Complex derivatives: understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chicago, Ill. u.a.
Probus Publ.
1994
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VII, 229 S. graph. Darst. |
| ISBN: | 1557385505 |
Internformat
MARC
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| 245 | 1 | 0 | |a Complex derivatives |b understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives |c Erik Banks |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-006359648 | ||
Datensatz im Suchindex
| _version_ | 1804123962706231296 |
|---|---|
| adam_text | Contents
Acknowledgements vii
PART I: DERIVATIVES AND RISK
1 Issues in the Derivatives Market 3
Introduction 3
The motivation for derivatives transactions 7
The concerns of market participants and regulatory authorities 18
2 Classification and Quantification of Credit Risk 28
Background 28
Market risk 29
Risk equivalency 32
Risk factors 34
PART II: THE CREDIT RISK OF OPTIONS
3 A Review of Credit Exposure Evaluation for Options 55
4 The Credit Risk Inherent in Varying Options Strategies 64
Product description 64
Credit risk evaluation 75
PART IH: THE CREDIT RISK OF EQUITY DERIVATIVES
5 The Credit Risk of Standard Equity Derivative Swaps 97
Product description 97
Credit risk quantification 105
Risk factors 119
6 The Credit Risk of Equity Derivative Options and
Complex Structures 121
Product description 121
Credit risk quantification 128
Equity derivative options embedded in swaps 147
Complex Derivatives
PART IV: THE CREDIT RISK OF COMPLEX SWAPS
7 A Review of Swap Credit Exposure Evaluation 153
The regulatory approach to credit risk 153
Netting of swap credit exposures 155
The individual institution approach 157
The mark to market approach 157
The potential market exposure approach 161
Swap risk in a complete framework 165
Empirical findings on swap risk factors 166
8 The Credit Risk of Complex Swap Structures 170
Product description 170
Credit risk quantification 179
APPENDICES
Appendix 1: Option Valuation Methodology 197
Appendix 2: A Model for Calculating Swap Risk 205
Appendix 3: Twenty Questions for the Derivatives Desk 213
Bibliography 215
Index 223
|
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| illustrated | Illustrated |
| indexdate | 2024-07-09T17:38:06Z |
| institution | BVB |
| isbn | 1557385505 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006359648 |
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| physical | VII, 229 S. graph. Darst. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | Probus Publ. |
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| spelling | Banks, Erik 1965- Verfasser (DE-588)171578902 aut Complex derivatives understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives Erik Banks Chicago, Ill. u.a. Probus Publ. 1994 VII, 229 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivative securities Exotic options (Finance) Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Finanzinnovation (DE-588)4124975-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006359648&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Banks, Erik 1965- Complex derivatives understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives Derivative securities Exotic options (Finance) Kreditrisiko (DE-588)4114309-7 gnd Finanzinnovation (DE-588)4124975-6 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4124975-6 |
| title | Complex derivatives understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives |
| title_auth | Complex derivatives understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives |
| title_exact_search | Complex derivatives understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives |
| title_full | Complex derivatives understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives Erik Banks |
| title_fullStr | Complex derivatives understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives Erik Banks |
| title_full_unstemmed | Complex derivatives understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives Erik Banks |
| title_short | Complex derivatives |
| title_sort | complex derivatives understanding and managing the risks of exotic options complex swaps warrants and other synthetic derivatives |
| title_sub | understanding and managing the risks of exotic options, complex swaps, warrants and other synthetic derivatives |
| topic | Derivative securities Exotic options (Finance) Kreditrisiko (DE-588)4114309-7 gnd Finanzinnovation (DE-588)4124975-6 gnd |
| topic_facet | Derivative securities Exotic options (Finance) Kreditrisiko Finanzinnovation |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006359648&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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