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Palgrave Macmillan
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The Credit Risk of Complex Derivatives

  • Book
  • © 1997

Overview

Authors:
  1. Erik Banks
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-viii
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  2. Derivatives and Risk

    1. Front Matter

      Pages 1-1
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    2. Introduction

      • Erik Banks
      Pages 3-39

    3. Classification and Quantification of Credit Risk

      • Erik Banks
      Pages 40-70

  3. The Credit Risk of Complex Options

    1. Front Matter

      Pages 71-71
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    2. Quantifying Option Credit Risk

      • Erik Banks
      Pages 73-87

    3. The Credit Risk of Compound Option Strategies

      • Erik Banks
      Pages 88-125

    4. The Credit Risk of Complex Options

      • Erik Banks
      Pages 126-205

  4. The Credit Risk of Complex Swaps

    1. Front Matter

      Pages 207-207
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    2. Quantifying Swap Credit Risk

      • Erik Banks
      Pages 209-227

    3. The Credit Risk of Complex Swaps

      • Erik Banks
      Pages 228-272

  5. The Credit Risk Management of Derivative Exposures

    1. Front Matter

      Pages 273-273
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    2. The Credit Risk Management of Derivative Portfolios: Quantitative Issues

      • Erik Banks
      Pages 275-315

    3. The Credit Risk Management of Derivative Portfolios: Qualitative Issues

      • Erik Banks
      Pages 316-341

  6. Back Matter

    Pages 342-393
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Keywords

About this book

This edition of The Credit Risk of Complex Derivatives is fully updated and enhanced. It discusses and analyses the credit risks of the new financial derivatives. The book commences with an overview of the regulatory environment and the renewed emphasis on risk Management. It then provides a comprehensive review of complex options and swaps, with extensive examples and illustrations. 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.

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 of Chase Manhattan, London in Risk

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