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Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition Hardcover


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Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition + Structured Finance and Collateralized Debt Obligations: New Developments in Cash and Synthetic Securitization + Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques
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Product Details

  • Hardcover: 304 pages
  • Publisher: Wiley; 2 edition (June 29, 2001)
  • Language: English
  • ISBN-10: 047141266X
  • ISBN-13: 978-0471412663
  • Product Dimensions: 9.2 x 6.2 x 1.1 inches
  • Shipping Weight: 1.2 pounds (View shipping rates and policies)
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (33 customer reviews)
  • Amazon Best Sellers Rank: #235,695 in Books (See Top 100 in Books)

Editorial Reviews

Review

"If you want to know more about credit derivatives-and these days an increasing number of people do-then you should read this book."-Merton H. Miller, winner, Nobel Prize in Economics, 1990; Robert R. McCormick Distinguished Service Professor Emeritus, University of Chicago Graduate School of Business

"Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution. She combines her extensive experience and deep understanding of the derivatives markets with a lucid writing style that makes this an eminently readable volume. This book should set the standard for credit derivatives texts for years to come." -Carl V. Schuman, Manager, Credit Derivatives, WestLB New York

"Tavakoli does a remarkable job compiling a highly readable and much needed guide to instruments and applications of credit derivatives. Using charts, examples, basic investment theory, and elementary mathematics, Tavakoli explains the real-world practice and applications of credit derivative products. Credit Derivatives clarifies often misunderstood concepts and offers a framework with which to analyze derivatives and how to make them work."-Stephen Wade Managing Director, UBS Securities LLC Hei Wai Chan, PhD, Director, UBS Securities LLC

"Tavakoli has written a book that finally demystifies credit derivatives. It is an easy to understand analysis of the many aspects of the basic products used in this new and innovative derivative structure. Anyone in the banking community as well as the sophisticated derivatives professional will find it both useful and insightful."-Randy Allison Kaufman, Managing Director, Bank Boston, Structured Derivatives --This text refers to an out of print or unavailable edition of this title.

From the Publisher

Description of the Book: Tavakoli demystifies credit derivatives using real-world examples. She explains the full range of instruments and applications and offers detailed guidelines on how credit derivatives can be used as a mechanism for managing global risk. --This text refers to an out of print or unavailable edition of this title.

More About the Author

Janet Tavakoli was born and raised in Chicago, Illinois. She has worked as a chemical engineer, lived with her ex-husband in Iran when the Shah was overthrown, and afterwards returned to the States where she got her MBA and worked for Wall Street firms in New York and London. She now heads her own financial consulting firm.

She's a well-known writer of non-fiction financial trade books giving early warning about peril to the global financial system: "Credit Derivatives," "Collateralized Debt Obligations," "Structured Finance," and "Dear Mr. Buffett." "The New Robber Barons," an eBook, is a compilation of her commentaries since the September 2008 financial crisis. Her fiction debut is a fi-fi (financial fiction) thriller steeped in Vatican and Roman intrigue: "Archangels: Rise of the Jesuits."

Ms. Tavakoli is frequently published and quoted in the Wall Street Journal, Financial Times, New York Times, Business Week, Bloomberg News, and more. She is also a frequent front page writer at the Huffington Post. Frequent television appearances include CBS's 60 Minutes, CNN, C-Span, CNBC, BNN, CBS Evening News, Bloomberg TV, Fox, ABC, and BBC.

Customer Reviews

4.2 out of 5 stars
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Most Helpful Customer Reviews

