Credit Derivatives

Credit Derivatives

Risk Management, Trading & Investing

Book - 2005
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WILEY
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.

Publisher: Chichester, West Sussex, England ; Hoboken, NJ : John Wiley, [2005]
Copyright Date: ©2005
ISBN: 9780470024164
047002416X
Branch Call Number: 332.632 CHAPL
Characteristics: xxiv, 311 pages : illustrations ; 26 cm

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