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Palgrave Macmillan

The Credit Risk of Financial Instruments

  • Book
  • © 1993

Overview

Authors:
  1. Erik Banks

    1. Tokyo, Japan

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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (13 chapters)

  1. Front Matter

    Pages i-ix
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  2. Risk and Decision-making

    1. Front Matter

      Pages 1-1
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    2. Risk in a Changing Environment

      • Erik Banks
      Pages 3-18

    3. A General Risk Management Framework

      • Erik Banks
      Pages 19-24

    4. Elements of the Credit Decision

      • Erik Banks
      Pages 25-51

  3. Risk Classification and Risk Equivalency

    1. Front Matter

      Pages 53-53
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    2. Classification of Risk

      • Erik Banks
      Pages 55-66

    3. Risk Equivalency

      • Erik Banks
      Pages 67-72

    4. Quantifying the Risk Equivalency Process

      • Erik Banks
      Pages 73-81

  4. Financial Instrument Risk Analysis

    1. Front Matter

      Pages 83-83
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    2. Repurchase/Reverse Repurchase Agreements

      • Erik Banks
      Pages 85-97

    3. Treasury Securities and Treasury Derivatives

      • Erik Banks
      Pages 98-114

    4. Mortgage-backed Securities and Associated Derivatives

      • Erik Banks
      Pages 115-133

    5. Money Market Instruments

      • Erik Banks
      Pages 134-154

    6. Bonds

      • Erik Banks
      Pages 155-168

    7. Foreign Exchange and Currency Derivatives

      • Erik Banks
      Pages 169-192

    8. Swaps and Swap Derivatives

      • Erik Banks
      Pages 193-243

  5. Back Matter

    Pages 244-269
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Keywords

About this book

Market volatility and competition have each played a significant role in altering the state of banking over the last twenty years. During the 1980s and 1990s banks have been exposed to new types of risks with far different characteristics and magnitudes than those dealt with in the early days of banking. Erik Banks seeks to explore the qualitative and quantitative aspects of risks attributable to financial instruments in today's markets, which are so much a part of banking business throughout the world. Banks describes the credit risks encountered in dealing with financial instruments and establishes a framework for quantifying the risks and applies framework and concepts on a product-by-product basis.

Authors and Affiliations

  • Tokyo, Japan

    Erik Banks

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