Credit Derivatives: Application, Pricing, and Risk Management [Hardcover]

Gunter Meissner (Author)

Book Description

ISBN-10: 1405126760 | ISBN-13: 978-1405126762 | Publication Date: February 18, 2005 | Edition: 1

The market for credit derivatives--financial instruments designed to transfer credit risk from one party to another--has grown exponentially in recent years, with volume expected to reach more than $4.8 trillion by 2004. With demand increasing from the private sector for finance professionals trained in the opportunities--and dangers--inherent in this fast-changing market, finance courses are already springing up to meet this need.

Credit Derivatives:

• Explains the field of credit derivatives to business students with a background in finance
  
• Cites real-world examples throughout, reinforced by end-of-chapter questions and internet links to pricing models
  
• Provides a concise overview of the field that is ideal for instructors seeking to supplement traditional derivatives course material, as well as those looking to offer a stand-alone course on credit derivatives.

Editorial Reviews

Review

"Gunter Meissner has pulled off the nearly impossible in this very valuable book on credit risk and credit derivatives. The book has something practical and useful for everyone from serious students of finance to very senior management and experienced credit modelers."
Donald R. van Deventer, Chairman and CEO, Kamakura Corporation

Book Description

The market for credit derivatives - financial instruments designed to transfer credit risk from one party to another - has grown exponentially in recent years, with volume expected to reach in excess of $4.8 trillion by 2004. With demand increasing from the private sector for finance professionals trained in the opportunities and dangers inherent in this fast-changing market, finance courses are already springing up to meet this need. Credit Derivatives is one of the first books to explain this field to business students with a background in finance. Real-world examples are cited throughout, reinforced by end-of-chapter questions, and students can take advantage of links to pricing models on the Internet.

See all Editorial Reviews

Product Details

• Hardcover: 248 pages
• Publisher: Wiley-Blackwell; 1 edition (February 18, 2005)
• Language: English
• ISBN-10: 1405126760
• ISBN-13: 978-1405126762
• Product Dimensions: 7 x 0.9 x 10 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
• Average Customer Review: 4.2 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #1,131,054 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

Most Helpful Customer Reviews

8 of 12 people found the following review helpful:

5.0 out of 5 stars Suited for MBA level, February 19, 2005

By 

Yi Mei "Yi Mei" - See all my reviews

This review is from: Credit Derivatives: Application, Pricing, and Risk Management (Hardcover)

The book is an easy read on credit risk and credit derivatives. It is more informative than the Tavakoli or Nelken book and less theoretical than Schoenbucher or Duffie/Singleton. The many examples and problems, and the pricing models provided on the Internet make this book an excellent choice for an MBA program.

6 of 9 people found the following review helpful:

5.0 out of 5 stars Finally...a book even I can understand!, February 24, 2005

By 

Uli (Honolulu, Hawaii) - See all my reviews

This review is from: Credit Derivatives: Application, Pricing, and Risk Management (Hardcover)

Nice piece of work. Very informative. Highlight is chapter 4 with tons (almost too much) of practical credit derivatives applications. The pricing chapter 5 starts well with explaining structural and reduced form models in a straightforward, simple way, but the first time passage models could have used more discussion. Risk management chapter 6, which also covers the impact of credit derivatives on OP risk, should be helpful for practitioners. The free pricing models on the Internet, especially the trinomial Hull-White and LMM model, are valuable from an educational and practical point of view.

5.0 out of 5 stars Nice read!, April 25, 2006

By 

Wolfgang - See all my reviews

This review is from: Credit Derivatives: Application, Pricing, and Risk Management (Hardcover)

This book explains the difficult field of credit derivatives
with ease and grace. Haven't found a so easy read.
Liked mostly the applicaton chapter 4. The pricing chapter 5 is also easy to follow. The Merton extensions could have used more meat (too much math).