Credit Derivatives: Risk Management, Trading and Investing: Risk Management and Trading (Wiley Finance) - Hardcover

Chaplin, Geoff

Hardcover

ISBN 10: 047002416X ISBN 13: 9780470024164

Verlag: John Wiley & Sons, 2005

Inhaltsangabe

This book gives a practical and comprehensive account of the theory, modelling and implementation of credit derivatives and cash products. It provides extensive coverage of a number of topics, including the case for practical vs theoretical models, counterparty risk and single name and correlation products, all with a wealth of examples.

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Über die Autorin bzw. den Autor

GEOFF CHAPLIN studied mathematics at Cambridge (MA 1972) and Oxford (MSc 1973, DPhil 1975) and qualified as an actuary (FFA 1978) while working in a life insurance company. He moved to the City in 1980 and has worked for major banks (including HSBC, Nomura International, and ABN AMRO) as well as consulting to hedge funds, corporate treasurers, and institutional investment funds. He has been involved in the credit derivatives market since 1996 and has both traded portfolio products and developed risk management systems for these products. In addition to consulting and training for the major financial institutions, Geoff has maintained strong academic interests and was a visiting (emeritus) professor at the University of Waterloo (Canada) from 1987 until 1999. He has also published many articles (in Risk, the Journal of the Institute and Faculty of Actuaries, and others) and speaks regularly at conferences on credit derivatives.

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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 book also includes many spreadsheet examples, a dll for the pricing of CDO structures, and code in MathCad covering a variety of applications.

Details zur Ausgabe

• Verlag: John Wiley & Sons
• Erscheinungsdatum: 2005
• Sprache: Englisch
• ISBN 10: 047002416X
• ISBN 13: 9780470024164
• Einband: Gebundene Ausgabe
• Auflage: 1
• Anzahl der Seiten: 336
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Nicht verfügbar