Asset-Backed Credit Derivatives

In response to the US sub-prime fiasco and the current liquidity crisis, this is a cutting-edge treatment of credit derivatives linked to asset-backed securities such as mortgage-backed securities and collateralised debt obligations (CDOs).

Written by an experienced trader, this pioneering guide focuses on real-life examples and deals, rather than theory or complex maths. Accessible to investors at all levels including:

• The asset-backed credit derivatives
• Credit default swaps on asset-backed securities (ABS)
• Credit-linked notes and total return swaps
• Index swaps
• Synthetic securitisation
• Synthetic CDOs of ABS
• Issues in pricing and modelling
• Investment vehicles.

It contains comprehensive case studies highlighting the key issues to consider in structuring or risk managing such deals.
This pioneering book is recommended reading for credit investors including traders, investment managers and pension fund trustees.