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IMPLEMENTING CREDIT DERIVATIVESNELKENwydawnictwo: MCGRAW-HILL , rok wydania 1999, wydanie Icena netto: Implementing Credit Derivatives Strategies and Techniques for Using Credit Derivatives in Risk Management The derivatives field is exploding. Investors can purchase derivative products on equities, currencies, commodities, interest rates even the weather! But until credit derivatives were introduced it was difficult, if not impossible, to separate credit risk from the interest rate, market, or other risks of a bond or loan. Israel Nelken's Implementing Credit Derivatives is slated to become the industry's most trusted guidebook for hedging risk and profiting with these complex and rewarding financial instruments. A nuts-and-bolts guide book that emphasizes the day-to-day operational aspects of credit derivatives, as opposed to the theoretical and academic aspects, this long-awaited book provides detailed information on: Structures Forwards, swaps, and options that allow you to achieve specific risk-return profiles and gain value by taking on unlikely risk scenarios Revenue Neutral Diversification How credit derivatives can allow portfolio diversification without loss of income Term Structure Sheets Comprehensive examination of real-world term sheets helps you analyze and understand each trade from both the buyer's and seller's point of view Credit Derivatives and the Repo Market Why a total return swap plus a sale is similar to a repo trade, and specific strategies to benefit from this knowledge Credit Risk Management in Asia Discover how despite lack of data and credit rating activity you can gain phenomenal benefits from credit derivatives in Asia CreditMetrics, CreditRisk+, and Others Compare and contrast today's most useful and popular credit risk measurement systems and determine which is right for you Credit Derivatives and Bank Loans Explore the use of credit derivatives to hedge all types of loans, and how to implement them into a bank's risk management program Creation Hands-on examples show how to determine if a market exists for a new derivative, and if the risk/reward scenario makes sense for both the buy and sell sides Valuation Techniques to calculate whether to use an equity value, spread, or ratings based model within your framework-plus how and where to obtain the necessary data Analysis and Pricing This workshop format analyzes structure and logic behind the pricing of sample credit derivatives, providing valuable guidelines for your own work As credit derivatives become increasingly commonplace in today's global risk management marketplace, let Implementing Credit Derivatives show you the countless ways you can use them to minimize credit risk while maximizing investment profit. Its successful strategies for trading and hedging credit derivatives combined with numerous case studies that emphasize credit derivatives in everyday action will hone your instincts and abilities ... and help you get the most benefit from these important investment vehicles. About the Author Israel Nelken, Ph.D., is president of Super Computer Consulting, Inc., which specializes in software development, exotic options, convertible bonds, fixed income mathematics, and statistical analysis. Dr. Nelken is a lecturer in the University of Chicago Master of Science in Financial Mathematics program, and hosts sold-out options-related seminars in New York and London. His books include: The Handbook of Exotic Options, Volatility in the Capital Markets, and Option Embedded Bonds. 314 pages
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