總代理/The Credit Risk of Complex Derivatives

The Credit Risk of Complex Derivatives, 3rd Edition †

Finance and Capital Markets Series
Erik Banks

The author of this book deserves praise for providing a valuable reference for those looking to improve their technical and product knowledge...essential reference material for any derivative-focused credit department.' - Tony Aston, Chase Manhattan, Risk Magazine

Since the publication of the second edition of The Credit Risk of Complex Derivatives in 1997, the world of derivatives has gone through a period of dramatic change - in the external operating environment, product and market characteristic and risk management techniques. In the light of these changes, the text has been substantially reorganized, updated and expanded. Several new chapters have been added including:
- Derivative losses
- Risk governance and risk management efforts
- Regulatory initiatives and advances
- Credit risk portfolio models
Aimed at clients, intermediaries and regulators, this edition will be focused clearly on risk education, risk management and risk disclosure in order to make participation in derivatives more secure, transparent, efficient and beneficial.

Preface
PART I: DERIVATIVES, CREDIT AND RISK MANAGEMENT
- An Overview of the Derivatives Marketplace
- Derivative Losses
- Risk Governance and Risk Management
- Regulatory Initiatives and Advances
PART II: THE CREDIT RISK OF COMPLEX DERIVATIVES
- Classification and Quantification of Credit Risk
- Quantifying Option Credit Risk
- The Credit Risk of Compound Option Strategies
- The Credit Risk of Complex Options
- Quantifying Swap Credit Risk
- The Credit Risk of Complex Swaps
PART III: CREDIT PORTFOLIO RISK MANAGEMENT ISSUES
- Credit Risk Management of Derivative Portfolios: Quantitative Issues
- Credit Risk Portfolio Models
- Credit Risk Management of Derivative Portfolios: Qualitative Issues
Appendix 1: Option Valuation
Appendix 2: Twenty Questions for the Derivatives Desk
Appendix 3: ISDA 2002 Master Agreement
Glossary
References
Index

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.