عنوان

The credit risk of complex derivatives /

(Number (ISBN

1403916691

(Number (ISBN

1403946094

(Number (ISBN

9781403916693

(Number (ISBN

9781403946096

Erroneous ISBN

1403916691

Number

b802421

Title Proper

The credit risk of complex derivatives /

General Material Designation

[Book]

First Statement of Responsibility

Erik Banks.

Edition Statement

3rd ed.

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Palgrave Macmillan,

Date of Publication, Distribution, etc.

2004.

Specific Material Designation and Extent of Item

1 online resource (xix, 556 pages) :

Other Physical Details

illustrations

Series Title

Finance and capital markets

Text of Note

Includes bibliographical references (pages 541-548) and index.

Text of Note

Preface -- PART I: DERIVATIVES, CREDIT AND RISK MANAGEMENT -- An Overview of the Derivatives Marketplace -- Derivative Losses -- Risk Governance and Risk Management -- Regulatory Initiatives and Advances -- PART II: THE CREDIT RISK OF COMPLEX DERIVATIVES -- Classification and Quantification of Credit Risk -- Quantifying Option Credit Risk -- The Credit Risk of Compound Option Strategies -- The Credit Risk of Complex Options -- Quantifying Swap Credit Risk -- The Credit Risk of Complex Swaps -- PART III: CREDIT PORTFOLIO RISK MANAGEMENT ISSUES -- Credit Risk Management of Derivative Portfolios: Quantitative Issues -- Credit Risk Portfolio Models -- Credit Risk Management of Derivative Portfolios: Qualitative Issues -- Appendix 1: Option Valuation -- Appendix 2: Twenty Questions for the Derivatives Desk -- Appendix 3: ISDA 2002 Master Agreement -- Glossary -- References -- Index.

0

Text of Note

Since the publication of the second edition of The Credit Risk of Complex Derivatives in 1997, the world of derivatives has gone through a period of dramatic change - in the external operating environment, product and market characteristic and risk management techniques. In the light of these changes, the text has been substantially reorganized, updated and expanded. Several new chapters have been added including:* Derivative losses* Risk governance and risk management efforts* Regulatory initiatives and advances* Credit risk portfolio modelsAimed at clients, intermediaries and regulators.

Source for Acquisition/Subscription Address

Palgrave Macmillan

Stock Number

290224

Title

Credit risk of complex derivatives.

Derivative securities.

Risk management.

BUSINESS & ECONOMICS-- Investments & Securities-- General.

Derivative securities.

Derivative securities.

Financiering.

Kapitaalmarkt.

Opties.

Risk management.

Risk management.

Risk management.

Swaps.

Termijnhandel.

BUS-- 036000

Number

Edition

Class number

Book number

Class number

System Code

Banks, Erik.

Date of Transaction

20201207152200.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y