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Derviative Credit Risk

โœ Scribed by Risk Books, Robert Jameson

Publisher
Risk Books
Year
1999
Tongue
English
Edition
2ed.
Category
Library
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โœฆ Synopsis

  • This new edition has been updated and extended to provide you with the latest techniques and developments in the derivative credit risk market * Six new specially commissioned chapters on key areas such as the credit risk of credit derivatives, problems of asset allocation, modelling and simulation and credit default swaps * Updates of the latest tools and techniques used to measure and manage derivative credit risk

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This book presents new approaches to valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-ar

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This study begins with a general introduction to the credit derivatives market and gives arguments for the growth catalysts which have driven the development to the current state. The financial participants in this market are presented as well. A comparison between market risk and credit risk follow