To get the free app, enter your mobile phone number.
Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition Hardcover – June 29, 2001
|New from||Used from|
Excel 2016 For Dummies Video Training
Discover what Excel can do for you with self-paced video lessons from For Dummies. Learn more.
Frequently Bought Together
Customers Who Bought This Item Also Bought
"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 --This text refers to an out of print or unavailable edition of this title.
From the Publisher
Top Customer Reviews
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.
Tavakoli wisely devotes a good deal of attention, then, to what names are and should be given to what things.
She begins her discussion of credit default swaps, for example, by discussing the standard terminology. "If the fee is paid up front, which may be the case for very short dated structures, the agreement is likely to be called a credit default option. If the fee is paid over time, the agreement is more likely to be called a swap."
She disagrees with this habit. She would prefer to call a swap only if the parties are actually exchanging the credit default list of two different credits. Otherwise, "cash flows paid over time are nothing more than an amortization of an option premium."
She explains why the usage that over-stresses that amortization came about. Its because the desks at many banks where this work is done are occupied by former interest-rate-swap staff, so the ISDA terminology persists.
I've traded credit derivatives for five years. Tavakoli's book is an authoritative account of this market. I keep it on my trading desk and refer to it. Even though I wish Tavakoli would write a third edition, the product descriptions are comprehensive and classic for today's market and I see this book on every trading floor in Europe. One head of structured credit products also remarked on this and said he sees this book whenever he travels on business in Europe or the U.S. It has become the reference of choice in clarifying language and definitions in the credit derivatives market.
The explanations of pricing and data issues suggest common sense approaches for determining value. In addition, the way this book is written prevents a difficult subject from being boring. A trader at a conference I attended recently paraphrased Tavakoli's section on Korean credit protection and correlation, because the point was so well made, and this issue keeps reappearing in various forms in our market.
A job well done. The market seems to have voted with me in the sales and longevity of this book.
Most Recent Customer Reviews
Thank you to everyone who took the time to review this book.
A review posted June 26, 1999 incorrectly claimed I'm the Queen of RAVs, but it's not me. Read more
Great book for introduction of CDS and other structured products. I work in risk and this book helped clarify several things.Published on March 30, 2007 by J. Toromoreno
This is a good book about how credit risk derivatives are handled in the daily practice of a big international bank. Read morePublished on October 31, 2006 by K. J. Broekema
This is my fourth purchase; this one is for a new analyst I hired. I have read Janet Tavakoli's book as well as all of the current literature on credit derivatives. Read morePublished on October 15, 2005 by AlphaMale
I am a Fin Math student and by now a Google search expert. I do have this book from my library and it requires patience . Read morePublished on March 26, 2005 by Mandre Vinod Vijay
POSITIVE POINTS: Best indepth book on Credit Derivatives. Very readable. Explains very nicely why this derivatives are so important for banks. Non technical. Read morePublished on March 24, 2004 by Franco Arda
Tavakoli gives a very clear description of terminology used in the international derivatives marketplace. Read morePublished on March 3, 2004
Very clear explanation of credit derivatives and their diverse applications. Tavakoli explains how credit derivatives can actually be oversold on a given reference obligation... Read morePublished on February 11, 2004
The use and misuse of credit derivatives terminology is thoroughly explained in this book. After that, the products applications are introduced. Read morePublished on January 28, 2004