Average Reviews:
(More customer reviews)This is easy to understand and more academic oriented book. For any body who wants to become master in the field of credit risk and credit derivatives, this book will act as a gateway. Modeling Credit risk using structural approach is explained in about 60 pages and it is very clear.CDO pricing is detailed with examples and shows how to price CDO with correlation using Monte Carlo simulation and Cholesky decomposition.
However this book does not talk about ISDA documentation and from the trading point of view. The book "Credit Derivatives: Risk Management, Trading and Investing by Geoff Chaplin" focuses more from the point of view of trading and ISDA documentation. Reading Chaplin's book after Chacko's book will take the reader into next step.
For the professional who want to become expert in modeling, the must read is "Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J.Schönbucher". This requires lot of mathematical especially calculus and probability background and prior knowledge of Credit Risk and Credit Derivatives.
I would recommend Chacko's, Chaplin's and Phillip's books in the order in order to become proficient in Credit Derivatives.Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)
Credit Derivatives Pricing Models: Model, Pricing and Implementation
Click Here to see more reviews about: Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments
The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.
Get 31% OFF
No comments:
Post a Comment