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Book Cover
Book
Author Banks, Erik.

Title The credit risk of complex derivatives / Erik Banks
Edition Third edition
Published Basingstoke : Palgrave Macmillan, 2004

Copies

Location Call no. Vol. Availability
 MELB  332.6457 Ban/Cro 2004  AVAILABLE
Description xix, 556 pages : illustrations ; 24 cm
Series Finance and capital markets
Finance and capital markets.
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
Formerly CIP. Uk
Bibliography Includes bibliographical references and index
Subject Credit -- Management.
Derivative securities.
Risk management.
LC no. 2003065405
ISBN 1403916691 :