Credit Risk of Complex Derivatives

Häftad, Engelska, 1997

Av Erik Banks

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This edition of The Credit Risk of Complex Derivatives is fully updated and enhanced. 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.

Produktinformation

Utgivningsdatum1997-01-01
Mått140 x 216 x 23 mm
Vikt513 g
FormatHäftad
SpråkEngelska
SerieFinance and Capital Markets Series
Antal sidor393
Upplaga2
FörlagPalgrave Macmillan
ISBN9781349144860

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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