51 of 52 people found the following review helpful By "mrfinance" on April 14, 2001
Format: Hardcover
Takavoli's book is the prefect credit derivatives resource for novices and finance professionals who work around, but not with the products. Various forms of credit derivatives are explained in for the most part, qualatative narratives complimented with dealflow charts and information grids. The text remains very readable and comprehensible. That is why its perfect for someone who needs to get a basic grasp of the products, but would be intimidated by a heavy quant reading. This book also includes basic documentation for each of the profiled products.
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44 of 45 people found the following review helpful By Pelorus on November 5, 2001
Format: Hardcover
Tavakoli has done an artful job in Credit Derivatives ( 2nd Edition) of simplifying complex subject matter through the use of practical examples, good graphics, and simple declarative sentences supported by math and real world experience. While this book is not intended for pure novices with no background in finance or mathematics, it does meet the purposeful, educated reader halfway. I would highly recommend Credit Derivatives to anyone with a need to understand the theory, mechanics, risks and real world applications of credit derivatives. Tavakoli's skill of explaining a complex topic without dumbing it down makes Credit Derivatives an excellent primer and reference book for understanding and managing the use of credit derivatives. If you need to understand credit derivatives, this is a great book. As a consultant, Tavakoli's book was invaluable in helping me expeditiously get up to speed on this area of financial risk management.
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35 of 35 people found the following review helpful By A Customer on October 29, 1999
Format: Hardcover
The book uses simple examples to explain a relatively new area in derivatives. In this area it scores 5/5, but unfortunately does not score as well in its treatment of the pricing and management of these structures as well as I had hoped.
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36 of 37 people found the following review helpful By A Customer on October 22, 2003
Format: Hardcover
Credit derivatives traders and traders of related asset classes such as bonds or asset swaps who want to move into credit derivatives should get this book.
Tavakoli starts with an overview of the markets and then examines specific instruments such as total return swaps, credit default swaps, and options, exotic structures and credit linked notes. Synthetic CDOs are also introduced as is are all-important comments on synthetic equity. Credit arbitrage funds also have a section.
Documentation, booking and legal issues are explained in an entire chapter devoted to this topic. Tavakoli covers documentation asymmetry, which occurs when two counterparties agree on price, but not on particular points of language in the documentation which leads to basis risk. Anyone trading these products is aware of the potential pitfalls, and these sections alone would make this book an essential read.
The book provides only an overview of the various pricing approaches, but discusses the key issues, which revolve around data quality. Particularly irksome are correlation data, default probability data, and data on recovery rates. Traders, marketers, investors, and risk managers who are very quantitative will find this text useful, since it provides a practical guide to pricing in this market. As the author says: "The spread is where the spread is because that's where the market says it is."
In this fast growing and evolving market, this is a pragmatic and theoretically sound approach to the market. This book is an essential addition to the finance library of anyone trading or wanting to learn more about credit derivatives.
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36 of 37 people found the following review helpful By A Customer on September 1, 2003
Format: Hardcover
The title I have just given this review might not seem like high praise. If not, think again. In the world of finance, especially in the subfield of credit derivatives, the fact that different trading communities use different labels for the same trades and features causes no end of trouble and frustration.
Tavakoli wisely devotes a good deal of attention, then, to what names are and should be given to what things.
She begins her discussion of credit default swaps, for example, by discussing the standard terminology. "If the fee is paid up front, which may be the case for very short dated structures, the agreement is likely to be called a credit default option. If the fee is paid over time, the agreement is more likely to be called a swap."
She disagrees with this habit. She would prefer to call a swap only if the parties are actually exchanging the credit default list of two different credits. Otherwise, "cash flows paid over time are nothing more than an amortization of an option premium."
She explains why the usage that over-stresses that amortization came about. Its because the desks at many banks where this work is done are occupied by former interest-rate-swap staff, so the ISDA terminology persists.
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35 of 36 people found the following review helpful By A Customer on October 4, 2003
Format: Hardcover
Credit derivatives are a very hot topic with the growth rate surpassing all expectations. Some estimates are at more than $3 trillion for 2003, a 50% increase over 2002, and the pace continues. This is the only book on the market that clearly explains the various types of credit derivatives products. This book is also an entertaining read which is unusual for serious finance books. It is rightly noted that this is not for raw beginners, but for people with some finance experience or education.

Tavakoli covers structured financings such as total return swaps, which are used for leverage by hedge funds. All of the various types of credit derivatives and their uses and abuses are thoroughly explained. This book also covers off-shore vehicles, currency convertibility, CDO equity, principal protected notes, credit-linked notes, and much more. She also points out the challenge the lack of data - for instance, correlation data - poses to any pricing model.
The ISDA language section could use updating, but as the author points out early on, you have to understand the language, regulatory, and accounting issues and why the issues are important and get the updates, since these things are always in a state of flux. She does an excellent job of explaining the issues and provides guideposts for future learning.
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