Chaplin Credit Derivatives

Trading, Investing,and Risk Management
2. Auflage 2010
ISBN: 978-0-470-68988-2
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 408 Seiten, E-Book

Reihe: The Wiley Finance Series

The credit derivatives industry has come under close scrutiny overthe past few years, with the recent financial crisis highlightingthe instability of a number of credit structures and throwing theindustry into turmoil. What has been made clear by recent events isthe necessity for a thorough understanding of credit derivatives byall parties involved in a transaction, especially traders,structurers, quants and investors.
Fully revised and updated to take in to account the newproducts, markets and risk requirements post financial crisis,Credit Derivatives: Trading, Investing and Risk Management,Second Edition, covers the subject from a real worldperspective, tackling issues such as liquidity, poor data, andcredit spreads, to the latest innovations in portfolio products,hedging and risk management techniques.
The book concentrates on practical issues and develops anunderstanding of the products through applications and detailedanalysis of the risks and alternative means of trading.
It provides:
* a description of the key products, applications, and ananalysis of typical trades including basis trading, hedging, andcredit structuring;
* analysis of the industry standard 'default and recovery' andCopula models including many examples, and a description of themodels' shortcomings;
* tools and techniques for the management of a portfolio or bookof credit risks including appropriate and inappropriate methods ofcorrelation risk management;
* a thorough analysis of counterparty risk;
* an intuitive understanding of credit correlation in reality andin the Copula model.
The book is thoroughly updated to reflect the changes theindustry has seen over the past 5 years, notably with an analysisof the lead up and causes of the credit crisis. It contains 50% newmaterial, which includes copula valuation and hedging, portfoliooptimisation, portfolio products and correlation risk management,pricing in illiquid environments, chapters on the evolution ofcredit management systems, the credit meltdown and new chapters onthe implementation and testing of credit derivative models andsystems.
The book is accompanied by a website which contains toolsfor credit derivatives valuation and risk management, illustratingthe models used in the book and also providing a valuationtoolkit.

Autoren/Hrsg.

Chaplin, Geoff

Über Autor(innen)

GEOFF CHAPLIN studied mathematics at Cambridge (MA 1972)and Oxford (MSc 1973, DPhil 1975) and trained as an actuary (FFA1978) while working in a life insurance company. He moved to theCity in 1980 and has worked for major banks (including HSBC, NomuraInternational, and ABN AMRO). As a partner in Reoch Credit he hasconsulted to law firms, hedge funds, corporate treasurers,institutional investment funds and risk control departments ofmajor banks in the areas of credit and mortality risk. He has beeninvolved in the credit derivatives market since 1996 and lifesettlements structures since 2003. Geoff has also maintained strongacademic interests - he was a visiting (emeritus) professorat the University of Waterloo, Canada, from 1987 until 1999. He hasalso published many articles in Risk, the Journal of theInstitute and Faculty of Actuaries, and others, speaksregularly at conferences and is the author of CreditDerivatives: Risk Management, Trading and Investing (John Wiley& Sons Ltd, 2005) and co-author of Life Settlements andLongevity Structures: Pricing and Risk Management: Investment andStructured Finance (John Wiley & Sons Ltd, 2009).