- Hardcover: 272 pages
- Publisher: Prentice Hall; 1 edition (2 Jun 2006)
- Language English
- ISBN-10: 0131467441
- ISBN-13: 978-0131467446
- Product Dimensions: 23.4 x 17.1 x 2.3 cm
- Amazon Bestsellers Rank: 472,199 in Books (See Top 100 in Books)
- See Complete Table of Contents
Credit Derivatives
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Product Description
Product Description
The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.
From the Back Cover
The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.
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9 reviews
6 of 6 people found the following review helpful
Gateway of Credit Risk and Credit Derivatives
12 Jan 2008
Format:Hardcover
This is easy to understand and more academic oriented book. For any body who wants to become master in the field of credit risk and credit derivatives, this book will act as a gateway. Modeling Credit risk using structural approach is explained in about 60 pages and it is very clear.CDO pricing is detailed with examples and shows how to price CDO with correlation using Monte Carlo simulation and Cholesky decomposition.
However this book does not talk about ISDA documentation and from the trading point of view. The book "Credit Derivatives: Risk Management, Trading and Investing by Geoff Chaplin" focuses more from the point of view of trading and ISDA documentation. Reading Chaplin's book after Chacko's book will take the reader into next step.
For the professional who want to become expert in modeling, the must read is "Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J.Schönbucher". This requires lot of mathematical especially calculus and probability background and prior knowledge of Credit Risk and Credit Derivatives.
I would recommend Chacko's, Chaplin's and Phillip's books in the order in order to become proficient in Credit Derivatives.
Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)
Credit Derivatives Pricing Models: Model, Pricing and Implementation
However this book does not talk about ISDA documentation and from the trading point of view. The book "Credit Derivatives: Risk Management, Trading and Investing by Geoff Chaplin" focuses more from the point of view of trading and ISDA documentation. Reading Chaplin's book after Chacko's book will take the reader into next step.
For the professional who want to become expert in modeling, the must read is "Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J.Schönbucher". This requires lot of mathematical especially calculus and probability background and prior knowledge of Credit Risk and Credit Derivatives.
I would recommend Chacko's, Chaplin's and Phillip's books in the order in order to become proficient in Credit Derivatives.
Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)
Credit Derivatives Pricing Models: Model, Pricing and Implementation
9 of 11 people found the following review helpful
I wish I had this book when I was a business student studying finance
11 Aug 2006
Format:Hardcover
I quite enjoyed this book and recommend it strongly for any business student (BBA or MBA) who is interested in this topic. For finance majors who don't have a firm grip on credit risk and the instruments used to moderate its effects, this is a must read. It is well written, clearly illustrated, and is not excessively technical.
The six chapters are divided into three parts. 1) What is Credit Risk, 2) Credit Risk Modeling, and 3) Typical Credit Derivatives. The introduction and chapter on credit risk are especially helpful to anyone wanting to gain a more nuanced understanding of what credit risk is.
The middle chapters comprising part 2 discuss the Merton model and options in discussing how credit risk can be evaluated and priced. There are appendices that discuss other models. For the purposes of this book, the discussion here is enough. As a primer, it cannot also be the last word in the technical evaluation of the various kinds of risk and there are other books for the more sophisticated audience (as well as journal articles).
Credit Swaps and Collateralized Debt Obligations are discussed in a few flavors each as the typical credit derivatives. Sometimes people get intimidated or confused by derivatives. However, they are simply other kinds of financial mechanisms that create financial obligations depending on some aspect of the performance of some other instrument. You buy or sell them depending on whether you want to lay off risk and variability to someone else or are willing to buy risk in order to collect the premium and add variability to your portfolio.
A good little book for the right audience.
The six chapters are divided into three parts. 1) What is Credit Risk, 2) Credit Risk Modeling, and 3) Typical Credit Derivatives. The introduction and chapter on credit risk are especially helpful to anyone wanting to gain a more nuanced understanding of what credit risk is.
The middle chapters comprising part 2 discuss the Merton model and options in discussing how credit risk can be evaluated and priced. There are appendices that discuss other models. For the purposes of this book, the discussion here is enough. As a primer, it cannot also be the last word in the technical evaluation of the various kinds of risk and there are other books for the more sophisticated audience (as well as journal articles).
Credit Swaps and Collateralized Debt Obligations are discussed in a few flavors each as the typical credit derivatives. Sometimes people get intimidated or confused by derivatives. However, they are simply other kinds of financial mechanisms that create financial obligations depending on some aspect of the performance of some other instrument. You buy or sell them depending on whether you want to lay off risk and variability to someone else or are willing to buy risk in order to collect the premium and add variability to your portfolio.
A good little book for the right audience.
3 of 3 people found the following review helpful
Great book for beginners!
1 Sep 2007
Format:Hardcover
This is a very good introductory book. The authors go into explaining the details of the various derivatives in depth and give concrete numerical examples how they can be priced. However only elementary pricing techniques are considered -- a practitioner will not find much use of them.
I am giving the book 4 stars because the book contains many typos and errors which can be quite confusing to a beginner (e.g. mislabeled graphs). With four authors on the cover they could have done a better job at this.
I am giving the book 4 stars because the book contains many typos and errors which can be quite confusing to a beginner (e.g. mislabeled graphs). With four authors on the cover they could have done a better job at this.
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