资源描述：
《JPMORGAN CDS2006 HAND BOOK.pdf》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、CorporateQuantitativeResearchNewYork,LondonDecember,2006CreditDerivativesHandbookDetailingcreditdefaultswapproducts,marketsandtradingstrategiesAboutthishandbookThishandbookreviewsboththebasicconceptsandmoreadvancedCorporateQuantitativeResearchtradingstrategiesmadepo
2、ssiblebythecreditderivativesmarket.ReadersACseekinganoverviewshouldconsiderSections1.1-1.3,and8.1.EricBeinstein(1-212)834-4211eric.beinstein@jpmorgan.comTherearefourpartstothishandbook:AndrewScott,CFAPartI:Creditdefaultswapfundamentals5(1-212)834-3843andrew.j.scott@
3、jpmorgan.comPartIintroducestheCDSmarket,itsparticipants,andthemechanicsofthecreditdefaultswap.ThissectionprovidesintuitionabouttheCDSBenGraves,CFA(1-212)622-4195valuationtheoryandreviewshowCDSisvaluedinpractice.Nuancesofbenjamin.j.graves@jpmorgan.comthestandardISDAd
4、ocumentationarediscussed,asaredevelopmentsindocumentationtofacilitatesettlementfollowingcreditevents.AlexSbityakov(1-212)834-3896alex.sbityakov@jpmorgan.comPartII:Valuationandtradingstrategies43KatyLePartIIprovidesacomparisonofbondsandcreditdefaultswapsand(1-212)834
5、-4276discusseswhyCDStobondbasisexists.ThetheorybehindCDScurvetrang.t.le@jpmorgan.comtradingisanalyzed,andequal-notional,duration-weighted,andcarry-neutraltradingstrategiesarereviewed.CreditversusequitytradingEuropeanCreditDerivativesResearchstrategies,includingstock
6、andCDS,andequityderivativesandCDS,areanalyzed.JonnyGoulden(44-20)7325-9582PartIII:Indexproducts111jonathan.m.goulden@jpmorgan.comTheCDXandiTraxxproductsareintroduced,valuedandanalyzed.DirkMuenchOptionsontheseproductsareexplained,aswellastradingstrategies.(44-20)7325
7、-5966dirk.muench@jpmorgan.comTrancheproducts,includingCDOs,CDXandiTraxxtranches,Tranchlets,optionsonTranches,andZeroCouponequityarereviewed.SaulDoctor(44-20)7325-3699saul.doctor@jpmorgan.comPartIV:OtherCDSproducts149AndrewGrangerPartIVcoversloanCDS,preferredCDS,Reco
8、veryLocks,Digitaldefault(44-20)7777-1025swaps,credit-linkednotes,constantmaturityCDS,andfirsttodefaultandrew.f.granger@jpmorgan.combaskets
