Credit Derivatives: The Definitive Guide [Hardcover]

Jon Gregory (Author)

Book Description

Publication Date: September 25, 2003

As a guide to the purchase and use of credit derivatives, this definitive guide has no equal. With succinct presentation of all the important facts and key techniques used in the market, Credit Derivatives' 21 chapters will bring you right up-to-date with all the inside knowledge you need to aid your progress in this complex industry.

Editorial Reviews

Review

"Provides a unique insight into the latest developments of the ever growing credit derivatives market." -- Paul van der Maas

This is THE book to read on credit derivatives, easily the most authoritative available -- Glyn Holton, Contingency Analysis, November 2003

About the Author

Jon Gregory is global head of the research team for credit trading and derivatives at BNP Paribas. His team has provided the quantitative foundations for the rapid growth of the BNP Paribas credit derivative desks in London, New York, Hong Kong and Tokyo, since the BNP and Paribas merger in 2000. Jon joined Paribas in 1997 and was responsible for the development of the internal model for analysing the economic capital of the fixed income division. In addition to his work on credit risk modelling he has worked on pricing and risk management issues in interest-rate and equity and insurance derivatives. His main interest lies in reconciling theoretical and practical approaches for pricing, hedging and managing credit risk. He worked in the Fixed Income division of Salomon Brothers (now part of Citigroup) prior to joining Paribas in 1997. In addition to publishing papers on the pricing of credit risk and related topics, he is co-author of the best selling book Credit: The Complete Guide to Pricing, Hedging and Risk Management, short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon gained a BSc from the University of Bristol in 1993 and was awarded his PhD from Cambridge University in 1996.

Product Details

• Hardcover: 495 pages
• Publisher: Risk Books in association with Application Networks (September 25, 2003)
• Language: English
• ISBN-10: 1904339123
• ISBN-13: 978-1904339120
• Product Dimensions: 9.3 x 6.4 x 1.4 inches
• Shipping Weight: 2.8 pounds
• Average Customer Review: 3.0 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #2,991,005 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

22 of 24 people found the following review helpful:

1.0 out of 5 stars Disappointment - Maddening at the price, December 12, 2003

By A Customer

This review is from: Credit Derivatives: The Definitive Guide (Hardcover)

This is yet another compiled work priced well beyond intrinsic value offered by Risk Books. Several contributors are people who have been on the fringes of the industry and have a poor understanding of this subject (and who can't write!). Even Goldman lends a bad science piece on the value of restructuring. The best researchers in the market who work at Lehman and Bank of America aren't even represented here. They wisely avoided being lumped in with this mess. You'll struggle to recognize the names of the other contributors, and the lack of expertise shows through in the articles.

Greg Gupton is good as always, but don't you wish he'd just write his own book and shed himself of this dead weight? I'd happily buy that one instead of getting ripped off once again with yet another sub standard compilation of bad articles.

It's incomprehensible that this book doesn't deal with the current market issues such as the new ISDA 2003 language and core issues in CDS applications. The article on Basel doesn't address the core issues posed by Basel II. As for pricing, forget it. Risk couldn't be bothered to research this subject and recruit people who know what they are doing.

9 of 11 people found the following review helpful:

1.0 out of 5 stars Contributed Work and Some Previously Published Work, January 15, 2004

By A Customer

This review is from: Credit Derivatives: The Definitive Guide (Hardcover)

This book strings together a lot of chapters contributed by other authors and suffers from the multiple-author syndrome. It's like the book Chase put out years ago. Lots of authors but not saying much new. In at least one instance, an author seems to have "borrowed heavily" from other better-known authors. I read the reviews below and it does seem that while Lehman and BofA are represented, they aren't represented by their top people. A couple of these chapters have been previously published. It is particularly annoying to open the book and find you've already read the material when it was first released by an I-bank as a research piece.

4 of 8 people found the following review helpful:

5.0 out of 5 stars Encyclopaedic Coverage of the State of the Art, October 10, 2003

By A Customer

This review is from: Credit Derivatives: The Definitive Guide (Hardcover)

I was impatiently awaiting the arrival of this book and when it finally arrived was more than pleased. Jon Gregory and Risk have put together a well-linked set of the most cutting-edge papers and research on credit modeling available today.
After reading this you will want to revamp all of your existing models and systems and apply these new thoughts.
It is accessible to most players who have previous experience in credit modeling - a PhD in Math is not required!
Particularly interesting sections include Mashal's view of using t-copulas instead of the more traditional Gaussian assumptions which all current vendors use and an excellent section on aplication of credit derivatives by Alla Gil.
Jon Gregory does a great job of introducing each of the articles and linking their thoughts in a clear and elegant way.
Great job and keep up the good work Risk Publications.
BTW - I do not work for any RiskWaters Group - a great book!