- Series: The Wiley Finance Series
- Hardcover: 336 pages
- Publisher: Wiley (July 18, 2005)
- Language: English
- ISBN-10: 047002416X
- ISBN-13: 978-0470024164
- Product Dimensions: 7 x 1 x 9.9 inches
- Shipping Weight: 1.8 pounds
- Average Customer Review: 3.3 out of 5 stars See all reviews (6 customer reviews)
- Amazon Best Sellers Rank: #3,433,414 in Books (See Top 100 in Books)
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Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)
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From the Back Cover
The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related ‘real world’ issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides:
- A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring
- Analysis of the industry standard ‘default and recovery’ and Copula models including many examples, and a description of the models’ shortcomings
- Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management
- A thorough analysis of counterparty risk
- An intuitive understanding of credit correlation in reality and in the Copula model
The book also includes many spreadsheet examples, a dll for the pricing of CDO structures, and code in MathCad covering a variety of applications.
About the Author
GEOFF CHAPLIN studied mathematics at Cambridge (MA 1972) and Oxford (MSc 1973, DPhil 1975) and qualified as an actuary (FFA 1978) while working in a life insurance company. He moved to the City in 1980 and has worked for major banks (including HSBC, Nomura International, and ABN AMRO) as well as consulting to hedge funds, corporate treasurers, and institutional investment funds. He has been involved in the credit derivatives market since 1996 and has both traded portfolio products and developed risk management systems for these products. In addition to consulting and training for the major financial institutions, Geoff has maintained strong academic interests and was a visiting (emeritus) professor at the University of Waterloo (Canada) from 1987 until 1999. He has also published many articles (in Risk, the Journal of the Institute and Faculty of Actuaries, and others) and speaks regularly at conferences on credit derivatives.
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Top Customer Reviews
Chaplin's book is the 'how things really work' book of the credit derivatives market. A great resource.
I found only common wording in form of blah-blah and nothing more, some charts and math attached at appendix are absolutely irrelevant to the main text. Thus I feel disappointed with that I bought. It is not worth money I spent for it. I have rated this book with two stars due to ISDA documentation (it may help those who tend to deep into legislation) and description of some types of CD.
Unfortunately there is a lack of good books covering CD modeling.
If you are a quant, don't buy this book.
A must read for everybody who wants to get an insight into the world of credit derivatives.
It is very apparent that Geoff has the practitioner's background to go along with the academic experience.
An excellent teaching tool. Should be a part of anyone's book shelf involved in credit derivatives or with the aspirations of entering that field
The material on correlation, baskets, and tranche trading is fine, but probably not that much better than many other texts, as the correlation space is already geared for a more quantitative crowd and there are many fine books that already cover that material.
That said, for a practical approach with quantitative depth for single name trading, it is by far the best text on the market.