Synopsis
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
*It is self-sufficient. Proofs and technicalities are discussed in the appendices of each chapter
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Review
"Professional risk managers and academics will benefit from reading this excellent book. It is well written, offers much valuable information and deserves to become a standard reference book... the authors have done a great job" Stuart Turnbull, Canadian Imperial Bank of Commerce, Risk magazine - December 2001
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