The Credit Risk of Complex Derivatives

E. Banks (Autor)

Buch | Softcover

556 Seiten

2004 | 3rd ed. 2004
Palgrave Macmillan (Verlag)
978-1-349-51299-7 (ISBN)

Artikel merken

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.

ERIK BANKS has held senior risk management positions at several global financial institutions, including Partner and Chief Risk Officer of Bermuda reinsurer XL Capital's derivatives subsidiary, and Managing Director of Corporate Risk Management at Merrill Lynch, where he spent 13 years managing credit risk, market risk and risk analytics/ technology teams in Tokyo, Hong Kong, London and, latterly, New York. He received early bank training at Citibank and Manufacturers Hanover, and is the author of a dozen books on risk management, emerging markets, derivatives, alternative risk transfer, merchant banking, and electronic finance.

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

Erscheinungsdatum	26.05.2016
Reihe/Serie	Finance and Capital Markets Series
Zusatzinfo	XIX, 556 p.
Verlagsort	Basingstoke
Sprache	englisch
Maße	148 x 210 mm
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Betriebswirtschaft / Management ► Rechnungswesen / Bilanzen
	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
Schlagworte	Derivatives • Management • options • Option Valuation • Portfolio • Portfolio Model • Rating • Risk Management • Strategy • Swaps
ISBN-10	1-349-51299-0 / 1349512990
ISBN-13	978-1-349-51299-7 / 9781349512997
Zustand	Neuware