The Credit Risk of Complex Derivatives
2nd Edition
Published on 1. January 1997
Book
Paperback/Softback
VIII, 393 pages
978-1-349-14486-0 (ISBN)
Description
This edition of The Credit Risk of Complex Derivatives is fully updated and enhanced. It discusses and analyses the credit risks of the new financial derivatives. The book commences with an overview of the regulatory environment and the renewed emphasis on risk Management. It then provides a comprehensive review of complex options and swaps, with extensive examples and illustrations. The text concludes with a detailed discussion of portfolio credit risk issues and techniques in order to ensure the most effective and accurate understanding of complex derivative credit risk.
Reviews / Votes
' ...the author of this book deserves praise for providing a valuable reference for those looking to improve their technical and product knowledge. ....essential reference material for any derivative-focused credit department.' - Tony Aston of Chase Manhattan, London in Risk
More details
Series
Edition
Second Edition 1997
Language
English
Place of publication
London
United Kingdom
Target group
Professional and scholarly
Product notice
Paperback (trade)
Unsewn / adhesive bound
Illustrations
VIII, 393 p.
Dimensions
Height: 216 mm
Width: 140 mm
Thickness: 23 mm
Weight
513 gr
ISBN-13
978-1-349-14486-0 (9781349144860)
DOI
10.1007/978-1-349-14484-6
Schweitzer Classification
Other editions
Additional editions
Erik Banks
The Credit Risk of Complex Derivatives
Book
05/1997
2nd Edition
Palgrave Macmillan
€160.49
Shipment within 15-20 days
Content
Foreword - PART 1: DERIVATIVES AND RISK - Introduction - Classification and Quantification of Credit Risk - PART 2: THE CREDIT RISK OF COMPLEX OPTIONS - Quantifying Option Credit Risk - The Credit Risk of Compound Option Strategies - The Credit Risk of Complex Options - PART 3: THE CREDIT RISK OF COMPLEX SWAPS - Quantifying Swap Credit Risk - The Credit Risk of Complex Swaps - PART 4: THE CREDIT RISK MANAGEMENT OF DERIVATIVE EXPOSURES - Credit Risk Management of Derivative Portfolios: Quantitative Issues - Credit Risk Management of Derivative Portfolios: Qualitative Issues - Appendixes - Option Valuation - A Model for Calculating Swap Risk - 20 Questions for the Derivatives Desk - Glossary - References