Customer Reviews

Modelling Single-name and Multi-name Credit Derivatives (The Wiley Finance Series)

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

 

 

The author's(O'Kane) exposition of the subject matter is lucid and very well structured.
There is a good balance between theory and the practical aspects in the subject matter.
Usually, there is a divergence between theory and practice, but O'Kane addresses these divergences well i.e. MTM,risk management & hedging of CDS contracts (and its variations)
O'Kane successully simplifies the complex into the simple with clear, concise language in a structured, logical manner without bombarding the reader with complicated mathematical proof/ambiguous logical arguments i.e. why a one-factor latent variable model is insufficient to model the correlation structure of an n-name portfolio etc..
I believe the dilligent reader can eventually develop his/her own intuition and can understand the logic behind the structure of the equations

Before graduating to the current literature of credit derivatives, this book provides a very strong foundation to build upon.

Personally, I prefer O'Kane's pedagogical style/treatment of the subject matter (credit derivatives) over Hull/White's treatment in their classic "Options, Futures and Other Derivatives"
This book has given me a better, clearer and more structured understanding of credit derivatives in general.
Hopefully O'Kane can write a book along similar lines for the other asset classes ie interest rate/fx.

The book strikes a perfect balance between theory and practice, and is the most comprehensive guide of the field written so far. Highly recommend to anyone who wants to get understanding of the credit products for trading or modeling.

This is the most complete and mathmatically rigorous treatment of any of the dozens of books out there on credit derivatives. The math is graduate level, but doesn't inhibit a determined read for the underlying concepts. Only quibble is that the author sometimes gets lost in the academic treatment of various correlation models and loses a reader more focused on practical market applications. Overall, this should be required reading for anyone interested in credit derivatives.

Despite the huge size of the credit derivatives market, there is a dearth of books about Credit Default Swaps (CDS) and related products. Most of those that exist either are not very detailed or not very clearly written, or both.

O'Kane's book remedies this situation. The book starts with a helpful discussion of fixed income products in general and then proceeds to outline techniques for pricing CDS, CDS Swaptions and Credit Correlation products.

In my view, the author writes very clearly. Some of the most helpful features of the book are:
1. Derivation of key results in detail.
2. Frequent use of examples (although it would be possible to improve the discussion and presentation of some of the examples).
3. Inclusion of detailed product information (e.g. upfront CDS payments, CDS payments between coupon dates etc).
4. Provision of both accurate prices and useful approximations, with associated discussion of when each should be used.
5. Provision of algorithms used to calibrate market inputs (e.g. CDS curves), although some more detailed examples (possibly online rather than in the book itself) would have been helpful here.

I have also read several of the author's published articles with Lehman Brothers. The book is much better than these, in my view, as it is written more clearly and pedagogically (e.g. it does not skip intermediate results as much as the articles).

Someone with no prior experience with credit derivatives should be able to learn a great deal from this book. However, the book is fairly comprehensive; therefore, even those with experience with such products will likely be able to gain from the author's knowledge of theoretical concepts and practical market-driven issues.

It's hard to find a book on CDSs that is both clearly-written and comprehensive. This is the only book that I have found that actually does both of these. It is clear that O'Kane has a lot of experience dealing with CDSs, and you can actually learn how to apply the techniques he discusses in the text. As the name suggests, this book is separated into single-name and multi-name CDSs. There is a comprehensive discussion of each. This is timely as the growth of the multi-name CDS market has grown to match the single-name CDS market. Hopefully, there would an updated edition of this book that discusses developments in the CDS market post-2008.

Part I is very good. All the materials are carefully selected and presented. Part II seems a bit ad-hoc.