4: Credit analysis and relative value measurement. CHAPTER 5: Credit derivatives III: Applications. CHAPTER 6: Credit derivatives pricing and valuation. CHAPTER 7: Credit default swap pricing. CHAPTER 8: The asset swap credit default swap basis I: The asset swap pricing of credit default swaps. CHAPTER 9: The credit default swap basis II: Analysing the relationship between cash and synthetic markets. CHAPTER 10: Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades. CHAPTER 11: Syndicated loans, loan-only credit default swaps and CDS legal documentation. PART II: Structured credit products and synthetic securitisation. CHAPTER 12: An introduction to securitisation. CHAPTER 13: Synthetic collateralised debt obligations. CHAPTER 14: CDO valuation and cash flow waterfall models. CHAPTER 15: Synthetic conduits and credit derivative funding structures. PART III: CD-R. CHAPTER 16: Files on the accompanying CD-R. Contributing authors. Afterword: Econometrics, finance and football ... Glossary. Index.

1. Credit Risk

At a conceptual level, the credit risk is a component of market risk. It can occur as a result of two causes: the issuing company does not want/can no longer meet its obligations; damage to the issuing companys rating, which results in lowering the price of shares in the company in question. Both of these causes are closely linked with the risk of default that is exposed when the investor invests in shares or bonds of a company.