Credit derivatives. Risk management, trading and investing
Product Rating
The credit derivative market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making it presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related 'real world' issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. This book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risk and alternative means of trading.
The book provides:
- A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring
- Analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings
- Tools and techniques for the management of a portfolio or boom of credit risk including appropriate and inappropriate methods of correlation risk management
- A thorough analysis of counterparty risk
- An intuitive understanding of credit correlation in reality and in the Copula model