- Hardcover: 342 pages
- Publisher: John Wiley & Sons (29 Jan 2004)
- Language English
- ISBN-10: 047146600X
- ISBN-13: 978-0471466000
- Product Dimensions: 23.5 x 15.6 x 3 cm
- Amazon Bestsellers Rank: 753,770 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Product Description
An essential guide to credit derivatives
Credit derivatives has become one of the fastest–growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in–depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real–world practice and applications of credit derivatives products.
Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers.
Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London.
Ren–Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Credit derivatives has become one of the fastest–growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in–depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real–world practice and applications of credit derivatives products.
Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers.
Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London.
Ren–Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
From the Back Cover
Credit derivatives are the newest entrant to the world of derivatives–and they have quickly become one of the fastest–growing areas of interest in global derivatives and risk management. Credit Derivatives: Instruments, Applications, and Pricing provides an in–depth explanation of this risk management tool, which has been increasingly used to manage credit risk in banking and capital markets.
In this comprehensive text, Mark J.P. Anson, Frank J. Fabozzi, Moorad Choudhry, and Ren–Raw Chen cover everything, from the basics of why credit risk is important, to accounting and tax implications of credit derivatives.
Key topics discussed in this essential guidebook include:
- Types of credit risk
- Credit default swaps
- Credit–linked notes
- Synthetic collateralized debt obligation structures
- Credit risk modeling: structural models and reduced form models
- Options and forwards on credit–related spread products
- Pricing of credit default swaps
Using Bloomberg screens, illustrative examples, basic investment theory, and mathematics, Credit Derivatives covers the real–world practice and applications of credit derivatives products.
Inside This Book
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First Sentence
Derivatives are financial instruments designed to efficiently transfer some form of risk between two or more parties. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Derivatives are financial instruments designed to efficiently transfer some form of risk between two or more parties. Read the first page
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Concordance
Browse Sample PagesConcordance
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:
2.3 out of 5 stars (3 customer reviews)
12 of 12 people found the following review helpful:
1.0 out of 5 stars
Compiled Remake, 5 Jan 2004
By A Customer - Published on Amazon.com
This review is from: Credit Derivatives: Instruments, Applications and Pricing (Hardcover)
This is yet another of Fabozzi's contributed works that ends up with poor flow. I'm not sure why this book was written, since it isn't nearly as good or as comprehensive as previous works, and doesn't represent the best writers in this field. For instance, Schonbucher's work on pricing is far superior to anything presented here.
15 of 16 people found the following review helpful:
1.0 out of 5 stars
Credit Derivatives, 5 Jan 2004
By A Customer - Published on Amazon.com
This review is from: Credit Derivatives: Instruments, Applications and Pricing (Hardcover)
This book has nothing new in spite of being released in 2003. Many key issues receive inadequate explanations, and the sections written by different authors do not merge well. If you have no experience with the market, this is not a good book to start you off. If you have experience with the market, there is no reason to buy this book.
1 of 6 people found the following review helpful:
5.0 out of 5 stars
Outstanding work on important topic, 22 Jan 2004
By A Customer - Published on Amazon.com
This review is from: Credit Derivatives: Instruments, Applications and Pricing (Hardcover)
This book brings together some high quality talent and it shows - a good buy and a useful reference on credit derivatives.
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