Credit: The Complete Guide to Pricing, Hedging and Risk Management

Angelo Arvanitis Jon Gregory

ISBN 10: 1899332731 / ISBN 13: 9781899332731

Published by Risk Books, 2001

About this Item

350 pages. 9.45x6.46x1.10 inches. In Stock.

Seller Inventory # 1899332731

Bibliographic Details

• Title: Credit: The Complete Guide to Pricing, Hedging and Risk Management
• Publisher: Risk Books
• Publication Date: 2001
• Language: English
• ISBN 10: 1899332731
• ISBN 13: 9781899332731
• Binding: Hardcover
• Condition: Brand New
• Weight: 0.79 kilograms

About this title

Synopsis

Short listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance

Provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes.

Emphasises fixed income instruments rather than loans, where stochastic future exposures are modelled accurately.

Examines loans, credit derivatives, interest rate derivatives with risky conterparties 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.

It provides a practical discussion of market frictions that impact credit trading.

Complex theoretical issues are illustrated with an unusually high number of examples, tables and figures that have been designed with the practitioner in mind.

It is self-sufficient. Proofs and technicalities are discussed in the appendices of each chapter.

It has both an appendix of 6 papers and is followed by a glossary.

Review

Risk managers and academics will benefit from reading this excellent book. It deserves to become a standard reference. -- Stuart Turnbull, Canadian Imperial Bank of Commerce, Risk magazine - December 2001