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

Jon Gregory (Author), Angelo Arvanitis (Author)

Book Description

Publication Date: April 1, 2001 | ISBN-10: 1899332731 | ISBN-13: 978-1899332731 | Edition: 1st

This comprehensive text provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes. The book: emphasizes fixed income instruments rather than loans, where stochastic future exposures are modelled accurately; examines loans, credit derivatives, interest rate derivatives with risky counterparties 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; provides a practical discusssion of market frictions that impact credit trading; illustrates complex theoretical issues with a high number of examples, tables and figures that have been designed with the practitioner in mind; and discusses proofs and technicalities in the appendix of each chapter.

Editorial Reviews

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

Product Details

• Hardcover: 424 pages
• Publisher: Risk Publications; 1st edition (April 1, 2001)
• Language: English
• ISBN-10: 1899332731
• ISBN-13: 978-1899332731
• Product Dimensions: 9.4 x 6.5 x 1.1 inches
• Shipping Weight: 2.4 pounds (View shipping rates and policies)
• Average Customer Review: 3.8 out of 5 stars  See all reviews (6 customer reviews)
• Amazon Best Sellers Rank: #2,623,763 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

4 of 4 people found the following review helpful:

5.0 out of 5 stars Much needed book on credit, September 27, 2001

By A Customer

This review is from: Credit: The Complete Guide to Pricing, Hedging and Risk Management (Hardcover)

Arvanitis and Gregory have written an excellent overview of modelling credit risk. The book is written in an intuitive and semi-technical style and the ideas are highlighted with numerous examples. It is therefore applicable to both managers wanting an overview of credit modelling techniques and quants who want more technical details on pricing models. Opening chapters cover credit risk models and describe the standard approaches, such as CreditMetrics. The computation of the loss distribution is discussed and the authors illustrate the importance of modelling the potential credit exposure of derivatives. Default correlation, credit migration and recovery rate modelling are also discussed. Monte Carlo simulation with variance reduction and quasi-Monte Carlo techniques is relied upon heavily. Later chapters include an excellent treatment of credit derivative pricing, a theoretical discussion of how to price derivative counterparty risk and a discussion of credit risk in convertible bonds. The final chapter discusses some related issues such as the discrete hedging problem and market imperfections.

The book is broad in its product coverage with the right amount of technical depth. I would recommend it to anyone with an interest in credit risk or credit derivatives.

3 of 3 people found the following review helpful:

5.0 out of 5 stars A practioners view of credit derivaties, November 22, 2001

By 

Dev K. Roy "fakir73" (NYC, NY USA) - See all my reviews
(REAL NAME)   

This review is from: Credit: The Complete Guide to Pricing, Hedging and Risk Management (Hardcover)

As a trader working in the Synthetic Arbitrage area I find this book an in valuable resource. The book covers credit concepts and institutional details like how to calculate economic capital etc. to intersting ways of constructing the credit curve to how one price different instruments on it and the different no arb relationships of different instruments. I found the chapers on hedging baskets and derivative credit risk to be very interesting and well written. The chapter on converts was a bit light. But on the whole this book is a must have for a Trader in this area of bleeding edge finance.

2 of 3 people found the following review helpful:

5.0 out of 5 stars Very well written and comprehensive, June 17, 2001

By A Customer

This review is from: Credit: The Complete Guide to Pricing, Hedging and Risk Management (Hardcover)

This is an excellent book. It covers a lot of material in a very practical way. It covers topics from credit risk management to the pricing of credit derivatives in a practical style with not too much math.