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Credit Derivatives 2e: A Guide to Instruments and Applications (Wiley Series in Financial Engineering) Hardcover – 2 Jul 2001

4.2 out of 5 stars 5 customer reviews

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Product details

  • Hardcover: 322 pages
  • Publisher: John Wiley & Sons; 2nd Revised edition edition (2 July 2001)
  • Language: English
  • ISBN-10: 047141266X
  • ISBN-13: 978-0471412663
  • Product Dimensions: 16.3 x 3 x 23.6 cm
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (5 customer reviews)
  • Amazon Bestsellers Rank: 929,021 in Books (See Top 100 in Books)
  • See Complete Table of Contents

Product Description

Review

"If you want to know more about credit derivatives–and these days an increasing number of people do–then you should read this book."–Merton H. Miller, winner, Nobel Prize in Economics, 1990; Robert R. McCormick Distinguished Service Professor Emeritus, University of Chicago Graduate School of Business

"Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution. She combines her extensive experience and deep understanding of the derivatives markets with a lucid writing style that makes this an eminently readable volume. This book should set the standard for credit derivatives texts for years to come." –Carl V. Schuman, Manager, Credit Derivatives, WestLB New York

"Tavakoli does a remarkable job compiling a highly readable and much needed guide to instruments and applications of credit derivatives. Using charts, examples, basic investment theory, and elementary mathematics, Tavakoli explains the real–world practice and applications of credit derivative products. Credit Derivatives clarifies often misunderstood concepts and offers a framework with which to analyze derivatives and how to make them work."–Stephen Wade Managing Director, UBS Securities LLC Hei Wai Chan, PhD, Director, UBS Securities LLC

"Tavakoli has written a book that finally demystifies credit derivatives. It is an easy to understand analysis of the many aspects of the basic products used in this new and innovative derivative structure. Anyone in the banking community as well as the sophisticated derivatives professional will find it both useful and insightful."–Randy Allison Kaufman, Managing Director, Bank Boston, Structured Derivatives --This text refers to an out of print or unavailable edition of this title.

From the Inside Flap

One of today′s fastest growing investment and risk management mechanisms, credit derivatives are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. While potentially beneficial, these important instruments are complex structures that are often misunderstood and frequently mishandled. Written by credit derivatives specialist Janet Tavakoli, this groundbreaking book–the only comprehensive resource of its kind–demystifies and clarifies all the fine points of credit derivatives, offering complete details on what they are, how they work, and how best to capitalize on them. Though not new, credit derivatives have just recently grabbed the spotlight as vehicles that can diversify portfolio credit risk by dampening the volatility of possible returns. While many investors and end users are beginning to realize the potential of these products, most have only scratched the surface of understanding how they can be applied to credit line and portfolio management, arbitrage opportunities, and the creation of synthetic assets. Covering these and other current applications, Credit Derivatives provides the foundation necessary to fully grasp and effectively implement these powerful tools. Along with descriptions of the full range of products available in today′s marketplace, it explains the economic value of credit derivatives, examines valuation techniques, and, perhaps, most importantly, provides specific guidelines on using them to manage and control risk. Tavakoli demonstrates how credit derivatives have become instruments thatenable investors to question, theorize, and create a new framework for evaluating market credit risk. Filled with helpful charts, tables, and graphs, as well as numerous real–world examples, Credit Derivatives offers a complete overview that includes essential information on:
∗ Total Rate of Return Swaps (TRORS)–receiver and payer motivation, mismatched maturities, balance sheet management, loan TRORS mechanics
∗ Credit default swaps and options–basis risk, materiality, price adjustments, termination payments, normalized price method, pricing and applications
∗ Exotic structures–asset swap switches, synthetic lending facilities, basket default options, prorata default structures
∗ Credit Linked Notes (CLNs)–reasons for CLNs, black box structures, collateralized loan obligations, hybrid securitizations
∗ Sovereign risk and emerging markets–tax arbitrage, cross border issues, special event risks, pricing convertibility protection
This accessible and exhaustive guide is must reading for anyone involved in the rapidly growing area of credit derivatives. --This text refers to an out of print or unavailable edition of this title.

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Customer Reviews

4.2 out of 5 stars
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Top Customer Reviews

Format: Hardcover
This is an amazing and lucid explanation of all of the current credit derivatives products. This book is witty and even humorous at times - something I didn't think possible for a serious book on financial products.
Tavakoli covers structured financings such as total return swaps, which are used for leverage by hedge funds. All of the various types of credit derivatives and their uses and abuses are thoroughly explained. This book also covers off-shore vehicles, currency convertibility, CDO equity, principal protected notes, credit-linked notes, and much more.
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Format: Hardcover Verified Purchase
This was an "OK" book. Ms. Tavakoli knows hers stuff, for sure, however I found the way she packaged her examples in a "plain vanilla wrapping" a little confusing. Would have been better saying "Company A" needs this . . . . rather than Buyer/Offerer etc.

Written before the advent of the "Euro" much of the novel is irrelevant as great focuses on geo-political machinations of smaller, now former, European currencies.

If you know nothing this will help you understand Derivatives better, but this is not a text book.
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Format: Kindle Edition Verified Purchase
Sometimes difficult to read but a great knowledge source for credit derivatives. If you get this you will learn an awful lot about derivatives
Well worth the effort
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Format: Hardcover
This publication is clearly explained in plain english, where Janet has divulged some of her own real life experiences that helps to make this subject more understandable. Just about all aspects of the derivatives structured product market have been covered, however, it is most useful where you have already read the detail, the formulas and theory, because Janet answers the question, "how is this all used in real banking situations?". So, not the only text you need to read, but definately a must in your list to stick it all together.
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By A Customer on 26 Jun. 1999
Format: Hardcover
If Janet Tavakoli is not Frank Partnoy's 'Queen of the RAVs' in F.I.A.S.C.O., then I'm a back-office drone. -Kevin Rosema, Rutgers U/JPM
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