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ISBN: 9780198089155 | 0198089155

Edition: 2ndFormat: Paperback

Publisher: Oxford University Press, USA

Pub. Date: 6/24/2014

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Rajiv Srivastava,

Introduction

Credit Derivative

Types of Credit Risk

Credit Default Swaps

Cash flows, Settlement and Applications

Valuation of CDS - Merton Model

Total Return Swap

Features, Differences with CDS

Securitisation

Structured Credit Derivatives

Credit Linked Notes

Collateralised Debt Obligations

21. Corporate securities and derivatives

Introduction

Equity as Call option

Agency Cost of Debt

Debt as Options

Subordinated debt

Callable and Puttable Bonds

Convertible Bonds

Warrants

22. Real Options

Introduction

Kinds of Real Options

Differences in Financial and Real Options

Option to Delay

Evaluating Timing Decision with DCF

Valuing Option to Delay by Binomial Method

Discounted Cash Flow and Binomial Option Valuation

Using Black Scholes Model for Investment Timing

Option to Expand

DCF Valuation

Value Option to Expand by Binomial Method

Value Option to Expand by Black Scholes Model

Option to Abandon

DCF Valuation

Valuing Put Option using Binomial Method

Value of Put Option using Black Scholes Model

23. Weather and energy derivatives

Introduction

Weather Derivatives

Temperature

Rain

Energy Derivatives

Oil

Electricity

Natural Gas

24. Accounting for Derivatives

Introduction

Accounting Definition of Derivatives

Types of Financial Instruments

Fair Value

Fair Value Measurement

Hedge Accounting

Types of Hedges

Fair Value Hedge

Cash Flow Hedge

Steps for Hedge Accounting

Hedged Item

Hedging Instruments

Hedging Relationship

Accounting For Derivatives

Derivatives Held for Trading

Derivatives as Fair Value Hedge

Derivatives as Cash Flow Hedge

Conclusion

25. Derivatives Disasters

Introduction

The Cases

Metallgesellschaft AG

LTCM

Barings PLC

Sumitomo

Procter and Gamble

Learnings

Index