Credit Risk of Complex Derivatives

AvErik Banks

Häftad, Engelska, 1997

Del i serien Finance and Capital Markets Series

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Beskrivning

This edition of The Credit Risk of Complex Derivatives is fully updated and enhanced. 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.

Produktinformation

Utgivningsdatum:1997-01-01
Mått:140 x 216 x 23 mm
Vikt:513 g
Format:Häftad
Språk:Engelska
Serie:Finance and Capital Markets Series
Antal sidor:393
Upplaga:2
Förlag:Palgrave Macmillan
ISBN:9781349144860

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap
Makroekonomi inom Ekonomi och Ledarskap
Företagsekonomi inom Ekonomi och Ledarskap

Recensioner i media

' ...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 of Chase Manhattan, London in Risk

Innehållsförteckning

Foreword - PART 1: DERIVATIVES AND RISK - Introduction - Classification and Quantification of Credit Risk - PART 2: THE CREDIT RISK OF COMPLEX OPTIONS - Quantifying Option Credit Risk - The Credit Risk of Compound Option Strategies - The Credit Risk of Complex Options - PART 3: THE CREDIT RISK OF COMPLEX SWAPS - Quantifying Swap Credit Risk - The Credit Risk of Complex Swaps - PART 4: THE CREDIT RISK MANAGEMENT OF DERIVATIVE EXPOSURES - Credit Risk Management of Derivative Portfolios: Quantitative Issues - Credit Risk Management of Derivative Portfolios: Qualitative Issues - Appendixes - Option Valuation - A Model for Calculating Swap Risk - 20 Questions for the Derivatives Desk - Glossary - References