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Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition Hardcover – June 29, 2001


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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: 6.4 x 1.2 x 9.3 inches
  • Shipping Weight: 1.2 pounds (View shipping rates and policies)
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (32 customer reviews)
  • Amazon Best Sellers Rank: #918,756 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.

Customer Reviews

4.2 out of 5 stars

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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38 of 40 people found the following review helpful By A Customer on October 16, 2003
Format: Hardcover
It seems the same reviewer felt strongly enough to post two negative reviews, and oddly the previous review echoes the words of a fellow who is coming out with his own book on this subject, so it seems the reviewer is the same person with a self-interested agenda. I believe this fellow works for one of my competitors in London, but seems to want to style himself as being from either London or NY based on reviews he seems to have posted on Tavakoli's other book. I'm sure he hopes his books do as well, so perhaps the one and two star reviews should be taken as a form of twisted homage.
I've traded credit derivatives for five years. Tavakoli's book is an authoritative account of this market. I keep it on my trading desk and refer to it. Even though I wish Tavakoli would write a third edition, the product descriptions are comprehensive and classic for today's market and I see this book on every trading floor in Europe. One head of structured credit products also remarked on this and said he sees this book whenever he travels on business in Europe or the U.S. It has become the reference of choice in clarifying language and definitions in the credit derivatives market.
The explanations of pricing and data issues suggest common sense approaches for determining value. In addition, the way this book is written prevents a difficult subject from being boring. A trader at a conference I attended recently paraphrased Tavakoli's section on Korean credit protection and correlation, because the point was so well made, and this issue keeps reappearing in various forms in our market.
A job well done. The market seems to have voted with me in the sales and longevity of this book.
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Most Recent Customer Reviews


More About the Author

Janet Tavakoli is the president of Tavakoli Structured Finance, a derivatives risk consulting firm for financial institutions. She was born and raised in Chicago, Illinois. She has worked as a chemical engineer, earned her MBA from the University of Chicago, taught derivatives as an adjunct associate professor of finance, and worked for Wall Street firms in New York and London. She also lived in Iran during the Islamic revolution and has traveled extensively in Europe and Japan.

She is the author of Credit Derivatives & Synthetic Structures, 2nd ed. (Wiley 2001), Structured Finance & Collateralized Debt Obligations, 2nd ed. (Wiley 2008), and Dear Mr. Buffett: What an Investor Learns 1,269 Miles from Wall Street, (Wiley 2009).

The New Robber Barons (Lyons McNamara, 2013), is a compilation of her commentaries since the September 2008 financial crisis.

Archangels: Rise of the Jesuits (Lyons McNamara, 2013) is her fiction debut thriller.

Unveiled Threat: A Personal Experience of Fundamentalist Islam and the Roots of Terrorism (Lyons McNamara, 2014) is a non-fiction thriller and commentary.

Decisions: Life and Death on Wall Street (Lyons McNamara 2015) is her short commentary on Wall Street's culture that puts perceived profit above all else.

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.

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