CREDIT DERIVATIVES BANKS E., GLANTZ M., SIEGEL P. Księgarnia

Credit Derivatives explains the major types of credit derivatives and their unique features, illustrating how they work in the real world through numerous examples. You will learn the key skill of pricing credit derivatives and the factors that must be taken into account, including time to maturity, probability of default, and expected recovery value.

CREDIT DERIVATIVES is an expertly written, easy-to-understand guide to the nature of credit derivatives, their types and features, and their practical uses in credit portfolio management.

Written by three leading risk management authorities, this logically organized resource leads readers step-by-step through all major credit derivative topics, including:

An overview of credit derivatives covering the main products, market growth drivers, and the types of risk common to credit derivative contracts

Bade credit derivative products including asset swaps, credit default swaps, credit spread forwards, total return swaps, basket swaps, and more

Structured and synthetic credit product how basic credit derivative structures can be combined to create assets such as credit-linked notes and synthetic collateralized debt obligations

Credit derivative applications how various institutions can use credit derivative products to meet their investment and risk management goals

A primer on risk modeling how accurate risk estimates can be obtained via models, and how models can be created in single or multifactor form

A basic credit default swap model introducing a model that makes use of historical and market-implied default probabilities

Modeling credit detault risk providing a practical approach to measuring default probabilities

Portfolio management of detault risk-examining defaults, correlations, and valuations, and how they can be employed to manage and optomize the risk and return of credit portfolios

About Authors

Erik Banks is chief risk officer at a multi-strategy hedge fund and has been active in the banking sector for 20 years. Erik has held senior risk management positions at Merrill, XL Capital, and Citibank in New York, Tokyo, London, and Hong Kong, and has written 20 books on derivatives, risk, emerging markets, and merchant banking.

Morton Glanz is on the finance faculty of Fordham Graduate Business School in New York. He is widely published in financial journals and has authored a number of books, including of Optimal Trading Strategies, Managing Bank Risk, Scientific Financial Management, and Loan Risk Management. He is also a financial advisor to government and business.

Paul Siegel is CEO of The Globecon Group, a specialized banking and financial services professional development, conference, and publishing firm operating in the capital markets, credit, risk, corporate finance, and wealth management markets. Paul holds a bachelor's degree in economics and a master's degree in business from the University of Pennsylvania and New York University, respectively.

Hardcover
355 pages

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