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The Credit Risk of Complex Derivatives : Finance and Capital Markets - E. Banks

The Credit Risk of Complex Derivatives

Finance and Capital Markets

By: E. Banks

Hardcover Published: 2nd December 2003
ISBN: 9781403916693
Number Of Pages: 556

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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 * 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.

Industry Reviews

'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, Chase Manhattan, Risk Magazine

List of Figuresp. x
List of Tablesp. xiv
Prefacep. xvi
Derivatives, Credit, and Risk Management
An Overview of the Derivatives Marketplacep. 3
Derivatives Market Scopep. 4
Market Volatility and the Growth of Derivativesp. 10
General Derivative Risk and Return Considerationsp. 15
Addressing Derivative Risk Management Issuesp. 19
Overview of the Textp. 25
Derivative Lossesp. 27
Sources of Derivative Lossesp. 27
A Sampling of Derivative Lossesp. 30
Risk Governance and Risk Managementp. 42
Corporate and Risk Governancep. 42
Credit Risk Management Processesp. 43
Regulatory and Industry Initiativesp. 54
Regulatory Effortsp. 54
Industry Effortsp. 68
The Credit Risk of Complex Derivatives
Classification and Quantification of Credit Riskp. 81
Backgroundp. 81
Market Riskp. 82
Risk Equivalencyp. 86
Risk Factorsp. 88
The Risk Equivalency Frameworkp. 98
Refining Risk Equivalent Exposurep. 101
Simulation: An Alternative Methodologyp. 105
Quantifying Option Credit Riskp. 108
An Overview of Option Credit Riskp. 109
The Credit Risk of Compound Option Strategiesp. 121
Product Descriptionp. 122
Credit Risk Quantificationp. 138
The Credit Risk of Complex Optionsp. 160
Product Descriptionp. 164
Credit Risk Quantificationp. 202
Quantifying Swap Credit Riskp. 241
Actual Exposure of Swap Contractsp. 242
Fractional Exposure of Swap Contractsp. 246
Swap Credit Risk in a Complete Frameworkp. 248
A Model for Calculating Swap Credit Riskp. 250
Empirical Findings on Swap Risk Factorsp. 256
The Credit Risk of Complex Swapsp. 260
Product Descriptionp. 261
Credit Risk Quantificationp. 288
Credit Portfolio Risk Management Issues
Credit Risk Management of Derivative Portfolios: Quantitative Issuesp. 321
Consolidating Individual Credit Exposures into Portfoliosp. 322
Portfolios of Counterpartiesp. 341
Quantifying Credit Lossesp. 342
Credit Risk Portfolio Modelsp. 367
Value-at-Risk and Regulatory Modelsp. 367
The Ideal Generic Credit Portfolio Modelp. 369
An Overview of Specific Credit Risk Portfolio Modelsp. 376
Credit Risk Management of Derivative Portfolios: Qualitative Issuesp. 385
Managing Derivative Credit Exposures Dynamicallyp. 385
Addressing Ancillary Credit Risk Management Issuesp. 412
Option Valuationp. 420
Twenty Questions for the Derivatives Deskp. 428
ISDA 2002 Master Agreementp. 430
Notesp. 467
Glossaryp. 494
Bibliographyp. 541
Indexp. 549
Table of Contents provided by Ingram. All Rights Reserved.

ISBN: 9781403916693
ISBN-10: 1403916691
Series: Finance and Capital Markets
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 556
Published: 2nd December 2003
Country of Publication: GB
Dimensions (cm): 24.03 x 15.49  x 3.38
Weight (kg): 0.96
Edition Number: 3
Edition Type: Revised