Credit: The Complete Guide to Pricing, Hedging and Risk Management
Author: Angelo Arvanitis, Jon Gregory
List Price: $155.00
Our Price: Click to see the latest and low price
ISBN: 1899332731
Publisher: Risk Books (01 April, 2001)
Sales Rank: 187,244
Average Customer Rating: 4.5 out of 5
Customer Reviews
Rating: 3 out of 5
Good topics, lousy writing
The topics covered in this book are very good. However, the writing is really lousy. One can get a headache from reading this book. Can anyone understand what a "percentile" is from this book?
Rating: 5 out of 5
A practioners view of credit derivaties
As a trader working in the Synthetic Arbitrage area I find this book an in valuable resource. The book covers credit concepts and institutional details like how to calculate economic capital etc. to intersting ways of constructing the credit curve to how one price different instruments on it and the different no arb relationships of different instruments. I found the chapers on hedging baskets and derivative credit risk to be very interesting and well written. The chapter on converts was a bit light. But on the whole this book is a must have for a Trader in this area of bleeding edge finance.
Rating: 5 out of 5
Much needed book on credit
Arvanitis and Gregory have written an excellent overview of modelling credit risk. The book is written in an intuitive and semi-technical style and the ideas are highlighted with numerous examples. It is therefore applicable to both managers wanting an overview of credit modelling techniques and quants who want more technical details on pricing models. Opening chapters cover credit risk models and describe the standard approaches, such as CreditMetrics. The computation of the loss distribution is discussed and the authors illustrate the importance of modelling the potential credit exposure of derivatives. Default correlation, credit migration and recovery rate modelling are also discussed. Monte Carlo simulation with variance reduction and quasi-Monte Carlo techniques is relied upon heavily. Later chapters include an excellent treatment of credit derivative pricing, a theoretical discussion of how to price derivative counterparty risk and a discussion of credit risk in convertible bonds. The final chapter discusses some related issues such as the discrete hedging problem and market imperfections.The book is broad in its product coverage with the right amount of technical depth. I would recommend it to anyone with an interest in credit risk or credit derivatives.
Similar Products
Credit Derivatives Pricing Models: Model, Pricing and Implementation
Advanced modelling in finance using Excel and VBA
Collateralized Debt Obligations and Structured Finance : New Developments in Cash and Synthetic Securitization
Book Index