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The Credit Risk of Complex Derivatives (Finance and Capital Markets Series) - Softcover

Erik Banks

 
9780333604021: The Credit Risk of Complex Derivatives (Finance and Capital Markets Series)
Softcover
ISBN 10: 0333604024 ISBN 13: 9780333604021
Publisher: Palgrave Macmillan, 1993

Synopsis

Preface PART DERIVATIVES, CREDIT AND RISK MANAGEMENT An Overview of the Derivatives Marketplace Derivative Losses Risk Governance and Risk Management Regulatory Initiatives and Advances PART THE CREDIT RISK OF COMPLEX DERIVATIVES Classification and Quantification of Credit Risk Quantifying Option Credit Risk The Credit Risk of Compound Option Strategies The Credit Risk of Complex Options Quantifying Swap Credit Risk The Credit Risk of Complex Swaps PART CREDIT PORTFOLIO RISK MANAGEMENT ISSUES Credit Risk Management of Derivative Quantitative Issues Credit Risk Portfolio Models Credit Risk Management of Derivative Qualitative Issues Appendix 1: Option Valuation Appendix 2: Twenty Questions for the Derivatives Desk Appendix 3: ISDA 2002 Master Agreement Glossary References Index

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About the Author

Erik Banks has held senior risk management positions at several global financial institutions, including Partner and Chief Risk Officer of Bermuda reinsurer XL Capital's derivatives subsidiary, and Managing Director of Corporate Risk Management at Merrill Lynch

"About this title" may belong to another edition of this title.

Publisher
Palgrave Macmillan
Publication date
1993
Language
English
ISBN 10 
0333604024
ISBN 13 
9780333604021
Binding
Paperback
Edition number
1