Derivative Credit Risk
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The Credit Risk Of Complex Derivatives
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Author : Erik Banks
language : en
Publisher: Springer
Release Date : 1997-05-14
The Credit Risk Of Complex Derivatives written by Erik Banks and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-05-14 with Business & Economics categories.
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.
Credit Derivatives
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Author : Erik Banks
language : en
Publisher: McGraw Hill Professional
Release Date : 2006-10-10
Credit Derivatives written by Erik Banks and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-10 with Business & Economics categories.
After reading this book, readers will be able to: Identify product consideration and borrower characteristics Understand expected vs. unexpected losses Evaluate the probability of default Determine the probability of a spread increase
Credit Derivatives
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Author : George Chacko
language : en
Publisher: Pearson Education
Release Date : 2006-06-02
Credit Derivatives written by George Chacko and has been published by Pearson Education this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-06-02 with Business & Economics categories.
The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.
Credit Derivatives
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Author : Mark J. P. Anson
language : en
Publisher: John Wiley & Sons
Release Date : 2004-02-01
Credit Derivatives written by Mark J. P. Anson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-01 with Business & Economics categories.
An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Credit Derivatives Revised Edition
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Author : George Chacko
language : en
Publisher: FT Press
Release Date : 2015-12-18
Credit Derivatives Revised Edition written by George Chacko and has been published by FT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-18 with Business & Economics categories.
Every company faces credit risk. Credit derivatives are among the most powerful tools available for managing it. Once restricted to the financial industry, they are now widely used by businesses of all kinds—and all financial professionals need to understand them. Credit Derivatives, Revised Edition, explains these tools simply, clearly, and rigorously: what they do, how they work, and how to use them in today’s applications. The authors first show how credit risk can be measured and valued. They explain key ideas, such as recovery rates and credit spreads, and show how derivatives transfer credit risk to external investors. Next, they systematically demonstrate how credit risk models can describe and predict credit risk events. They cover structural models, including Merton and Black and Cox; empirical models, such as the Z-score model; and reduced-form models, such as Jarrow-Turnbull. The authors also present detailed explanations of two widely used instruments: credit default swaps (CDSs) and collateralized debt obligations (CDOs). Finally, building on what you’ve learned, the authors offer a brand-new primer on today’s applications for financial instruments with embedded credit risk. FINANCIAL STATEMENT ANALYSIS Perform preliminary financial analysis on any potential project UNDERSTAND, MEASURE, AND ASSESS CREDIT RISK Master core concepts, from credit spreads to default probabilities MASTER POWERFUL CREDIT RISK MODELING APPROACHES Learn structural, empirical, and reduced-form credit risk modeling GAIN DEEP INSIGHT INTO TODAY’S INSTRUMENTS AND APPLICATIONS Understand CDSs, CDOs, and how credit-sensitive products are now used FOR EVERY FINANCIAL PRACTITIONER: BUY-SIDE AND SELL-SIDE For CFOs, treasurers, and other practitioners—everywhere from pension funds to commercial corporations
Credit Derivatives
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Author : George Chacko
language : en
Publisher: Financial Times/Prentice Hall
Release Date : 2016
Credit Derivatives written by George Chacko and has been published by Financial Times/Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Credit derivatives categories.
Now, there's a completely up-to-date guide on credit derivatives that's ideal for all working financial professionals and students entering the field. Credit Derivatives, Second Edition has been fully updated to explain today's credit risk markets clearly and simply, in language any practitioner or advanced business student can understand. The authors begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it. The authors, including leading practitioner George Chacko, have updated all content throughout to reflect today's instruments, rules, and practices.
Implementing Credit Derivatives
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Author : Israel Nelken
language : en
Publisher: McGraw Hill Professional
Release Date : 1999
Implementing Credit Derivatives written by Israel Nelken and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
This text goes beyond the fundamentals of credit derivatives, to explore the practical realities of derivatives in a credit risk management strategy. Key regulatory and legal issues are covered, along with case studies to demonstrate application of the strategies discussed.
Credit Risk
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Author : Niklas Wagner
language : en
Publisher: CRC Press
Release Date : 2008-05-28
Credit Risk written by Niklas Wagner and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-28 with Business & Economics categories.
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio
Pricing Derivative Credit Risk
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Author : Manuel Ammann
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Pricing Derivative Credit Risk written by Manuel Ammann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Business & Economics categories.
Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues generally promise investors a higher yield. The same principle also applies to financial derivatives. Otherwise identical derivative securities will likely have differ ent prices if the counterparties are not of the same credit quality. Although this argument seems intuitively convincing, widely used pricing models for financial derivatives do not incorporate credit risk effects. This research monograph analyzes the effect of credit risk on financial derivatives prices. Credit risk can affect derivatives prices in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the un derlying of a derivative instrument. The text focuses on valuation models which take into account counterparty risk but also addresses the other two valuation problems.
Credit Derivatives
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Author : Gunter Meissner
language : en
Publisher: John Wiley & Sons
Release Date : 2009-02-04
Credit Derivatives written by Gunter Meissner and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-02-04 with Business & Economics categories.
The market for credit derivatives--financial instruments designedto transfer credit risk from one party to another--has grownexponentially in recent years, with volume expected to reach morethan $4.8 trillion by 2004. With demand increasing from the privatesector for finance professionals trained in the opportunities--anddangers--inherent in this fast-changing market, finance courses arealready springing up to meet this need. Credit Derivatives: Explains the field of credit derivatives to business studentswith a background in finance Cites real-world examples throughout, reinforced byend-of-chapter questions and internet links to pricing models Provides a concise overview of the field that is ideal forinstructors seeking to supplement traditional derivatives coursematerial, as well as those looking to offer a stand-alone course oncredit derivatives.