美林的金融衍生品手册，绝对好东西

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250316.pdf (1.04 MB, 需要: 5 个论坛币)

2008-9-25 09:46:00 上传

美林的信贷衍生品手册，绝对全
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美林的信贷衍生品手册，绝对全

CONTENTS

Section Page
Market Evolution: Going
Mainstream?
1. Market growth, importance and prospects 3
Credit Default Swap Basics 2. The basic concepts 10
Valuation of Credit Default
Swaps
3. Arbitrage relationship and an introduction to survival probabilities 13
Unwinding Default Swaps 4. Mechanics for terminating contracts 19
Valuing the CDS Basis 5. Comparing CDS with the cash market 29
What Drives the Basis? 6. Why do cash and default market yields diverge? 35
CDS Investor Strategies 7. Using CDS to enhance returns 44
CDS Structural Roadmap 8. Key structural considerations 60
What Price Restructuring? 9. How to value the Restructuring Credit Event 73
First-to-Default Baskets 10. A guide to usage and valuation 84
Synthetic CDO Valuation 11. Mechanics and investment rationale 95
Counterparty Risk 12. Credit risks associated with CDS trades 109
Bank Capital Treatment 13. How the BIS views CDS 114

[此贴子已经被作者于2008-9-25 13:30:56编辑过]

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