The credit risk of complex derivatives
- ISBN: 9781403916693
- Editorial: Palgrave MacMillan
- Fecha de la edición: 2003
- Lugar de la edición: Hampshire. Reino Unido
- Edición número: 3rd ed.
- Colección: Finance and capital markets
- Encuadernación: Cartoné
- Medidas: 23 cm
- Nº Pág.: 556
- Idiomas: Inglés
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 efforts * regulatory initiatives and advances * credit risk portfolio models INDICE Preface PART I: DERIVATIVES, CREDIT AND RISK MANAGEMENT An Overview of the Derivatives Marketplace Derivative Losses Risk Governance and Risk Management Regulatory Initiatives and Advances PART II: THE CREDIT RISK OF COMPLEX DERIVATIVES Classification and Quantification of Credit Risk Quantifying Option Credit Risk The Credit Risk of Compound Option Strategies The Credit Risk of Complex Options Quantifying Swap Credit Risk The Credit Risk of Complex Swaps PART III: CREDIT PORTFOLIO RISK MANAGEMENT ISSUES Credit Risk Management of Derivative Portfolios: Quantitative Issues Credit Risk Portfolio Models Credit Risk Management of Derivative Portfolios: Qualitative Issues
