Credit: The Complete Guide to Pricing, Hedging and Risk Management - Hardcover

 
9781899332731: Credit: The Complete Guide to Pricing, Hedging and Risk Management
Hardcover
ISBN 10: 1899332731 ISBN 13: 9781899332731
Verlag: Risk Books, 2001

Inhaltsangabe

Short listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance Provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes. Emphasises fixed income instruments rather than loans, where stochastic future exposures are modelled accurately. Examines loans, credit derivatives, interest rate derivatives with risky conterparties and convertible bonds. Provides a thorough ysis of the pricing and hedging of basket credit derivatives and other credit contingent products. Adapts credit derivative modelling techniques in order to price and hedge the credit component in fixed income derivatives. It provides a practical discussion of market frictions that impact credit trading. Complex theoretical issues are illustrated with an unusually high number of examples, tables and figures that have been designed with the practitioner in mind. It is self-sufficient. Proofs and technicalities are discussed in the appendices of each chapter. It has both an appendix of 6 papers and is followed by a glossary.

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Verlag
Risk Books
Erscheinungsdatum
2001
Sprache
Englisch
ISBN 10 
1899332731
ISBN 13 
9781899332731
Einband
Gebundene Ausgabe
Auflage
1
Anzahl der Seiten
350
Herausgeber
Arvanitis Angelo, Gregory Ph.D. Jon
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Verantwortliche Person
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