Product Description

Fully revised and updated
Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new edition includes enhanced treatment of U.S. and worldwide regulatory issues, and new product structures.
"If you want to know more about credit derivatives--and these days an increasing number of people do--then you should read this book."
--Merton H. Miller, winner, Nobel Prize in Economics, 1990
"Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution . . ."--Carl V. Schuman, Manager, Credit Derivatives, West LB New York
Janet M. Tavakoli (Chicago, IL) is Vice President of the Chicago branch of Bank of America, where she directs the company's overall marketing of global derivatives and manages its CreditMetrics initiative.

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Product Details

• Amazon Sales Rank: #316687 in Books
• Published on: 2001-06-29
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 304 pages

Review
"If you want to know more about credit derivatives-and these days an increasing number of people do-then you should read this book." -- Merton H. Miller, winner, Nobel Prize in Economics, 1990; Robert R. McCormick Distinguished Service Professor Emeritus, University of Chicago Graduate School of Business

"If you want to know more about credit derivatives-and these days an increasing number of people do-then you should read this book."—Merton H. Miller, winner, Nobel Prize in Economics, 1990; Robert R. McCormick Distinguished Service Professor Emeritus, University of Chicago Graduate School of Business

"Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution. She combines her extensive experience and deep understanding of the derivatives markets with a lucid writing style that makes this an eminently readable volume. This book should set the standard for credit derivatives texts for years to come." —Carl V. Schuman, Manager, Credit Derivatives, WestLB New York

"Tavakoli does a remarkable job compiling a highly readable and much needed guide to instruments and applications of credit derivatives. Using charts, examples, basic investment theory, and elementary mathematics, Tavakoli explains the real-world practice and applications of credit derivative products. Credit Derivatives clarifies often misunderstood concepts and offers a framework with which to analyze derivatives and how to make them work."—Stephen Wade Managing Director, UBS Securities LLC Hei Wai Chan, PhD, Director, UBS Securities LLC

"Tavakoli has written a book that finally demystifies credit derivatives. It is an easy to understand analysis of the many aspects of the basic products used in this new and innovative derivative structure. Anyone in the banking community as well as the sophisticated derivatives professional will find it both useful and insightful."—Randy Allison Kaufman, Managing Director, Bank Boston, Structured Derivatives

"Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution. She combines her extensive experience and deep understanding of the derivatives markets with a lucid writing style that makes this an eminently readable volume. This book should set the standard for credit derivatives texts for years to come." -- Carl V. Schuman, Manager, Credit Derivatives, WestLB New York

"Tavakoli does a remarkable job compiling a highly readable and much needed guide to instruments and applications of credit derivatives. Using charts, examples, basic investment theory, and elementary mathematics, Tavakoli explains the real-world practice and applications of credit derivative products. Credit Derivatives clarifies often misunderstood concepts and offers a framework with which to analyze derivatives and how to make them work." -- Stephen Wade Managing Director, UBS Securities LLC Hei Wai Chan, PhD, Director, UBS Securities LLC

"Tavakoli has written a book that finally demystifies credit derivatives. It is an easy to understand analysis of the many aspects of the basic products used in this new and innovative derivative structure. Anyone in the banking community as well as the sophisticated derivatives professional will find it both useful and insightful." -- Randy Allison Kaufman, Managing Director, Bank Boston, Structured Derivatives

From the Publisher
Description of the Book: Tavakoli demystifies credit derivatives using real-world examples. She explains the full range of instruments and applications and offers detailed guidelines on how credit derivatives can be used as a mechanism for managing global risk.

From the Inside Flap
One of today’s fastest growing investment and risk management mechanisms, credit derivatives are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. While potentially beneficial, these important instruments are complex structures that are often misunderstood and frequently mishandled. Written by credit derivatives specialist Janet Tavakoli, this groundbreaking book—the only comprehensive resource of its kind—demystifies and clarifies all the fine points of credit derivatives, offering complete details on what they are, how they work, and how best to capitalize on them. Though not new, credit derivatives have just recently grabbed the spotlight as vehicles that can diversify portfolio credit risk by dampening the volatility of possible returns. While many investors and end users are beginning to realize the potential of these products, most have only scratched the surface of understanding how they can be applied to credit line and portfolio management, arbitrage opportunities, and the creation of synthetic assets. Covering these and other current applications, Credit Derivatives provides the foundation necessary to fully grasp and effectively implement these powerful tools. Along with descriptions of the full range of products available in today’s marketplace, it explains the economic value of credit derivatives, examines valuation techniques, and, perhaps, most importantly, provides specific guidelines on using them to manage and control risk. Tavakoli demonstrates how credit derivatives have become instruments thatenable investors to question, theorize, and create a new framework for evaluating market credit risk. Filled with helpful charts, tables, and graphs, as well as numerous real-world examples, Credit Derivatives offers a complete overview that includes essential information on:

• Total Rate of Return Swaps (TRORS)—receiver and payer motivation, mismatched maturities, balance sheet management, loan TRORS mechanics
• Credit default swaps and options—basis risk, materiality, price adjustments, termination payments, normalized price method, pricing and applications
• Exotic structures—asset swap switches, synthetic lending facilities, basket default options, prorata default structures
• Credit Linked Notes (CLNs)—reasons for CLNs, black box structures, collateralized loan obligations, hybrid securitizations
• Sovereign risk and emerging markets—tax arbitrage, cross border issues, special event risks, pricing convertibility protection

This accessible and exhaustive guide is must reading for anyone involved in the rapidly growing area of credit derivatives.

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Customer Reviews

Perfect for beginners, excellent reference for veterns
Takavoli's book is the prefect credit derivatives resource for novices and finance professionals who work around, but not with the products. Various forms of credit derivatives are explained in for the most part, qualatative narratives complimented with dealflow charts and information grids. The text remains very readable and comprehensible. That is why its perfect for someone who needs to get a basic grasp of the products, but would be intimidated by a heavy quant reading. This book also includes basic documentation for each of the profiled products.

Excellent Primer and Reference Resource
Tavakoli has done an artful job in Credit Derivatives ( 2nd Edition) of simplifying complex subject matter through the use of practical examples, good graphics, and simple declarative sentences supported by math and real world experience. While this book is not intended for pure novices with no background in finance or mathematics, it does meet the purposeful, educated reader halfway. I would highly recommend Credit Derivatives to anyone with a need to understand the theory, mechanics, risks and real world applications of credit derivatives. Tavakoli's skill of explaining a complex topic without dumbing it down makes Credit Derivatives an excellent primer and reference book for understanding and managing the use of credit derivatives. If you need to understand credit derivatives, this is a great book. As a consultant, Tavakoli's book was invaluable in helping me expeditiously get up to speed on this area of financial risk management.

Crisp and humourous explanation of the topic
The book uses simple examples to explain a relatively new area in derivatives. In this area it scores 5/5, but unfortunately does not score as well in its treatment of the pricing and management of these structures as well as I had hoped.