Research Catalog

Credit derivatives and the management of risk

Title: Credit derivatives and the management of risk / Dimitris N. Chorafas.
Author: Chorafas, Dimitris N.
Publication: New York : New York Institute of Finance, 2000.

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Status	Format	Access	Call Number	Item Location
Request for On-site Use Request Scan How do I pick up this item and when will it be ready?	Text	Request in advance	HG6024.A3 C488 2000	Off-site

Description

xxxvi, 316 pages; 23 cm

Summary

"From Dimitris Chorafas, a widely respected expert in the field of credit derivatives, comes the definitive guide to the credit derivatives markets - an in-depth analysis of what they are, how they work, and how to best profit from them."--BOOK JACKET.
"Credit Derivatives and the Management of Risk gives you a wealth of information critical to understanding and implementing these powerful financial tools. You'll find descriptions of the products available, discussions of the advantages and disadvantages of each, and strategies for using them to manage and control risk."--BOOK JACKET.

Subject

Credit derivatives

Bibliography (note)

Contents

Foreword / John B. Caouette -- Pt. 1. Understanding the Managerial Basis and Consequences of Credit Derivatives. Ch. 1. Credit Derivatives and Their Impact on the Financial Industry. Ch. 2. Assets, Liabilities, the Trading Book, and the Banking Book. Ch. 3. Information Requirements for Issuers and Users of Credit Derivatives. Ch. 4. Credit Derivatives, Transparency, and Collateralization. Ch. 5. Fund Managers and Credit Derivatives Markets -- Pt. 2. Credit Derivatives Instruments and Their Underliers. Ch. 6. Asset Swaps, Total Return Swaps, and Default Swaps. Ch. 7. Credit-Linked Instruments, Structured Notes, and Credit-Enhanced Ventures. Ch. 8. Credit Spreads, Credit Options, and Debt Options. Ch. 9. Credit Derivatives and Catastrophe Insurance. Ch. 10. New Derivatives Instruments, Hedging Policies, and Credit Rating Agencies -- Pt. 3. Models for the Evaluation and Management of Credit Risk. Ch. 11. The Art of Modeling Credit Risk and Its Analytics.
Ch. 12. Building Improved Versions of Acra and Other Credit Models. Ch. 13. RiskMetrics, CreditMetrics, and CreditRisk+. Ch. 14. Risk Adjusted Return on Capital, CreditPortfolioView, and the Loan Analysis System. Ch. 15. Value at Risk. Ch. 16. Rocket Scientists.

ISBN

0735201048 (cloth)

LCCN

99023606

OCLC

Owning Institutions

Columbia University Libraries