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Credit Derivatives: The Definitive Guide Hardcover – September 25, 2003
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"Provides a unique insight into the latest developments of the ever growing credit derivatives market." -- Paul van der Maas
This is THE book to read on credit derivatives, easily the most authoritative available -- Glyn Holton, Contingency Analysis, November 2003
About the Author
Jon Gregory is global head of the research team for credit trading and derivatives at BNP Paribas. His team has provided the quantitative foundations for the rapid growth of the BNP Paribas credit derivative desks in London, New York, Hong Kong and Tokyo, since the BNP and Paribas merger in 2000. Jon joined Paribas in 1997 and was responsible for the development of the internal model for analysing the economic capital of the fixed income division. In addition to his work on credit risk modelling he has worked on pricing and risk management issues in interest-rate and equity and insurance derivatives. His main interest lies in reconciling theoretical and practical approaches for pricing, hedging and managing credit risk. He worked in the Fixed Income division of Salomon Brothers (now part of Citigroup) prior to joining Paribas in 1997. In addition to publishing papers on the pricing of credit risk and related topics, he is co-author of the best selling book Credit: The Complete Guide to Pricing, Hedging and Risk Management, short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon gained a BSc from the University of Bristol in 1993 and was awarded his PhD from Cambridge University in 1996.
Top customer reviews
Greg Gupton is good as always, but don't you wish he'd just write his own book and shed himself of this dead weight? I'd happily buy that one instead of getting ripped off once again with yet another sub standard compilation of bad articles.
It's incomprehensible that this book doesn't deal with the current market issues such as the new ISDA 2003 language and core issues in CDS applications. The article on Basel doesn't address the core issues posed by Basel II. As for pricing, forget it. Risk couldn't be bothered to research this subject and recruit people who know what they are doing.
I have to say I strongly disagree with the reviewer who has slated this book and given it a measly 1 star - not sure they have really given their thoughts careful consideration (or even read the book properly). And they complain neither Lehman or Bank of America are represented in the book yet I can assure you there are chapters contributed by authors at both!
After reading this you will want to revamp all of your existing models and systems and apply these new thoughts.
It is accessible to most players who have previous experience in credit modeling - a PhD in Math is not required!
Particularly interesting sections include Mashal's view of using t-copulas instead of the more traditional Gaussian assumptions which all current vendors use and an excellent section on aplication of credit derivatives by Alla Gil.
Jon Gregory does a great job of introducing each of the articles and linking their thoughts in a clear and elegant way.
Great job and keep up the good work Risk Publications.
BTW - I do not work for any RiskWaters Group - a great book!