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Credit Derivatives and Structured Credit Trading


Credit Derivatives and Structured Credit Trading


Credit is the mainstay of our society. Credit derivatives are concerned with the risk that the promise to pay in a credit transaction is not fulfilled. While it is easy to see credit derivatives as hedging devices, the real growth of credit derivatives has been in their ability to transform credit risk into a commodity that can be traded in the same way as equities and bonds. 

The moment we combine exposures in different entities into portfolios, we have entered into the interesting world of structured credit. A portfolio yields itself to a probability distribution, which, in turn, may be sliced into slices that have different layers of risk. As probability distribution is impacted by external and internal correlation, structured credit also allows trading in correlation risk.

From stand alone single credits to bespoke portfolios to indices, the world of credit derivatives has grown very fast. In course of its development, credit derivatives have been at the very epicenter of controversy in the recent past.

The book explains in minute details the intricacies of credit derivatives and structured credit trading. It also: 

  • delves into the leverage that credit derivatives create as well as the risks and risk mitigants in its growth.
  • explicates all the relevant aspects of credit derivatives including legal, tax, accounting and regulatory issues.
  • discusses the complicated issue of pricing and valuation of credit derivatives and collateralized debt obligations in a simple manner backed up with solved examples.
  • provides solved examples in Excel® worksheets in the accompanying CD. 

Whether you are an investor, analyst, banker, dealer, lawyer, accountant or regulator, the present book would be of great value to you in understanding the complex world of credit derivatives and structured credit trading.


Detailed Contents of the book can be viewed here

             Comments on the book


  • Excellent and comprehensive treatise on the queer world of credit derivatives and index trades

- Foreword by Dr Edward I Altman

  • Anyone concerned or interested in credit derivatives will find Vinod Kothari's book useful and comprehensive. Among other things, it also highlights risks and mechanisms for reducing these using credit derivatives. - Frank Fabozzi
  • Vinod Kothari's book provides the reader with a necessary macro and macro picture of the credit derivatives market. ..Vinod provides a comprehensive picture of the drivers behind the market supplemented by a detailed explanation of why institutions get involved.

- Robert Reoch

  • 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
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