Mastering Credit Derivatives: A Step-By-Step Guide to Credit Derivatives and Structured Credit

of a hypothetical merger between Credits 1 & 2. Exhibit 5:-What is the impact of a Merger Worth? Funded Baskets Example: Ex-HiVol First to Default Basket Ex HiVol Benchmark First to Default Basket Chapter 9:-Cash CDO's Introduction Exhibit 1:-Growth in CDO issuance Exhibit 2:-CDO's in the context of overall ABS Market Exhibit:-A Comparison of collateral composition of CDO Issuance 1998 and 2004 What are Cash CDO's? How do Cash CDO's work? Exhibit 3:- How a typical Cash CDO works Cash CDOs: A taxonomy Understanding the basics of CDO equity returns Rating of CDOs Analytical Challenges in modelling cash CDOs Chapter 10:-Synthetic CDO's Introduction Exhibit 1:-Global Total Synthetic CDO Issuance What are Synthetic CDO's? Exhibit 2:-How a typical CDS works Exhibit 3:-How a typical Synthetic CDO works Attachment & Detachment Points Why Synthetic CDOs? Taxonomy of synthetic CDOs Exhibit 4:-Structure of a Typical Unfunded Synthetic CDO Exhibit 5:-Structure of a Typical Funded Synthetic CDO Analytical Challenges in Modelling Synthetic CDOs New Developments in Synthetic CDOs Exhibit 6:-Key Innovations, or Those that Show Promise CDO Squared CDO squared a brief history lesson Exhibit 7:-Anatomy of a CDO Squared Part 3 Greeks & Traunch Sensitivity Chapter 11:-Understanding Traunche Sensitivity Introduction Exhibit 1:-Summary of Greeks Traunches as options on default Sensitivity to spread changes or delta Exhibit 2:-Spread sensitivity Sensitivity to spread distribution changes or 'I-Gamma' Exhibit 3:-Insurance Moves to the Right, Impacting both senior and subordinate traunches. Data Migration Exhibit 4:-Traunch Pricing Impact: Two opposite examples Exhibit 5:-Delta Sensitivity 5 year IG DJ CDX Exhibit 6:-Delta Sensitivity 10 year IG DJ CDX Exhibit 7:-Delta Sensitivity over time -- 5 year IG DJ CDX Exhibit 8:-Delta Migration over time M-Gamma or convexity Exhibit 9:-5 yr IG -- Traunche Convexity (Delta Neutral) Exhibit 10:-10 Yr Traunche Convexity (Delta Neutral) Exhibit 11:-Mezanine Traunche Sensitivity Jump to Default Sensitivity Conclusion