Frank J. Fabozzi
Professor in the Practice of Finance. Yale School of Management
Editor, Journal of Portfolio Management
Vinod Kothari’s book provides the reader with a necessary macro and micro picture of the credit derivatives market. Without an appreciation for each piece of the jigsaw puzzle that is credit derivatives, it is impossible to have an understanding of the whole. This has never been truer than right now in the midst of the greatest financial turmoil in a century. Some blame credit derivatives for either causing or amplifying the crisis; others point out that one of the main tools for fixing the impotency of the banking sector is credit derivatives. To varying degrees, all are correct and therefore few can afford to be connected to the credit markets without a thorough understanding of credit derivatives. Vinod provides a comprehensive picture of the drivers behind the market supplemented by a detailed explanation of why institutions get involved. The extensive product details and the accompanying explanations of legal, regulatory, accounting and operational issues complete the picture and arm the reader well for a foray into this crucial sector of the credit markets.
Robert Reoch
Director, New College Capital Ltd.
Credit derivatives have been the most spectacular financial product of the past 15 years. From an obscure product, traded by professional in small amounts, they have transformed into a mammoth product with notional amounts estimated to be about US$60 trillion (up from US$50 billion in 1994). Vinod Kothari’s new book explains the products in detail and explores the various trading strategies. It does so in an objective and scientific manner. I highly recommend the book to anyone interested in the topic.
Izzy Nelken
President, Super Computer Consulting, Inc.
He has several books to his credit, including Securitization: The Financial Instrument of the Future; Securitization, Asset Reconstruction and Enforcement of Security Interests; Lease Financing and Hirepurchase; and Introduction to Securitization (jointly with Frank Fabozzi).
As a trainer, Kothari runs public and private training workshops in structured finance and credit risk areas all over the world, and trains nearly 1,000 executives at all levels. He has handled several consulting assignments for banks, companies and governments. These include complete handholding through a securitization of mortgage receivables, cashflow modeling, valuation, handling a project on financing for affordable housing for a government, and advising regulators on security interest and securitization laws, among others.
Kothari is a chartered accountant, and a company secretary. With a brilliant academic record, Vinod Kothari has been a rankholder at school, college, university and professional examinations.
He is based in Kolkata, India and may be contacted at vinod@vinodkothari.com
Preface.
PART 1 MARKET, INSTRUMENTS AND MOTIVATIONS.
Chapter 1: Credit derivatives: Structure, evolution, motivations, and economics.
Chapter 2: Credit derivatives: Market, evolution, and current status.
PART 2 SINGLE-NAME INSRTUMENTS.
Chapter 3: Credit default swaps.
Chapter 4: Total rate of return swaps.
Chapter 5: Credit-linked notes.
Chapter 6: Credit default swaps on asset-backed securities and derivatives exposures.
Chapter 7: Loan-only CDS.
Chapter 8: Credit derivatives options and volatility trades.
Chapter 9: Equity default swaps, recovery swaps and other exotic products.
PART 3 PORTFOLIO PRODUCTS.
Chapter 10: Portfolio credit derivatives and introduction to structured credit trading.
Chapter 11: Introduction to collateralized debt obligations.
Chapter 12: Index trades.
Chapter 13: Single-tranche synthetic CDOs, CPDOs, and other CDO innovations.
Chapter 14: CDO case studies.
Chapter 15: Credit derivative product companies.
PART 4 PRICING AND VALUATION OF CREDIT DERIVATIVES.
Chapter 16: Approaches to quantification of credit risk.
Chapter 17: Pricing of a single name credit derivative.
Chapter 18: Pricing of a portfolio credit default swap.
PART 5 LEGAL, REGULATIORY, OPERATIONAL, TAX AND ACCOUNTING ASPECTS.
Chapter 19: Legal aspects of credit derivatives.
Chapter 20: Documentation for credit derivatives.
Chapter 21: Taxation of credit derivatives.
Chapter 22: Accounting for credit derivatives.
Chapter 23: Regulatory capital and other regulations on credit derivatives.
Chapter 24: Operational issues.
Chapter 25: Credit derivatives terminology.
Index.
