Credit Derivatives Trading, Investing and Risk Management 2nd Edition, by Geoff Chaplin focuses on sensible issues and develops an understanding of the products through purposes and detailed evaluation of the risks and various means of trading. It offers description of the important thing merchandise, purposes, and an analysis of typical trades together with foundation trading, hedging, and credit score structuring.
The credit derivatives trade has come below close scrutiny over the past few years, with the recent monetary disaster highlighting the instability of a variety of credit score buildings and throwing the industry into turmoil. What has been made clear by current events is the need for an intensive understanding of credit score derivatives by all parties involved in a transaction, especially merchants, and investors.
Absolutely revised and updated to take in to account the brand new products, markets and risk requirements publish financial crisis, it covers the topic from an actual world perspective, tackling issues akin to liquidity, poor data, and credit score spreads, to the latest innovations in portfolio merchandise, hedging and risk management techniques.
Credit Derivatives Trading, Investing and Risk Management also presents analysis of the industry customary ‘default and restoration’ and Copula models together with many examples, and a description of the fashions’ shortcomings; instruments and strategies for the management of a portfolio or book of credit risks together with acceptable and inappropriate strategies of correlation risk management; thorough evaluation of counterparty risk and intuitive understanding of credit score correlation in actuality and within the Copula model.
The book is totally up to date to reflect the changes the industry has seen over the past 5 years, notably with an evaluation of the lead up and causes of the credit score crisis. It contains 50% new material, which includes copula valuation and hedging, portfolio optimization, portfolio merchandise and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management programs, the credit score meltdown and new chapters on the implementation and testing of credit score by-product models and systems.
Credit Derivatives: Trading, Investing,and Risk Management (The Wiley Finance Series) [Hardcover]
Wiley; 2 edition