Description |
xix, 556 pages : illustrations ; 24 cm |
Series |
Finance and capital markets |
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Finance and capital markets.
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Contents |
Pt. I. Derivatives, Credit, and Risk Management -- 1. An Overview of the Derivatives Marketplace -- 2. Derivative Losses -- 3. Risk Governance and Risk Management -- 4. Regulatory and Industry Initiatives -- Pt. II. The Credit Risk of Complex Derivatives -- 5. Classification and Quantification of Credit Risk -- 6. Quantifying Option Credit Risk -- 7. The Credit Risk of Compound Option Strategies -- 8. The Credit Risk of Complex Options -- 9. Quantifying Swap Credit Risk -- 10. The Credit Risk of Complex Swaps -- Pt. III. Credit Portfolio Risk Management Issues -- 11. Credit Risk Management of Derivative Portfolios: Quantitative Issues -- 12. Credit Risk Portfolio Models -- 13. Credit Risk Management of Derivative Portfolios: Qualitative Issues -- App. 1. Option Valuation -- App. 2. Twenty Questions for the Derivatives Desk -- App. 3. ISDA 2002 Master Agreement |
Notes |
Previous ed.: Basingstoke: Macmillan Business, 1997 |
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Formerly CIP. Uk |
Bibliography |
Includes bibliographical references and index |
Subject |
Credit -- Management.
|
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Derivative securities.
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Risk management.
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LC no. |
2003065405 |
ISBN |
1403916691 : |
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