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Title: Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition by Janet M. Tavakoli ISBN: 0-471-41266-X Publisher: John Wiley & Sons Pub. Date: 29 June, 2001 Format: Hardcover Volumes: 1 List Price(USD): $69.95 |
Average Customer Rating: 4.04 (25 reviews)
Rating: 5
Summary: Products, Applications, and Pricing Direction
Comment: Credit derivatives are a very hot topic with the growth rate surpassing all expectations. Some estimates are at more than $3 trillion for 2003, a 50% increase over 2002, and the pace continues. This is the only book on the market that clearly explains the various types of credit derivatives products. This book is also an entertaining read which is unusual for serious finance books. It is rightly noted that this is not for raw beginners, but for people with some finance experience or education.
Tavakoli covers structured financings such as total return swaps, which are used for leverage by hedge funds. All of the various types of credit derivatives and their uses and abuses are thoroughly explained. This book also covers off-shore vehicles, currency convertibility, CDO equity, principal protected notes, credit-linked notes, and much more. She also points out the challenge the lack of data - for instance, correlation data - poses to any pricing model.
The ISDA language section could use updating, but as the author points out early on, you have to understand the language, regulatory, and accounting issues and why the issues are important and get the updates, since these things are always in a state of flux. She does an excellent job of explaining the issues and provides guideposts for future learning.
Rating: 5
Summary: High Level View of Credit Derivatives
Comment: This book provides an up-to-date and comprehensive overview of credit derivatives. Tavakoli provides an excellent resource for credit risk managers who specialize in one area of credit risk management, professionals who are new to the field, or for experienced professionals who need the definitive reference of credit derivatives products.
This book is not about is the mathematical and statistical details in credit risk/portfolio modeling, but Tavakoli does a good job of highlighting various aspects of modeling (such as data availability, limitations of different approaches, etc.). For example, Tavakoli's explanation of first-to-default baskets provides a quantitative explanation of boundary conditions and a qualitative explanation of the products.
The clear, qualitative, conceptual explanations are supported by explanations that show a deep understanding of the underlying mathematics. Numerically minded readers will grasp this, but even those who are a bit numbers shy will find the quantitative examples easy to follow. Tavakoli's book enabled me to discuss the assessment and deployment of quantitative models on an even footing with professional risk managers and the rocket scientists developing these models.
I also recommend Phillip Schonbucher's book on credit derivatives for people who need to model credit derivatives. Unfortunately, the resource doesn't exist that can solve the tough problem of estimating correlation between defaults.
Rating: 5
Summary: Credit Derivatives and Insurance
Comment: The use and misuse of credit derivatives terminology is thoroughly explained in this book. After that, the products applications are introduced. The difference between insurance and credit derivatives is clearly explained. From the insurance perspective, examples of using credit derivatives to change capital structure are very helpful.
The basic structures of synthetic collateralized debt obligations are introduced in this book, but more details and the cash flows are explained in Tavakoli's newer book. This book focuses on the credit derivatives market and the peculiarities of this market.
Tavakoli's book is an excellent credit derivatives guide for both newcomers (who are finance professionals) and insurance/finance professionals who need a thorough overview of the various the products. All of the major structures of credit derivatives are explained. The new indexes aren't included in this edition, but index products of other sorts are included, so the structural form is introduced here.
The qualitative narratives are very helpful in explaining how the products are traded. These are supplemented with deal diagrams and tables of information. The author's firm command of the subject matter makes this book very readable and easy for finance professionals to understand. Professionals who are not looking for a heavy quant book but want a clear understanding of how these products are used and the guideposts for value will enjoy this book.
The documentation shown in this book is especially useful for lawyers and people customizing trades. This is particularly useful if you want to include features that offer greater value to you than "standard" documentation. Tavakoli includes basic documentation for each of the major products.
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Title: Collateralized Debt Obligations and Structured Finance : New Developments in Cash and Synthetic Securitization by Janet M. Tavakoli ISBN: 0471462209 Publisher: John Wiley & Sons Pub. Date: 15 August, 2003 List Price(USD): $79.95 |
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Title: Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher, P.J. Schonbucher ISBN: 0470842911 Publisher: John Wiley & Sons Pub. Date: 01 March, 2003 List Price(USD): $89.95 |
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Title: Advanced modelling in finance using Excel and VBA by Mary Jackson, Mike Staunton ISBN: 0471499226 Publisher: John Wiley & Sons Pub. Date: 30 May, 2001 List Price(USD): $75.00 |
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Title: Convertible Arbitrage: Insights and Techniques for Successful Hedging by Nick P. Calamos ISBN: 0471423610 Publisher: John Wiley & Sons Pub. Date: 13 June, 2003 List Price(USD): $59.95 |
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Title: Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes by Harry M. Kat ISBN: 0471486523 Publisher: John Wiley & Sons Pub. Date: 12 September, 2001 List Price(USD): $95.00 |
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