- Series: Wiley Series in Financial Engineering (Book 11)
- Hardcover: 272 pages
- Publisher: Wiley; 1 edition (June 9, 1998)
- Language: English
- ISBN-10: 0471246565
- ISBN-13: 978-0471246565
- Product Dimensions: 6.2 x 0.9 x 9.4 inches
- Shipping Weight: 1.2 pounds (View shipping rates and policies)
- Average Customer Review: 33 customer reviews
- Amazon Best Sellers Rank: #6,455,815 in Books (See Top 100 in Books)
Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your mobile phone number.
Credit Derivatives: A Guide to Instruments and Applications 1st Edition
Use the Amazon App to scan ISBNs and compare prices.
Fulfillment by Amazon (FBA) is a service we offer sellers that lets them store their products in Amazon's fulfillment centers, and we directly pack, ship, and provide customer service for these products. Something we hope you'll especially enjoy: FBA items qualify for FREE Shipping and Amazon Prime.
If you're a seller, Fulfillment by Amazon can help you increase your sales. We invite you to learn more about Fulfillment by Amazon .
There is a newer edition of this item:
Frequently bought together
Customers who bought this item also bought
Customers who viewed this item also viewed
"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
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.
Top customer reviews
There was a problem filtering reviews right now. Please try again later.
The coverage of leverage and total return swaps is especially valuable to asset managers and hedge funds. The use of off-balance sheet financing and upfront collateral is especially useful to those new to total return swap trading. Although Tavakoli gives examples of hubris and humor, this is a serious finance book, and although Schonbucher gives more details on the mathematics in his book "Credit Derivatives pricing, this book is not easy.
Tavakoli demonstrates a strong command of the topic and great skill in explaining a complex topic without glossing over theory. This is an excellent reference book. Credit default swaps and all of the terminology, both standard and non-standard are thoroughly explained.
The graphics are very clear, and there are lots of practical examples with straightforward explanations based on depth of experience and straightforward math. If you are new to finance, this book is not the place to start. If you have a background in bonds or other areas of the capital markets, you can tackle this book. Tavakoli assumes the reader has some experience and draws on this to make credit derivatives a part of the tool kit. You will be able to understand both the theory and real world applications of credit derivatives.
A review posted June 26, 1999 incorrectly claimed I'm the Queen of RAVs, but it's not me. This is a case of mistaken identity.
Frank Partnoy wrote an unflattering portrait of an Iranian woman with whom he worked at Morgan Stanley in his book F.I.A.S.C.O., and called her the Queen of RAVs. Personally, I believe that Partnoy painted an inaccurate picture of her, but to be clear she and I are not the same person. My last name is my ex-husband's Iranian name; I'm USA born and bred and of northern European heritage, and I never worked at Morgan Stanley. Frank Partnoy will be happy to confirm that I am not the woman in his book.
I know two other women that have Iranian last names, worked at major Wall Street firms, and have expertise in derivatives. Coincidence is not the same thing as correlation.
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.