| Document Type
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BL
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| Record Number
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1048051
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| Doc. No
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b802421
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| Main Entry
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Banks, Erik.
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| Title & Author
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The credit risk of complex derivatives /\ Erik Banks.
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| Edition Statement
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3rd ed.
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| Publication Statement
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Basingstoke, Hampshire ;New York :: Palgrave Macmillan,, 2004.
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| Series Statement
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Finance and capital markets
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| Page. NO
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1 online resource (xix, 556 pages) :: illustrations
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| ISBN
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1403916691
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: 1403946094
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: 9781403916693
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: 9781403946096
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1403916691
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| Bibliographies/Indexes
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Includes bibliographical references (pages 541-548) and index.
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| Contents
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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 -- Appendix 1: Option Valuation -- Appendix 2: Twenty Questions for the Derivatives Desk -- Appendix 3: ISDA 2002 Master Agreement -- Glossary -- References -- Index.
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| Abstract
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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 modelsAimed at clients, intermediaries and regulators.
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| Subject
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Derivative securities.
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Risk management.
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BUSINESS ECONOMICS-- Investments Securities-- General.
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Derivative securities.
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Risk management.
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Derivative securities.
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Risk management.
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Financiering.
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Kapitaalmarkt.
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Opties.
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Risk management.
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Swaps.
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| Subject
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Termijnhandel.
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| Dewey Classification
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332.64/57
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| LC Classification
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HG6024.A3B362 2004eb
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| NLM classification
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F830. 91clc
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