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Credit: The Complete Guide to Pricing, Hedging and Risk Management
Incisive Media, April 2001, Pages: 422
Provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes
- Emphasises fixed income instruments rather than loans, where stochastic future exposures are modelled accurately
- Provides a thorough analysis of the pricing and hedging of basket credit derivatives and other credit contingent products
- Examines loans, credit derivatives, interest rate derivatives with risky counterparties and convertible bonds
- Adapts credit derivative modelling techniques in order to price and hedge the credit component in fixed income derivatives
- It provides a practical discussion of market frictions that impact credit trading
- Complex theoretical issues are illustrated with an unusually high number of examples, tables and figures that have been designed with the practitioner in mind
- It is self-sufficient. Proofs and technicalities are discussed in the appendices of each chapter
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