Product Description

Short listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance

Provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes.

Emphasises fixed income instruments rather than loans, where stochastic future exposures are modelled accurately.

Examines loans, credit derivatives, interest rate derivatives with risky conterparties and convertible bonds.

Provides a thorough analysis of the pricing and hedging of basket credit derivatives and other credit contingent products.

Adapts credit derivative modelling techniques in order to price and hedge the credit component in fixed income derivatives.

It provides a practical discussion of market frictions that impact credit trading.

Complex theoretical issues are illustrated with an unusually high number of examples, tables and figures that have been designed with the practitioner in mind.

It is self-sufficient. Proofs and technicalities are discussed in the appendices of each chapter.

It has both an appendix of 6 papers and is followed by a glossary.

Product Details

• Amazon Sales Rank: #1484462 in Books
• Published on: 2001-04-01
• Original language: English
• Binding: Hardcover
• 424 pages

Review
Risk managers and academics will benefit from reading this excellent book. It deserves to become a standard reference. -- Stuart Turnbull, Canadian Imperial Bank of Commerce, Risk magazine - December 2001

Customer Reviews

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.

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.

Very well written and comprehensive
This is an excellent book. It covers a lot of material in a very practical way. It covers topics from credit risk management to the pricing of credit derivatives in a practical style with not too much math.