- Hardcover: 336 pages
- Publisher: John Wiley & Sons; Har/Cdr edition (20 May 2005)
- Language English
- ISBN-10: 047002416X
- ISBN-13: 978-0470024164
- Product Dimensions: 24.8 x 17.4 x 2.6 cm
- Average Customer Review: 4.2 out of 5 stars See all reviews (4 customer reviews)
- Amazon Bestsellers Rank: 604,814 in Books (See Top 100 in Books)
- See Complete Table of Contents
Credit Derivatives
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Product Description
Product 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.
From the Back Cover
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 book also includes many spreadsheet examples, a dll for the pricing of CDO structures, and code in MathCad covering a variety of applications.
Inside This Book
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Front Cover | Copyright | Table of Contents | Excerpt | Index
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Front Cover | Copyright | Table of Contents | Excerpt | Index
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Most Helpful Customer Reviews
9 of 10 people found the following review helpful:
3.0 out of 5 stars
A book that can not stand on its own,
By A Customer
This review is from: Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series) (Hardcover)
At no point while reading this book did I manage to steer away from the idea that the book was written in a hurry. Although it has so much potential and it tries to address all the right issues, the book fails its cause in many instances. The author tries to explain relatively complex issues but without breaking them down to simple ones. Although he tries to follow a structure from simple to complex he misses on a few elements and you are left wondering which bit did I not read? Simply put, that bit is just not there. In that way, time and time again you find yourself having to refer to other books so as to be able to understand what this one is trying to say. It misses many bits that you can only fill in elsewhere. For me, it was confusing and frustrating. It is a real pity, because the author seems to know what he is talking about, he just fails to put it down on paper clearly. I think this is where a co-author or a good proof reader could have come in handy...It takes a lot of effort trying to understand the ideas presented and you are always left believing that someone must have come in and taken one or two sentences away from the paragraph that you are reading. In my opinion, this can not be a begginer's book (although it is supposed to be) as you have to read somewhere else to get the basic idea and then come here to learn just a bit more.
5 of 8 people found the following review helpful:
5.0 out of 5 stars
Comprehensive and filled with practical detail,
This review is from: Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series) (Hardcover)
This book is a most useful addition to the literature on the subject. It is much more practitioner oriented than most texts, while still retaining the necessary mathematics. The treatment of the relationship between CDS spread and bond spread (the "basis" ) is thorough - and not readily found
2 of 5 people found the following review helpful:
4.0 out of 5 stars
very good coverage,
By
This review is from: Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series) (Hardcover)
This is a very good beginner/intermediate level book - I found it very useful as a overview type book. It covers a lot of areas such as what constitutes a correlation matrix (which a lot of books -even those more mathematically more advance skip details on)
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