複雑なデリバティブの信用リスク（第３版） The Credit Risk of Complex Derivatives (Finance and Capital Markets Series) （3TH）

Banks, Erik

Palgrave Macmillan（2004/03発売）

• 製本 Hardcover:ハードカバー版／ページ数 450 p.
• 言語 ENG
• 商品コード 9781403916693
• DDC分類 332.6457

基本説明

New chapters have been added including: derivative losses, risk governance and risk management efforts, etc.

Full Description

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 models Aimed at clients, intermediaries and regulators, this edition will be focused clearly on risk education, risk management and risk disclosure in order to make participation in derivatives more secure, transparent, efficient and beneficial.

Contents

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