The credit risk of complex derivatives:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke [u.a.]
Macmillan Business
1997
|
| Edition: | 2. ed. |
| Series: | Finance and capital markets series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 393 S. graph. Darst. |
| ISBN: | 0333694627 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Preface vii
PART I: DERIVATIVES AND RISK
1 Introduction 3
Market volatility and the growth of derivatives 8
Derivative risk and return considerations 20
Derivative losses in the 1980s and 1990s 23
Addressing derivative risk management issues 26
Overview of the text 35
2 Classification and Quantification of Credit Risk 40
Background 40
Market risk 42
Risk equivalency 45
Risk factors 47
The risk equivalency framework 58
Refining risk equivalent exposure 59
Simulation: an alternate methodology 63
PART II: THE CREDIT RISK OF COMPLEX OPTIONS
3 Quantifying Option Credit Risk 73
An overview of option credit risk 73
Quantifying option credit risk 75
Alternate quantification methodologies 81
4 The Credit Risk of Compound Option Strategies 88
Product description 88
Credit risk quantification 106
5 The Credit Risk of Complex Options 126
Product description 127
Credit risk quantification 165
v
The Credit Risk of Complex Derivatives
PART III: THE CREDIT RISK OF COMPLEX SWAPS
6 Quantifying Swap Credit Risk 209
The regulatory approach to swap credit risk 209
The individual institution approach to swap credit risk 214
Empirical findings on swap risk factors 222
7 The Credit Risk of Complex Swaps 228
Product description 228
Credit risk quantification 244
PART IV: THE CREDIT RISK MANAGEMENT OF DERIVATIVE
EXPOSURES
8 The Credit Risk Management of Derivative Portfolios:
Quantitative Issues 275
Consolidating individual credit exposures into portfolios 276
Portfolios of counterparties 291
Quantifying credit losses 291
9 The Credit Risk Management of Derivative Portfolios:
Qualitative Issues 316
Managing derivative credit exposures dynamically 316
Addressing ancillary credit risk management issues 335
Appendix 1: Option Valuation 342
Appendix 2: A Model for Calculating Risk Swap 349
Appendix 3: Twenty Questions for the Derivatives Desk 357
Glossary 359
References 382
Index 388
vi
|
| any_adam_object | 1 |
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| dewey-full | 332.1068 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1068 |
| dewey-search | 332.1068 |
| dewey-sort | 3332.1068 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
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| institution | BVB |
| isbn | 0333694627 |
| language | English |
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| physical | VIII, 393 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Macmillan Business |
| record_format | marc |
| series2 | Finance and capital markets series |
| spelling | Banks, Erik 1965- Verfasser (DE-588)171578902 aut The credit risk of complex derivatives Erik Banks 2. ed. Basingstoke [u.a.] Macmillan Business 1997 VIII, 393 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finance and capital markets series Credit control Derivative securities Financial engineering Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditderivat (DE-588)7660453-6 s DE-604 Kreditrisiko (DE-588)4114309-7 s Derivat Wertpapier (DE-588)4381572-8 s 1\p DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007762344&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Banks, Erik 1965- The credit risk of complex derivatives Credit control Derivative securities Financial engineering Derivat Wertpapier (DE-588)4381572-8 gnd Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)7660453-6 (DE-588)4114309-7 |
| title | The credit risk of complex derivatives |
| title_auth | The credit risk of complex derivatives |
| title_exact_search | The credit risk of complex derivatives |
| title_full | The credit risk of complex derivatives Erik Banks |
| title_fullStr | The credit risk of complex derivatives Erik Banks |
| title_full_unstemmed | The credit risk of complex derivatives Erik Banks |
| title_short | The credit risk of complex derivatives |
| title_sort | the credit risk of complex derivatives |
| topic | Credit control Derivative securities Financial engineering Derivat Wertpapier (DE-588)4381572-8 gnd Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Credit control Derivative securities Financial engineering Derivat Wertpapier Kreditderivat Kreditrisiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007762344&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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