Credit derivatives : focusing on the Indian credit derivatives market

Title
Contents
1. Credit Derivatives Overview
	1.1 Synopsis
	1.2 What is a Credit Risk
	1.3 Evolution of a Market to Trade Credit Risk
	1.4 What is a Credit Derivative
	1.5 Need for Credit Derivatives
	1.6 Benefits to Market Participants
	1.7 Contemporary Significance
	1.8 Looking into the Glass Prism
2. Credit Default Swaps
	2.1 Synopsis
	2.2 Introduction to CDS
	2.3 CDS Mechanics
	2.4 New CDS Specifications
	2.5 CDS Specifications
	2.6 Global Convention Changes
	2.7 Quoting Convention Changes
	2.8 North American CDS Convention Changes
	2.9 Standard CDS Contracts
	2.10 Economics of a CDS: Old Wine in New Bottles
	2.11 Differences from Asset Swaps—Points Upfront CDS
	2.12 CDS Driven by Win-Win Strategy
3. Valuation of Credit Default Swaps
	3.1 Synopsis
	3.2 Challenges in Valuation of Credit Derivatives
	3.3 Price is where it can be Hedged
	3.4 Valuation of CDS
	3.5 Modelling Default Probabilities
	3.6 Another way of Conceptualizing CDS Mark-To-Market
	3.7 Valuing Risky Cash Flows
	3.8 Determining Recovery Rates
	3.9 Risky Duration Approach to Mark-to-Market
	3.10 Example: Unwinding CDS
	3.11 Mark-to-Market Differences between Bonds and CDS
4. CDS Investor Strategies
	4.1 Synopsis
	4.2 Investor Strategies
	4.3 Credit-Linked Notes
	4.4 Sophisticated CDS Strategies
	4.5 Inverted Curve Trades
	4.6 Sub-versus-Senior CDS Strategies
	4.7 Convertible Bond Hedging With CDS
	4.8 Wings Trades
	4.9 Types of CDS
	4.10 Evolution of CDS Trading Strategies
5. Indices and Basket Products
	5.1 Synopsis
	5.2 Linear Basket
	5.3 Towards Greater Standardization: CDS Indices
	5.4 Mechanics of the Indices
	5.5 Indices Administered by Markit
	5.6 Calculating the Index
	5.7 Comparing the CDS Index
	5.8 Trading Basics
	5.9 Comparison of CDS Index with Cash Bonds
	5.10 Credit Events
	5.11 Notes versus Swaps
	5.12 First-to-Default Basket
	5.13 Structure of FTDB
	5.14 Basket Pricing
	5.15 Sensitivity of Basket Trades
	5.16 Basket Swap Strategies
6. CDS Big Bang and Small Bang
	6.1 Synopsis
	6.2 Major Changes in Credit Event Protocols Since 2009
	6.3 Types of Credit Events
	6.4 The Different Restructuring Conventions
	6.5 From Credit Event to Auction
	6.6 Rationale for Splitting the Auction into Maturity Buckets
	6.7 Triggering of the CDS Contract
7. CDS Credit Event Auction
	7.1 Synopsis
	7.2 The Role of the Auction
	7.3 Global CDS Contract Changes
	7.4 Auction Mechanics
	7.5 Example of Anglo Irish Auction
	7.6 The Subsequent Bidding Period in Auction
	7.7 The CTD Option Driving the Recovery
	7.8 Case Studies
8. CDS Structural Roadmap
	8.1 Synopsis
	8.2 Basic Mechanics Under ISDA Definitions for Physical Settlement
	8.3 Physical Settlement of CDS
	8.4 Two Sets of Overlapping Obligations
	8.5 Asian and European Market Practice
	8.6 Certain other Issues
	8.7 Reference Entity
	8.8 Successors to the Reference Entity
9. Regulatory Overview
	9.1 Synopsis
	9.2 Rationale for Regulation
	9.3 Capital Calculation
	9.4 Regulatory Benefits of CDS Big Bang
	9.5 Basel III
10. Hedge Accounting of Credit Derivatives
	10.1 Synopsis
	10.2 Credit Derivatives and Accounting
	10.3 Introduction to Hedge Accounting
	10.4 Accounting Standards: A Brief Overview
	10.5 Hedged Items and Hedging Instruments
	10.6 Classification of Credit Derivatives as Accounting Guidelines
	10.7 Discontinuing Hedge Accounting for CDS
	10.8 Caselets in Hedge Accounting for Different CDS
	10.9 The Not-So-Good Things about Hedge Accounting for CDS
11. Subprime Crisis and Credit Derivatives
	11.1 Synopsis
	11.2 Housing Bubble in the United States
	11.3 Popular MYTH that Housing is a Good Investment Always
	11.4 The Ownership Society
	11.5 Real Estate Reality Shows
	11.6 Down Payment Loophole
	11.7 Examples of Lax Lending
	11.8 Predatory Lending
	11.9 Subprime Mortgage-Backed Securities
	11.10 Securitizing Subprime Mortgages
	11.11 Securitizing Mortgages: What went Wrong
	11.12 Case Study: Goldman Sachs Alternative Mortgage Products Trust
	11.13 Conclusion
12. Credit Derivatives—Over the Years
	12.1 Synopsis
	12.2 Current Market Setting
	12.3 Market Breakdown of Credit Derivatives
	12.4 Applications of Credit Derivatives
	12.5 Market Description: Participants
	12.6 Market Description: Reference Entities
	12.7 Maturity Date
	12.8 Buyers of Credit Protection
	12.9 Sellers of Credit Protection
	12.10 Regulation
	12.11 Market Description: Geography
	12.12 Present Challenges and Constraints
13. Credit Derivatives and Systemic Risk
	13.1 Synopsis
	13.2 Overview
	13.3 Structural and Regulatory Effects
	13.4 Systemic Risk and Potential Economic Effects
	13.5 Market Liquidity and Other Vulnerabilities
	13.6 Provision of Credit and Credit Cycles
	13.7 Policy Implications
Appendix 1 Valuation Methodology for Liquid and Illiquid Names
Appendix 2 Indian Credit Derivatives Determinations Committee Rules
Appendix 3 User Master Credit Derivatives Confirmation Agreement for Indian Corporate Bonds
Appendix 4 Guidelines on Capital Adequacy and Exposure Norms for Credit Default Swaps
Index