PREFACE vii

ABOUT THE AUTHORS ix
CHAPTER 1    Introduction 1
CHAPTER 2    Types of Credit Risk 23
CHAPTER 3    Credit Default Swaps 47
CHAPTER 4    Asset Swaps and the Credit Default Swap Basis 81
CHAPTER 5    Total Return Swaps 99
CHAPTER 6    Credit-Linked Notes 119
CHAPTER 7    Synthetic Collateralized Debt Obligation Structures 131
CHAPTER 8    Credit Risk Modeling: Structural Models 179
CHAPTER 9    Credit Risk Modeling: Reduced Form Models 201
CHAPTER 10   Pricing of Credit Default Swaps 223

CHAPTER 11    Options and Forwards on Credit-Related Spread Products 255
CHAPTER 12    Accounting for Credit Derivatives 275
CHAPTER 13    Taxation of Credit Derivatives 299
INDEX 319