Customer Reviews

Credit and Market Risk Arbitrage

5 star:		(6)
4 star:		(1)
3 star:		(1)
2 star:		(0)
1 star:		(0)

 

 

This book provides comprehensive technical knowledge of arbitrage, hedging, credit risk modeling, arbitrage ,portfolio management, trading, and dynamic investment strategies in credit and market risk financial markets .

I find that it brings together an understanding of complex financial strategies, financial modeling and arbitrage techniques. It will be of interest for senior managers in Investment Banking, Corporate Strategic Planning,
Risk Management, Primary and Derivative Securities Valuation amd those in Portfolio Management. Thise with backgrounds in quantitative disciplines such as mathematics, statistics, the physical sciences, engineering, operations research, computer science, finance, or economics will love the way the book brings together hundreds of concepts in neat elegant frameworks.

My team used the approach in the book to model a hybrid credit derivative involving country-party default risk on a foreign exchange forward contract with a random future mark-to-market linked to the Euro with excellent results!

This is a good development on the initial work done at CCS by author and department of Finance. I liked the newer examples of GM also
Ramesh

I have enjoyed reading the section on arbitrage and the excellent buildup to the relationship between credit derivative spreads and volatality skew pricing.A very nice read indeed.
Unlike many popular books that are just descriptive this one is a serious expose on fundamentals too. I recommend it to others and will encourage those with a serious interest in finance to go through it for it brings together lots and lots of concepts that one may not have time to explore separately

The approach presented here is innovative in terms of the variables the author has chosen to use. The author has related Credit Default Swap rates, equity option prices, equity prices and the implied volatility skew through arbitrage free models. I really appreciate this effort of author.

I was pleasantly surprised to see a book that explains the financial theory behind types, instruments, trading practices and opportunities in capital structure arbitrage. Serious traders, finance researchers, risk managers, brokers and regulators will benefit from it. It concisely explains recent development in credit and market risk modeling. It covers a very broad scope ranging from credit pricing models based on equity price behavior, commercial applications, convertible instruments, credit derivative pricing and how they relate to market risk instrument pricing and capital structure arbitrage techniques. The book also has something that many books do not have- it empirically validates most things that have been mentioned in it and those results inspire confidence. I heartily recommend this book.

Perhaps the first book that treats these 2 risk types . thats what drew my atttention. Innovative in its approach. But the treatment is fleeting and it dosent tell you what to do. Overall not too bad.

I recollect reading a series of papers some time ago sent for review by the same author. This was a couple of years ago . These papers have been reproduced but the presentation is much tighter and useful this time.

here have been very few books, until this one, that bring together the study, analysis and pricing of credit and market risk instruments. This book does precisely this. It is rigorous without being excessively narrow and will be of interest to graduate level students in finance. It is also practical and has some very elegant frameworks for arbitrage which will appeal to practitioners. By summarizing key insights from much of the recent work in risk finance it can serve as an excellent reference tool to design new financial instruments, arbitrage models and applications. This book bridges the gap between the theory and practice of studies in the linkage between credit and market risk.
Xinfeng Zhou
MIT, Cambridge MA