Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition

Author: Janet M. Tavakoli
List Price: $69.95
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ISBN: 047141266X
Publisher: John Wiley & Sons (29 June, 2001)
Sales Rank: 9,396
Average Customer Rating: 4.14 out of 5

Customer Reviews

Rating: 5 out of 5
High Level View of Credit Derivatives
This book provides an up-to-date and comprehensive overview of credit derivatives. Tavakoli provides an excellent resource for credit risk managers who specialize in one area of credit risk management, professionals who are new to the field, or for experienced professionals who need the definitive reference of credit derivatives products.
This book is not about is the mathematical and statistical details in credit risk/portfolio modeling, but Tavakoli does a good job of highlighting various aspects of modeling (such as data availability, limitations of different approaches, etc.). For example, Tavakoli's explanation of first-to-default baskets provides a quantitative explanation of boundary conditions and a qualitative explanation of the products.

The clear, qualitative, conceptual explanations are supported by explanations that show a deep understanding of the underlying mathematics. Numerically minded readers will grasp this, but even those who are a bit numbers shy will find the quantitative examples easy to follow. Tavakoli's book enabled me to discuss the assessment and deployment of quantitative models on an even footing with professional risk managers and the rocket scientists developing these models.

I also recommend Phillip Schonbucher's book on credit derivatives for people who need to model credit derivatives. Unfortunately, the resource doesn't exist that can solve the tough problem of estimating correlation between defaults.


Rating: 5 out of 5
Credit Derivatives and Insurance
The use and misuse of credit derivatives terminology is thoroughly explained in this book. After that, the products applications are introduced. The difference between insurance and credit derivatives is clearly explained. From the insurance perspective, examples of using credit derivatives to change capital structure are very helpful.

The basic structures of synthetic collateralized debt obligations are introduced in this book, but more details and the cash flows are explained in Tavakoli's newer book. This book focuses on the credit derivatives market and the peculiarities of this market.
Tavakoli's book is an excellent credit derivatives guide for both newcomers (who are finance professionals) and insurance/finance professionals who need a thorough overview of the various the products. All of the major structures of credit derivatives are explained. The new indexes aren't included in this edition, but index products of other sorts are included, so the structural form is introduced here.

The qualitative narratives are very helpful in explaining how the products are traded. These are supplemented with deal diagrams and tables of information. The author's firm command of the subject matter makes this book very readable and easy for finance professionals to understand. Professionals who are not looking for a heavy quant book but want a clear understanding of how these products are used and the guideposts for value will enjoy this book.

The documentation shown in this book is especially useful for lawyers and people customizing trades. This is particularly useful if you want to include features that offer greater value to you than "standard" documentation. Tavakoli includes basic documentation for each of the major products.


Rating: 5 out of 5
Derivatives Sales view:
POSITIVE POINTS: Best indepth book on Credit Derivatives. Very readable. Explains very nicely why this derivatives are so important for banks. Non technical.

NEGATIVE POINTS: Focus on banks with only a little chapter on Credit Derivatives as investment products. No explanation how those derivatives are priced (but hey, there are loads of technical books)

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