Erik Banks

The Credit Risk of Complex Derivatives (eBook, PDF)

• Format: PDF

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

• Verlag: Springer-Verlag GmbH
• Seitenzahl: 393
• Erscheinungstermin: 14. Mai 1997
• Englisch
• ISBN-13: 9781349144846
• Artikelnr.: 54128494

Autorenporträt

ERIK BANKS has held senior risk management positions at several global financial institutions, including Partner and Chief Risk Officer of Bermuda reinsurer XL Capital's derivatives subsidiary, and Managing Director of Corporate Risk Management at Merrill Lynch, where he spent 13 years managing credit risk, market risk and risk analytics/ technology teams in Tokyo, Hong Kong, London and, latterly, New York. He received early bank training at Citibank and Manufacturers Hanover, and is the author of a dozen books on risk management, emerging markets, derivatives, alternative risk transfer, merchant banking, and electronic finance.

Inhaltsangabe

Preface PART I: DERIVATIVES, CREDIT AND RISK MANAGEMENT An Overview of the Derivatives Marketplace Derivative Losses Risk Governance and Risk Management Regulatory Initiatives and Advances PART II: THE CREDIT RISK OF COMPLEX DERIVATIVES Classification and Quantification of Credit Risk Quantifying Option Credit Risk The Credit Risk of Compound Option Strategies The Credit Risk of Complex Options Quantifying Swap Credit Risk The Credit Risk of Complex Swaps PART III: CREDIT PORTFOLIO RISK MANAGEMENT ISSUES Credit Risk Management of Derivative Portfolios: Quantitative Issues Credit Risk Portfolio Models Credit Risk Management of Derivative Portfolios: Qualitative Issues Appendix 1: Option Valuation Appendix 2: Twenty Questions for the Derivatives Desk Appendix 3: ISDA 2002 Master Agreement Glossary References Index

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, Chase Manhattan, Risk Magazine