This comprehensive text provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes. The book: emphasizes fixed income instruments rather than loans, where stochastic future exposures are modelled accurately; examines loans, credit derivatives, interest rate derivatives with risky counterparties 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; provides a practical discusssion of market frictions that impact credit trading; illustrates complex theoretical issues with a high number of examples, tables and figures that have been designed with the practitioner in mind; and discusses proofs and technicalities in the appendix of each chapter.

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Editorial ReviewsReviewRisk 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
Product Details

• Hardcover: 424 pages
• Publisher: Risk Books; 1st edition (April 1, 2001)
• Language: English
• ISBN-10: 1899332731
• ISBN-13: 978-1899332731
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