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Credit Risk of Complex Derivatives

Credit Risk of Complex Derivatives

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  • ISBN:9781403916693
  • Editorial: Macmillan Publishers
  • Fecha de la edición:
  • Número de la edición: 3
  • Encuadernación:
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:450
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Since the publication of the 2nd edition of The Credit Risk of Complex Derivatives in 1997, the world of derivatives has gone through a period of dramatic change - in the external operating environment, product and market characteristic and risk management techniques. In the light of these changes, the text has been substantially reorganized, updated and expanded. Several new chapters have been added including:
* derivative losses
* risk governance and risk management efforts
* regulatory initiatives and advances
* credit risk portfolio models
Aimed at clients, intermediaries and regulators, this new edition will be focussed clearly on risk education, risk management and risk disclosure in order to make participation in derivatives more secure, transparent, efficient and beneficial.

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

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