Product Description

This comprehensive text provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes. The book: emphasizes fixed income instruments rather than loans, where stochastic future exposures are modelled accurately; examines loans, credit derivatives, interest rate derivatives with risky counterparties and convertible bonds; provides a thorough analysis of the pricing and hedging of basket credit derivatives and other credit contingent products; adapts credit derivative modelling techniques in order to price and hedge the credit component in fixed income derivatives; provides a practical discusssion of market frictions that impact credit trading; illustrates complex theoretical issues with a high number of examples, tables and figures that have been designed with the practitioner in mind; and discusses proofs and technicalities in the appendix of each chapter.

Product Details

• Amazon Sales Rank: #570602 in Books
• Published on: 2001-05
• Original language: English
• Binding: Hardcover
• 424 pages

Review
"Professional risk managers and academics will benefit from reading this excellent book. It is well written, offers much valuable information and deserves to become a standard reference book... the authors have done a great job" Stuart Turnbull, Canadian Imperial Bank of Commerce, Risk magazine - December 2001

Customer Reviews

Comphensive and practical
This book is a comprehensive literature on credit risk. It is split broadly into two parts, risk management and pricing. It does not to over-complicate the math although important derivations are given for the more technical readers. Numerous examples are included to demonstrate the topics covered which I found very useful. The first section gives an overview of credit risk management. Well-known credit models such as KMV, CreditMetrics and CreditRisk+ are covered. Advanced issues like default correlation, joint credit migration, extreme value theory and Monte Carlo acceleration techniques are also addressed. A general and flexible framework is built up. Within this framework, economic capital and risk adjusted performance measurement can be quantified and it is shown how to calculate risk contributions and portfolio optimization. The second part of the book is dedicated to the pricing of credit, including convertible bonds, interest-rate derivatives and credit derivatives. The chapter on credit derivatives is excellent. Arvanitis and Gregory have taken on a difficult task by deciding to cover so much in one book and clearly this means that not everything can be covered in detail. However, I would strongly recommend this book anyone with an interest in credit risk, whether from the perspective of pricing or risk management.