The Credit Risk of Complex Derivatives (Finance and Capital Markets Series) - Softcover

Banks, Erik

Softcover

ISBN 10: 0333604024 ISBN 13: 9780333604021

Publisher: Palgrave Macmillan, 1993

Synopsis

Investors, issuers and arrangers are now active participants in the 'next generation' of derivatives as a means of managing risk, lowering funding costs, facilitating participation in the upside or downside of a market, or enhancing yield. Such participation is accomplished not only through now-standard derivative products such as interest rate/currency swaps and over-the-counter options, but by a host of new products and strategies. These 'next generation' derivatives have expanded to include equity derivative swaps, exotic options and complex swap structures. In addition , tailor-made packages of derivatives often include over-the-counter options combined in a variety of ways to produce very specific results. As participation in this field grows, there is an increasing need by financial institutions, regulators and 'end users' to understand the credit risks being assumed by participating in these new products and markets. Erik Banks explores the qualitative and quantitative aspects of these complex derivatives, develops a working framework for quantifying credit risk, and applies the logic and framework to assess the credit risks inherent in each of these new complex derivatives.

About this title

About the Author

ERIK BANKS has held senior risk management positions at several global financial institutions, including Partner and Chief Risk Officer of Bermuda reinsurer XL Capital's derivatives subsidiary, and Managing Director of Corporate Risk Management at Merrill Lynch, where he spent 13 years managing credit risk, market risk and risk analytics/ technology teams in Tokyo, Hong Kong, London and, latterly, New York. He received early bank training at Citibank and Manufacturers Hanover, and is the author of a dozen books on risk management, emerging markets, derivatives, alternative risk transfer, merchant banking, and electronic finance.

Edition details

• Publisher: Palgrave Macmillan
• Publication date: 1993
• Language: English
• ISBN 10: 0333604024
• ISBN 13: 9780333604021
• Binding: Paperback
• Number of pages: 232