Customer Reviews

Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)

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

 

 

I unexpectedly found myself working on a computer project for a credit derivatives desk. I bought several books (Bomfin, Tavakoli, Choudhry) about credit derivatives but found they limited their discussion to just the specific products (TRS, CDS, CDS Index, Baskets, Synthetics, etc.) and their pricing analytics. Chaplin's book is the only one I've read that provides a broader view of the credit derivatives market. For instance, when he discusses the vanilla CDS product he includes such detail as the ISDA based agreement that must be signed by both seller and purchaser, the history of how the terms of the agreement evolved, and how a 'credit event' defined in the agreement is actually settled.

Chaplin's book is the 'how things really work' book of the credit derivatives market. A great resource.

This book gives a very good insight into the world of credit derivatives. The main products are decribed from a trading as well as from a pricing point of view. The software that comes with it, demonstrates various pricing methods as well as problems and deficits, these modells have.

A must read for everybody who wants to get an insight into the world of credit derivatives.

Well done!

I bought this book following misleading title and comments posted here. What I expected the book to contain is not only ISDA documentation and some description of some types of CD but also how to model CD for pricing and hedging. Unfortunately even few formulas presented at the book are not correct (e.g. f. 9.10 at p. 86). The author does not explain how to calculate recovery rates (he seems to believe this is only an assumption without any link to balance sheet!) and does not mention about expected time CD holders have to wait for payoff in case of default. There are only timid attempts to give some approach for pricing models (without Monte Carlo method, Black-Sholes world, measurement of credit risk and explanation why investors should not pay much attention to credit ratings assigned to CD). Taking into account unwinding credit crunch emanating in part from inadequate risk pricing by shaming rating agencies, we should not model CD much based on date from any rating agencies. The book provides a reader with nothing but calculation of probability of default through transition matrices which don't depend on risk-free interest rates.

I found only common wording in form of blah-blah and nothing more, some charts and math attached at appendix are absolutely irrelevant to the main text. Thus I feel disappointed with that I bought. It is not worth money I spent for it. I have rated this book with two stars due to ISDA documentation (it may help those who tend to deep into legislation) and description of some types of CD.
Unfortunately there is a lack of good books covering CD modeling.
If you are a quant, don't buy this book.

A well written and concise book. Geoff Chaplin has the ability to express complex concepts in a clear and lucid manner. One off the most problematic areas of credit is the area of correlation. Geoff does an excellent job of explaining the problems and developing solutions to include conventional solutions from the street.

It is very apparent that Geoff has the practitioner's background to go along with the academic experience.

An excellent teaching tool. Should be a part of anyone's book shelf involved in credit derivatives or with the aspirations of entering that field

Outstanding reference for serious traders, analytsts, and desk quants. Valuable insight into market structure, data sources, and practical implementation of pricing models. Overall I think the text is much better than its peer group for single-name credit derivatives with good overviews for CDS-Bond basis trading, CDS forwards and curve trading, Digital recovery and recovery oriented trading strategies.

The material on correlation, baskets, and tranche trading is fine, but probably not that much better than many other texts, as the correlation space is already geared for a more quantitative crowd and there are many fine books that already cover that material.

That said, for a practical approach with quantitative depth for single name trading, it is by far the best text on the market.

This book is a rehash of stuff that has already been said about this product. It is clear that the author did not close transactions but viewed credit derivatives as an academic. Nothing new is said. He could at least have written in an original fashion but decided to write about already exposed concepts in a very dry manner.