Credit Derivatives: Trading & Management of Credit & Default Risk

by Satyajit Das (Editor)

Credit Derivatives Trading & Management of Credit & Default Risk Written by some of the industry’s leading names, Credit Derivatives - Trading & Management of Credit and Default Riskprovides a comprehensive overview of this increasingly important financial instrument. Credit Derivatives promise to revolutionise the management of credit risk in banking and capital markets. Credit Derivatives will be essential for commercial and investment banks as well as brokers active in credit derivative products; liability and investment managers who utilise or are looking at utilising credit derivatives; consultants, IT firms and accountants active in advising traders or users of these instruments; and, regulatory agencies. It can also be used in practical in-house training programmes as well as in post-graduate programmes such as MBA or Applied Finance courses in credit risk management, either as the primary text or supplementary reading. Credit Derivatives is edited by the author of Swaps & Financial Derivatives, Satyajit Das, who is also the major contributor to the book. There are additional specialist chapters by practitioners drawn from industry leaders Citibank Limited Clifford Chance JP Morgan KMV Corporation Moody’s Investors Service Price Waterhouse "In a rapidly developing area of finance, where knowledge and information are jealously guarded, this book offers a means of ‘getting up to speed’ on a topic that may well fundamentally alter the way the banking and investment community handles credit risk." - Mark Schneider, Head of New Markets Société Générale Australia Limited "In his usual style, Das has produced…one of the most extensive discussions of credit derivatives…A must have reference for students and market practitioners alike." - Quentin K. Hills, Head, Derivatives Marketing - Asia Citibank, N.A. "…too often this kind of ‘real world’ material does not get included in derivatives books…This has the right combination of basic explanation and technical material." - Nick Reed, Director, RVC Associates "…a comprehensive collection of material on…this relatively new field of banking practice." - Ralph Yiehmin Liu, Managing Director, Advanced Risk Management Solutions Pte Ltd

564 pages, Hardcover

First published March 24, 1998

About the author

Satyajit Das is an international specialist in the area of financial derivatives, risk management, and capital markets. He works as a consultant to banks and other financial institutions in Europe, North America, Asia and Australia providing advice on trading, pricing and risk management of derivative transactions.
Das, as he likes to be called, is well known in Australia, Asia, South Africa and Europe as an expert in the field and recognised for his capacity to communicate complex financial subjects and trends in simple and non-technical language.
Das was born in Calcutta, India in 1957 and now lives in Sydney. He holds Bachelors' degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters degree in Business Administration from the Australian Graduate School of Management.

Reviews

[Tech Nossomy · Rating 3 out of 5]

About a decade before the credit crisis hit in 2007 for the financial institutions and which a year later emerged as a financial crisis for the United States as a whole, this book was published. It was one of the first to comprehensively describe the financial products that were relatively new to the financial services industry and ever since quite a few more books om the topic have been published all with similar titles.

The focus on legal, documentation and regulatory considerations is relatively high: both Part I and Part V discuss this topic at length. There is no treatment of how credit derivatives would fit within an enterprise risk framework or how the risk appetite for these products would be qualified. Valuation is still Black-Scholes based, despite a claim with which chapter 3 opens: "the volume of credit risk within capital markets is very high". Of course, with the above mentioned hindsight, much more data is available now to more accurately assess a portfolio's credit risk with these derivatives present.

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