The Credit Risk of Complex Derivatives

by Erik Banks

Overview

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.

Product Details

ISBN-13:	9780333694626
Publisher:	Palgrave Macmillan UK
Publication date:	06/18/1997
Series:	Finance and Capital Markets Series
Edition description:	1997
Pages:	393
Product dimensions:	5.51(w) x 8.50(h) x (d)

About the Author

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

Table of Contents

Foreword - PART 1: DERIVATIVES AND RISK - Introduction - Classification and Quantification of Credit Risk - PART 2: THE CREDIT RISK OF COMPLEX OPTIONS - Quantifying Option Credit Risk - The Credit Risk of Compound Option Strategies - The Credit Risk of Complex Options - PART 3: THE CREDIT RISK OF COMPLEX SWAPS - Quantifying Swap Credit Risk - The Credit Risk of Complex Swaps - PART 4: THE CREDIT RISK MANAGEMENT OF DERIVATIVE EXPOSURES - Credit Risk Management of Derivative Portfolios: Quantitative Issues - Credit Risk Management of Derivative Portfolios: Qualitative Issues - Appendixes - Option Valuation - A Model for Calculating Swap Risk - 20 Questions for the Derivatives Desk - Glossary - References

Editorial Reviews

' ...the author of this book deserves praise for providing a valuable reference for those looking to improve their technical and product knowledge. ....essential reference material for any derivative-focused credit department.' - Tony Aston of Chase Manhattan, London in Risk

From the Publisher