A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess?...

We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all...

pt. 1. Expert views -- pt. 2. Credit derivatives : methods -- pt. 3. Credit derivatives : products -- pt. 4. Counterparty risk pricing and credit valuation adjustment -- pt. 5. Equity to credit -- pt. 6. Miscellanea : liquidity, ratings, risk contributions, and simulation.

The recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions. It has become commonplace to blame the inadequacy of credit risk...