Customer Reviews

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

5 star:		(3)
4 star:		(0)
3 star:		(2)
2 star:		(1)
1 star:		(0)

 

 

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.

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.

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.

The authors cover Credit Risk, not Credit Trading Risk as the title might suggest. Once you get past that, the book is actually not bad. However, there are better books on this topic.

Their presentation has some flow issue where you have to read the section more than once to really understand their point. Also, too many pages devoted to appendix. What they do overall a good job of is to bring pricing and hedging aspects of credit risk into one place.

This should probably be a 2.5 star rating but they don't allow non-integer ratings. Basically, while the conceptual material regarding hedging of credit derivatives is quite good, there are far too many typo's throughout the book - often where a perhaps less experienced reader will not pick them up (both in text and formulae). Also, while there is a wealth of material concerning basic and intermediate practical issues, the detail peters out just when the most practical issues are raised - such as delta hedging of credit derivatives by maturity buckets rather than with a single maturity CDS. Still, I did find elements of it useful and some concepts that I had not come across before.

The topics covered in this book are very good. However, the writing is really lousy. One can get a headache from reading this book.

Can anyone understand what a "percentile" is from this book?