Andrew Kasapis

Author Andrew Kasapis has sold credit derivatives products from the front office since 1998 (the very beginning of the inter bank market) and more recently has sold structured credit products for major institutional sales boutiques. He is a Market Risk Analyst for tier 1 banks through his consulting company Credit Hedge Ltd. 2 of 2 people found the following review helpful: non-mathematical treatment for a general reader, June 4, 2009 By W Boudville (Terra, Sol 3) - See all my reviews This review is from: Mastering Credit Derivatives: A step-by-step guide to credit derivatives and structured credit (2nd Edition) (Paperback) Andrew Kasapis educates the reader about the basic structure of common types of credit derivatives. Largely he avoids a heavy mathematical treatment. Aiming the text perhaps at someone in the financial industry who is not tasked with making these instruments, but instead has to understand the qualitative properties. Maybe you are a stockbroker or investor who has to market these or is contemplating a purchase. Accordingly, the text is very descriptive, and the figures are carefully drawn to give enough details of the essences of a process or instrument, without overloading the reader. The publisher, Financial Times [aka. Pearson], should also be commended for keeping the price quite reasonable

This second edition of Mastering Credit Derivatives has been completely revised to include new movements in the world of finance. The first part of the book is set aside as a condensed, updated version of the previous edition whereas the next two thirds are dedicated to recent innovations such as Structured Credit Derivatives and Greeks and Tranche Sensitivity.

The book is written on a purely ‘need to know’ basis, avoiding the archaic, theoretical and excessively mathematical concepts.

Input from market practitioners offers valuable insight into where they believe the market is headed in the future. Derivatives is a huge area, thought to be worth trillions of pounds. With new products being constantly introduced, it is important to keep up-to-date with its rapid growth.

Contents

Mastering Credit Derivatives, 2e

Part 1:- Introduction to Credit Derivatives & Applications

Chapter 1:- Introduction to Credit Derivatives

Exhibit 1:-Credit Default Swaps

Exhibit 2:-CLNs

Exhibit 3-TROR Swaps

Chapter 2 :-Credit Derivatives & Applications

Exhibit 1:-Credit Default Swap Applications, Balance Sheet, Hedging, curve credit views

Exhibit 2:-CLNs Applications

Exhibit 3-TROR Swaps applications, Balance Sheet

Chapter 3:-CDS Basis

Chapter 4:-Pricing CDS

Chapter 4:-ISDA Documentation &  Basel II Credit Derivatives Regulations

Part 2 Structured Credit Derivatives

Chapter 6:-Traunched Indices

Credit Default Swap Indices

Exhibit 1:-DJ CDX Investment Grade Index

Important Characteristics of Benchmark Indices

Determining the upfront payments

Impact of Defaults on Index Cashflows

Exhibit 2:-Impact on Default on Index

Traunches of Standard Default Swap Indices

Important characteristics of benchmark traunches

Exhibit 3:-Traunched DJ CDX NA IG

Exhibit 4:-Credit Index CPPI strategies

Chapter 7:- What is Correlation?

“One mans delta is another man’s correlation”

-Chris Boas

Introduction

Exhibit 1:-Portfolio Volatility Affected by Correlation

Correlation In Structured Credit Markets

Observing Default Correlation

The Hidden Meaning of Correlation in Credit Markets

Exhibit 2:-Correlation Affects the Relationship Between Volatility and Portfolio size

Exhibit 3:-Valuation in structured credit markets

Exhibit 4:-Correlation Creates Portfolio loss Distribution with fatter tails

Exhibit 5:-Implied Compound and Base Correlation

Exhibit 6:-correlation Sensitivity varies with seniority

Exhibit 7:-Traunche Equivalence – Long/short combinations

Chapter 8:-First-to-Default Baskets

Overview of Default Basket Primer

Exhibit 1:-First to Default Swap

Exhibit 2:-Basket Default Swap Premium Depends on Correlation

First-to-default basket: Investor Motivation

Exhibit 3 Investor Motivation for Basket Trading

Mergers & FTD Baskets

Exhibit 4:-Replacement language matters – Impact of a hypothetical merger between Credits 1 & 2.

Exhibit 5:-What is the impact of a Merger Worth?

Funded Baskets

Example: Ex-HiVol First to Default Basket

Ex HiVol Benchmark First to Default Basket

Conclusion

Features

• This second edition is fully updated to include structured credit products in addition to ’standard’ derivatives.
• Includes input from market practitioners of where they believe the market is headed,
• This book will ensure you have the ability, speed and confidence to manipulate and apply the skills and techniques relevant to your marketplace.