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Palgrave Macmillan

The Credit Risk of Complex Derivatives

  • Book
  • © 2004

Overview

Authors:
  1. Erik Banks
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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-xix
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  2. Derivatives, Credit, and Risk Management

    1. Front Matter

      Pages 1-1
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    2. An Overview of the Derivatives Marketplace

      • Erik Banks
      Pages 3-26

    3. Derivative Losses

      • Erik Banks
      Pages 27-41

    4. Risk Governance and Risk Management

      • Erik Banks
      Pages 42-53

    5. Regulatory and Industry Initiatives

      • Erik Banks
      Pages 54-77

  3. The Credit Risk of Complex Derivatives

    1. Front Matter

      Pages 79-79
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    2. Classification and Quantification of Credit Risk

      • Erik Banks
      Pages 81-107

    3. Quantifying Option Credit Risk

      • Erik Banks
      Pages 108-120

    4. The Credit Risk of Compound Option Strategies

      • Erik Banks
      Pages 121-159

    5. The Credit Risk of Complex Options

      • Erik Banks
      Pages 160-240

    6. Quantifying Swap Credit Risk

      • Erik Banks
      Pages 241-259

    7. The Credit Risk of Complex Swaps

      • Erik Banks
      Pages 260-318

  4. Credit Portfolio Risk Management Issues

    1. Front Matter

      Pages 319-319
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    2. Credit Risk Management of Derivative Portfolios

      • Erik Banks
      Pages 321-366

    3. Credit Risk Portfolio Models

      • Erik Banks
      Pages 367-384

    4. Credit Risk Management of Derivative Portfolios

      • Erik Banks
      Pages 385-419

  5. Back Matter

    Pages 420-556
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Keywords

About this book

Since the publication of the second edition of The Credit Risk of Complex Derivatives in 1997, the world of derivatives has gone through a period of dramatic change - in the external operating environment, product and market characteristic and risk management techniques. In the light of these changes, the text has been substantially reorganized, updated and expanded. Several new chapters have been added including: * Derivative losses * Risk governance and risk management efforts * Regulatory initiatives and advances * Credit risk portfolio models Aimed at clients, intermediaries and regulators, this edition will be focused clearly on risk education, risk management and risk disclosure in order to make participation in derivatives more secure, transparent, efficient and beneficial.

Reviews

'The author of this book deserves praise for providing a valuable reference for those looking to improve their technical and product knowledge...essential reference material for any derivative-focused credit department.' - Tony Aston, Chase Manhattan, Risk Magazine

About the author

ERIK BANKS has held senior risk management positions at several global financial institutions, including Partner and Chief Risk Officer of Bermuda reinsurer XL Capital's derivatives subsidiary, and Managing Director of Corporate Risk Management at Merrill Lynch, where he spent 13 years managing credit risk, market risk and risk analytics/ technology teams in Tokyo, Hong Kong, London and, latterly, New York. He received early bank training at Citibank and Manufacturers Hanover, and is the author of a dozen books on risk management, emerging markets, derivatives, alternative risk transfer, merchant banking, and electronic finance.

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