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