Customer Reviews

Credit Derivatives: The Definitive Guide

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

 

 

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.

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.

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!

This is a grea resource on credit derivatives. Whilst Tavakoli is focused mainly on applications and documentation and Schonbucher is dedicated to pricing, this covers the whole spectrum of issues. The quality is much higher than most multi-author books and it flows quite nicely with sections on the CDS market, correlation, CDOs, pricing models and regulatory issues. Best of all, most of the hot topics are covered here like the value of modified restructuring, equity-credit arb, static vs managed CDOs, Basle II and some really advanced pricing methods.

I have to say I strongly disagree with the reviewer who has slated this book and given it a measly 1 star - not sure they have really given their thoughts careful consideration (or even read the book properly). And they complain neither Lehman or Bank of America are represented in the book yet I can assure you there are chapters contributed by authors at both!