The subprime mortgage loan crisis in the US has developed into a broad credit and credit derivatives crisis lately. In previous years the credit derivatives market experienced growth rates of
over 100% per year, outpacing all other derivative segments. This highlights the tremendous demand for credit derivatives, which is likely to remain high despite the current turmoil, but also
shows how vulnerable markets have become with respect to this asset class. Consequently, a comprehensive understanding of the risks and mechanisms of the market is essential. Market
participants who neglect this necessity face large downside risks, while those who have adequate and efficient risk management processes in place will be rewarded with an attractive risk return
profile.
This book aims at providing a reference guide to the credit and credit derivatives universe. It covers topics ranging from basic valuation principles for plain-vanilla products to insights into
the latest development in sophisticated structured credit products. The authors explain in detail, but always with a hands-on practical perspective, all relevant instruments and quantitative
valuation techniques. They show how these instruments can be integrated in a portfolio context and how efficient portfolio management is implemented. Moreover, the authors show how to develop
and implement trading and investment strategies in the credit market.
