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The Credit Risk of Complex Derivatives / by Erik Banks
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Finance and Capital Markets Series | SpringerLink Bücher | Springer ebook collection / Palgrave Economics and Finance Collection 2000 - 2013Publisher: Gordonsville : Palgrave Macmillan, 2004Edition: Third EditionDescription: Online-Ressource (XIX, 556 p, online resource)ISBN:- 9781403946096
- 9781403916693
- 657
- 332.632
- HF5601-HF5689
- HG6024.A3 B362 2004eb
Contents:
Summary: Since the publication of the second 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 edition will be focused clearly on risk education, risk management and risk disclosure in order to make participation in derivatives more secure, transparent, efficient and beneficial.PPN: PPN: 1657487792Package identifier: Produktsigel: ZDB-1-PEO | ZDB-2-PEF | ZDB-2-SXEF | ZDB-2-SEB | BSZ-2-PEF
Cover; Contents; List of Figures; List of Tables; Preface; PART I Derivatives, Credit, and Risk Management; CHAPTER 1 An Overview of the Derivatives Marketplace; CHAPTER 2 Derivative Losses; CHAPTER 3 Risk Governance and Risk Management; CHAPTER 4 Regulatory and Industry Initiatives; PART II The Credit Risk of Complex Derivatives; CHAPTER 5 Classification and Quantification of Credit Risk; CHAPTER 6 Quantifying Option Credit Risk; CHAPTER 7 The Credit Risk of Compound Option Strategies; CHAPTER 8 The Credit Risk of Complex Options; CHAPTER 9 Quantifying Swap Credit Risk
CHAPTER 10 The Credit Risk of Complex SwapsPART III Credit Portfolio Risk Management Issues; CHAPTER 11 Credit Risk Management of Derivative Portfolios: Quantitative Issues; CHAPTER 12 Credit Risk Portfolio Models; CHAPTER 13 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; Notes; Glossary; Bibliography; Index;
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