The Credit Risk of Complex Derivatives
3rd Edition
Published on 1. January 2004
Book
Paperback/Softback
XIX, 556 pages
978-1-349-51299-7 (ISBN)
Description
Since the publication of the second edition of The Credit Risk of Complex Derivatives in 1997, the world of derivatives has gone through a period of dramatic change - in the external operating environment, product and market characteristic and risk management techniques. In the light of these changes, the text has been substantially reorganized, updated and expanded. Several new chapters have been added including: * Derivative losses * Risk governance and risk management efforts * Regulatory initiatives and advances * Credit risk portfolio models Aimed at clients, intermediaries and regulators, this edition will be focused clearly on risk education, risk management and risk disclosure in order to make participation in derivatives more secure, transparent, efficient and beneficial.
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, Chase Manhattan, Risk Magazine
More details
Series
Edition
3rd ed. 2004
Language
English
Place of publication
London
United Kingdom
Target group
Professional and scholarly
Edition type
Revised edition
Product notice
Paperback (trade)
Unsewn / adhesive bound
Illustrations
XIX, 556 p.
Dimensions
Height: 210 mm
Width: 148 mm
Thickness: 30 mm
Weight
685 gr
ISBN-13
978-1-349-51299-7 (9781349512997)
DOI
10.1057/9781403946096
Schweitzer Classification
Other editions
Additional editions
Book
12/2003
3rd Edition
Palgrave Macmillan
€160.49
Shipment within 10-20 days
Person
ERIK BANKS has held senior risk management positions at several global financial institutions, including Partner and Chief Risk Officer of Bermuda reinsurer XL Capital's derivatives subsidiary, and Managing Director of Corporate Risk Management at Merrill Lynch, where he spent 13 years managing credit risk, market risk and risk analytics/ technology teams in Tokyo, Hong Kong, London and, latterly, New York. He received early bank training at Citibank and Manufacturers Hanover, and is the author of a dozen books on risk management, emerging markets, derivatives, alternative risk transfer, merchant banking, and electronic finance.
Content
Preface PART I: DERIVATIVES, CREDIT AND RISK MANAGEMENT An Overview of the Derivatives Marketplace Derivative Losses Risk Governance and Risk Management Regulatory Initiatives and Advances PART II: THE CREDIT RISK OF COMPLEX DERIVATIVES Classification and Quantification of Credit Risk Quantifying Option Credit Risk The Credit Risk of Compound Option Strategies The Credit Risk of Complex Options Quantifying Swap Credit Risk The Credit Risk of Complex Swaps PART III: CREDIT PORTFOLIO RISK MANAGEMENT ISSUES Credit Risk Management of Derivative Portfolios: Quantitative Issues Credit Risk Portfolio Models Credit Risk Management of Derivative Portfolios: Qualitative Issues Appendix 1: Option Valuation Appendix 2: Twenty Questions for the Derivatives Desk Appendix 3: ISDA 2002 Master Agreement Glossary References Index