The most common type of credit derivative is the credit default swap. A credit default swap or option is simply an exchange of a fee in exchange for a payment if a credit default event occurs. Credit default swaps differ from total return swaps in that the investor does not take price risk of the reference asset, only the risk of default. The investor receives a fee from the seller of the default risk. The investor makes no payment unless a credit default event occurs. The amount of the payment is the difference between the original price of the reference asset and the recovery value of the reference asset.
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Refresh and try again. Open Preview See a Problem? Details if other :. Thanks for telling us about the problem. Return to Book Page. Tavakoli Goodreads Author. Miller, winner, Nobel Prize in Economics, Fully revised and updated Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new ed "If you want to know more about credit derivatives - and these days an increasing number of people do - then you should read this book.
This new edition includes enhanced treatment of U. Miller, winner, Nobel Prize in Economics, "Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution. Tavakoli Chicago, IL is Vice President of the Chicago branch of Bank of America, where she directs the company's overall marketing of global derivatives and manages its CreditMetrics initiative.
Get A Copy. Hardcover , pages. Published July 16th by Wiley first published June 9th More Details Original Title. Other Editions 6. Friend Reviews. To see what your friends thought of this book, please sign up. To ask other readers questions about Credit Derivatives and Synthetic Structures , please sign up. Be the first to ask a question about Credit Derivatives and Synthetic Structures.
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More filters. Sort order. I realized half way through that it was my second time reading this book. Still, my understanding in the past was so poor, that the second read was thoroughly enlightening. Tavakoli does an impressive job in making the Credit Derivatives market accessible to laymen. She expertly describes the nature, usage, terms, as well as their regulatory inspiration and their flaws. I found it very helpful that she included examples of instruments that exist, though they make questionable sense.
It really doe I realized half way through that it was my second time reading this book. It really does prove the degree to which ignorance exists despite a well-traded liquid market. Her incorporation of Basel regulation issues and differences between countries is particularly salient in today's market turmoil. Off-balance sheet transactions and the potential difficulties in monitoring them are at the heart of what is happening today.
I have a feeling, though, that should Tavakoli choose to add another chapter, the current environment would be rife with material.
She comes very close to discussing the problems in correlation, and hints at much of what has become the nightmare of banks today. Similarly, you see her discuss the issues with mark to market and the problems given different counter-parties. I'd be intrigued to see what she might have to say in the most recent period. This revised second edition was published in It describes the strengths and weaknesses of models, information asymmetry, documentation risk, and the real world performance of various credit derivative products.
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About Janet M. Janet M.
She has had three books published on credit derivatives , structured finance, and the global financial crisis. Janet is the daughter of a surgeon from Wisconsin and a nurse from Buffalo, New York. Her father died when she was She grew up on the south side of Chicago and Oak Brook, Illinois , and received a bachelor's degree in chemical engineering from the Illinois Institute of Technology in Just after graduating in , she married an Iranian Ph. The Tavakolis lived in Iran for over a year during the time the Shah was overthrown, leaving in , three months after Ayatollah Khomeini returned. They divorced after five years of marriage.
Credit Derivatives and Synthetic Structures: A Guide to Instruments and Applications
Janet M. A comprehensive first look at one of today's fastest growing investment and risk management mechanisms. She combines her extensive experience and deep understanding of the derivatives markets with a lucid writing style that makes this an eminently readable volume. This book should set the standard for credit derivatives texts for years to come. Using charts, examples, basic investment theory, and elementary mathematics, Tavakoli explains the real-world practice and applications of credit derivative products. Credit Derivatives clarifies often misunderstood concepts and offers a framework with which to analyze derivatives and how to make them work.