Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments
By admin | April 5th, 2010 | Category: Books on Credit | 5 comments
Product Description
The credit risk promote is the fastest growing financial promote in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to know the workings of the credit risk promote in order to successfully manage risk in their own organizations; in addition, approximately wish to go into the field on a full-time basis. Most books in the field, but, are any too academic for working professional… More >>
Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments
For the initially 150 pages, I thought this was a useful product. Not too deeply mathematical and visibly written. I would have given it 4 stars.
Then I noticed including the intention of it jumped from leaf 150 to 189. And repeated approximately pages after 180 again later in the book. A waste of time.
Rating: 2 / 5
This is simple to know and more academic oriented book. For any body who wants to become master in the field of credit risk and credit derivatives, this book will act as a gateway. Modeling Credit risk using structural approach is clarified in about 60 pages and it is very clear.CDO pricing is detailed including examples and shows how to fee CDO including correlation using Monte Carlo simulation and Cholesky decomposition.
But this book does not talk about ISDA documentation and from the trading point of view. The book “Credit Derivatives: Risk Management, Trading and Investing by Geoff Chaplin” focuses more from the point of view of trading and ISDA documentation. Reading Chaplin’s book after Chacko’s book will take the reader into next step.
For the professional who want to become expert in modeling, the must read is “Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J.Schönbucher”. This requires lot of mathematical mainly calculus and probability background and prior knowledge of Credit Risk and Credit Derivatives.
I would recommend Chacko’s, Chaplin’s and Phillip’s books in the order in order to become proficient in Credit Derivatives.
Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)
Credit Derivatives Pricing Models: Model, Pricing and Implementation
Rating: 5 / 5
This is a very excellent introductory book. The authors go into explaining the details of the various derivatives in deepness and produce concrete mathematical examples how they can be priced. But only elementary pricing techniques are considered — a practitioner will not find much use of them.
I am giving the book 4 stars since the book contains many typos and errors which can be practically confusing to a beginner (e.g. mislabeled graphs). Including four authors on the cover they could have done a better job at this.
Rating: 4 / 5
A key to evaluating this book is in the sub-title. It is a primer on the new field of evaluating credit. And the excellent thing is including the intention of it remains right to this primer concept throughout the book.
Derivatives are among the newest of the financial instruments. They are far removed from the ancient traditional stocks and bonds, so even though this is a primer, don’t expect to make by without learning a whole lot of new terms and acronyms. Here is discussion on total return swaps, credit spread options, credit linked notes, CDSs and CDOs. (See what I mean.)
The intended audience for the book is the financial practitioner, any on the export or the selling feature. The subjects are covered in as basic a sense as possible without getting so simple or so complex as to be a waste of time. As the book says: ‘Simple, yet rigorous explanations: no credit derivatives experience necessary.’ I’d enlarge though including the intention of you’d best have approximately credit experience and be knowledgable including the various debt instruments including the intention of back derivatives. This is one of those subjects including the intention of the young folk coming out of MBA school are likely to have studied. We older folk have to use books like this one just to keep up including them.
Rating: 5 / 5
Decent and accessible read, but has many typographical errors. I mean guys, this is a copy book, show your readers approximately respect by doing passable proof reading. 1 example:
Fig 3-15, leaf 99 y axis must be default prob., not credit spread as labeled.
Rating: 3 / 5