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Angelo Arvanitis, Jon Gregory

Credit: The Complete Guide to Pricing, Hedging and Risk Management

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ISBN: 1899332731
Short listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance 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. Examines loans, credit derivatives, interest rate derivatives with risky conterparties 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. 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. ...
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