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“Accounting for Derivative and Similar Financial Instruments and for Hedging
Activities,” 1997 (Financial Accounting Standards Board, Norwalk, CT), pro-
posed FAS issued August 29, 1997. This proposed financial accounting stan-
dard specifies the new method of accounting for derivatives.
“An Investor’s Guide to Credit Derivatives,” 1997, Derivatives Strategy (June),
supplement pp. 1-8. This article describes the main types of credit derivatives
and explains the reasons for their use.
BBA Credit Derivatives Report 1996: Based on a Survey of the London
Market, 1996 (British Bankers’ Association, London). This book summarizes
the state of the London market for credit derivatives as of 1996 and furnishes
an interesting perspective on where the market appeared to be headed.
Carty, L. and D. Lieberman, 1996, Corporate Bond Defaults and Default
Rates, 1938-1995 (Moody’s Investors Service, New York). This publication
contains tables that provide default probabilities calculated from historical
data.
Chan, William, et al., 1997, Class Notes: A Collection of Articles from Risk
(Canadian Imperial Bank of Commerce, New York). This collection of articles
from Risk magazine includes five articles on credit derivatives, which
describe these instruments, the market for them, and how they can be used
to hedge credit risk exposure and enhance investment returns.
Fabozzi, Frank J., 1996, Bond Markets, Analysis and Strategies, 3rd. ed.
(Prentice Hall, Upper Saddle River, NJ), chs. 3 and 14. This book is a good
primer on fixed-income securities.
Finnerty, John D., 1996, “Credit Derivatives, Infrastructure Finance, and
Emerging Market Risk,” Financier (February), pp. 64-75. This article describes
how credit derivatives can be used to reduce or eliminate a lender’s exposure
to emerging market credit risk and thereby facilitate the financing of infra-
structure investments in the emerging economies.
Flesaker, B., L. Hughston, and L. Schreiber, 1996, “Credit Derivatives,” in
Finnerty, J.D., and M.S. Fridson, eds., The Most Recent Developments in
Fixed Income Investing (Irwin, Burr Ridge, IL), ch. 11. This article describes
the early evolution of the market for credit derivatives and several of the ini-
tial types of credit derivatives.
Ghose, Ronit, 1997, Credit Derivatives: Key Issues (British Bankers’
Association, London). This collection of articles surveys the important issues
concerning the use of credit derivatives, including legal and regulatory issues,
how to value credit derivatives, how to use them to manage credit risk expo-
sure, and the factors affecting the development of the market for credit deriv-
atives.
Jarrow, Robert A., and Stuart M. Turnbull, 1995, “The Pricing and Hedging of
Options on Financial Securities Subject to Credit Risk,” Journal of Finance
(March), pp. 53-85. This article contains a technical description of a very
sophisticated mathematical model for pricing credit derivatives.
Additional
Readings