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FRM prior Credit Derivatives (Application, Pricing, and Risk Management) by Gunter Meissner 2017-03-04

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Chapter 2: Credit Derivative Products
  • Default Swaps
    • What is a default swap?
    • Why default swaps?
    • The terminology
    • Features of default swaps
    • The default swap premium
    • The reference obligation
    • What constitutes default?
    • Cash versus physical settlement
    • Hedging with default swaps
    • Does a default swap hedge credit deterioration risk?
    • Does a default swap hedge against market risk?
    • Types of default swaps
    • Key benefits of default swaps
  • Total Rate of Return Swaps (TRORs)
    • What is a TROR?
    • Why TRORs?
    • Hedging with TRORs
    • The difference between a TROR and a default swap
    • The difference between a TROR and an asset swap
    • The difference between a TROR and an equity swap
    • The relationship between a TROR and a Repo
    • Key benefits of TRORs
  • Credit-spread Products
    • Credit-spread options
    • Hedging with credit-spread options
    • Credit-spread forwards
    • Credit-spread swaps
    • When to hedge and with what credit-spread product
Chapter 3 Synthetic Structures
  • Credit-Linked Notes (CLNs)
    • A More Complex Credit-Linked Note Structure
  • Collateralized Debt Obligations (CDOs)
    • Synthetic CDOs
    • A two-currency, partly cash, partly synthetic CDO with embedded hedges
    • Motivation for CDOs
    • Market value CDOs and cash flow CDOs
    • Tranched Portfolio Default Swaps (TPDS)
    • Tranched Basket Default Swaps (TBDSs)
    • CDO Squared Structures
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