Erik Banks

The Credit Risk of Complex Derivatives

• Gebundenes Buch

Produktbeschreibung

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.

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Produktdetails

• Finance and Capital Markets Series
• Verlag: Palgrave Macmillan / Palgrave Macmillan UK / Springer Palgrave Macmillan
• Artikelnr. des Verlages: 978-0-333-69462-6
• 2. Aufl.
• Seitenzahl: 393
• Erscheinungstermin: 13. Mai 1997
• Englisch
• Abmessung: 216mm x 140mm x 27mm
• Gewicht: 583g
• ISBN-13: 9780333694626
• ISBN-10: 0333694627
• Artikelnr.: 44431612

Inhaltsangabe

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

Rezensionen

' ...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