Credit Derivatives: Risk Management, Trading and Investing

Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)
By Geoff Chaplin

Publisher: Wiley
Number Of Pages: 336
Publication Date: 2005-07-18
Sales Rank: 78449
ISBN / ASIN: 047002416X
EAN: 9780470024164
Binding: Hardcover
Manufacturer: Wiley
Studio: Wiley
Average Rating: 4
Total Reviews: 6

Book Description:

The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related ‘real world’ issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides:
A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring
Analysis of the industry standard ‘default and recovery’ and Copula models including many examples, and a description of the models’ shortcomings
Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management
A thorough analysis of counterparty risk
An intuitive understanding of credit correlation in reality and in the Copula model

The CD in the back of this book includes an Evaluation Version of Mathcad® 12 Single User Edition, which is reproduced by permission. This software is a fully-functional trial of Mathcad which will expire 30 days from installation. For technical support or more information see http://www.mathcad.com.


Download Description:

The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related real world issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides: A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring Analysis of the industry standard default and recovery and Copula models including many examples, and a description of the models shortcomings Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management A thorough analysis of counterparty risk An intuitive understanding of credit correlation in reality and in the Copula model

Mihd.net