Understanding Credit Derivatives and Related Instruments (Academic Press Advanced Finance) [Hardcover]

Antulio N. Bomfim (Author)

Book Description

Publication Date: December 20, 2004 | Series: Academic Press Advanced Finance

Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models.

* Offers a broad overview of this growing field
* Discusses all the main types of credit derivatives
* Provides back-of-the-book summary of statistics and fixed-income mathematics

Editorial Reviews

Review

"This enjoyable book on credit derivatives will be useful to both students of finance and practitioners. Bomfim does for credit what Hull does for options, futures and other derivatives."
--Kay Giesecke, Visiting Assistant Professor, School of Operations Research and Industrial Engineering, Cornell University

"Antulio Bomfin's exploration of the pricing and valuation of credit derivatives is extraordinarily accessible and therefore will serve as an essential primer for those unfamiliar with credit derivative markets. At the same time, the depth of discourse in Understanding Credit Derivatives will be appreciated by experts who seek a better grounding in the fundamental principles of this complex market."
-- Heidi Mandanis Schooner, Visiting Professor of Law, George Washington University Law School

"Comprehensive in coverage, economical in exposition, very accessible, and a pleasure to read - this book covers the gamut of issues in modern credit modeling in a manner that will appeal to practitioners, academics and students."
-- Sanjiv Das, Professor of Finance, Santa Clara University

"...offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, the book offers intuitive, yet rigorous summaries of the major subjects. Its centerpiece focuses on pricing and valuation issues, especially discussions of different valuation tools and their application to credit models."
-- Gunter Dufey, Prof. em., The University of Michigan; Prof. of Banking and Finance, Nanyang Technological University - NBS, Singapore

"Understanding Credit Derivatives and Related Instruments" is a most valuable offering in this rapidly expanding area of finance. The book provides an introduction to the credit derivatives market for the uninitiated and then addresses the pricing and valuing of these instruments, as well as describing valuation tools and their use in credit models. The book also provides a most useful description of the documentation of credit derivative transactions under the ISDA forms that govern these transactions."
-- Jerry Markham, Professor of Law, Florida International University

"...this is an outstanding book. I can't recommend it highly enough."
- www.riskbook.com

Book Description

Provides a comprehensive introduction to the main isues in the credit derivatives market, including an accessible introduction to valuation methods.

See all Editorial Reviews

Product Details

• Hardcover: 368 pages
• Publisher: Academic Press; 1 edition (December 20, 2004)
• Language: English
• ISBN-10: 0121082652
• ISBN-13: 978-0121082659
• Product Dimensions: 8.5 x 6.1 x 1 inches
• Shipping Weight: 1.3 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #920,779 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

1 of 1 people found the following review helpful:

5.0 out of 5 stars Generally a very good book on credit derivatives, September 11, 2009

By 

A. Klopp "ajrk" (United States) - See all my reviews
(REAL NAME)   

This review is from: Understanding Credit Derivatives and Related Instruments (Academic Press Advanced Finance) (Hardcover)

I am a financial engineering graduate student with professional experience in corporate and structured finance. I first read this book before I knew anything about the subject and found it very accessible. This is not a technical introduction to credit derivatives, nor will it be particularly useful to quants (other than perhaps as a quick reference to a couple concepts), however this book does an admirable job of explaining and linking the world of CD practice with academic theory. For anyone who doesn't have a derivatives background, but is able to understand mid-level mathematical concepts, this book is very good. It is clear, concise and is a great place to start for an introduction to CD that is not overly pedantic and offers motivation for further inquiry into the area.

If you are looking for a more technical and comprehensive book on credit modeling (which forms the basis of most CD valuation) then I recommend Jeff Bohn's "Active Credit Portfolio Management in Practice" which has in depth discussions about many of the issues in Bonfim's book as well as much more.

Nonetheless, having read and purchased many books on CD this one is one of the best due to its brevity, concision and practical robustness.

3 of 4 people found the following review helpful:

5.0 out of 5 stars Credit Derivative -- Primer, May 10, 2007

By 

ssfsumit (Massachusetts) - See all my reviews

This review is from: Understanding Credit Derivatives and Related Instruments (Academic Press Advanced Finance) (Hardcover)

A very good introduction to credit derivatives at the level of

"J.C.Hull - Options, Futures...", as remarked by a reviewer.

This book is also at the level of, but better than the recent text

"Credit Derivatives - A primer on credit risk..." by Chacko et al.

The chapters are short (less than 10 pages mostly),

well organized, clear, gives a good overview, just enough mathematics

and simple numerical examples to fix ideas.

1. Part 1 is chapter 1 to 3, introducing credit derivative (CD) market

and uses of CD.

2. Part 2 is chapter 4 to 14, each describing a type of CD.

Each chapter describing that CD is organized as

a. How does it work ?

b. Common uses.

c. Valuation

d. Variations of the basic structure

3. Part 3 is chapter 15 to 18, describing basic elements of credit risk

modeling like valuing defaultable bonds, CDS premium to hazard rates,

structural/reduced form modeling etc.

4. Part 4 is chapter 19 to 23, addressing valuations of portfolio credit

risk (baskets default swaps, portfolio swaps, CDO's ..)

5. Part 5 is chapter 24 & 25 giving CD documentation/regulatory issues.

2 of 3 people found the following review helpful:

5.0 out of 5 stars Outstanding review, August 15, 2007

By 

Ravin Pereira "Ravin" (Bethlehem, PA) - See all my reviews
(REAL NAME)   

This review is from: Understanding Credit Derivatives and Related Instruments (Academic Press Advanced Finance) (Hardcover)

This book is very well thought and written. For a beginner in the credit market this book is an excellent approach. Its a grt read and I am truely satisfied.