Other books

To anyone who recalls Russia's 1998 default and the fate of Long Term Capital Management as the global high point of "credit risk" frenzy, this book's chart on page 45 is interesting""the default count peaked three years later (and default amount four years later). This book is about credit derivatives""instruments which "derive" their value from underlying debt, and serve as a means to mitigate credit risk by isolating, packaging and pricing this risk for sale to third parties. This book covers not just the way markets for derivatives work, but also the credit risk models in operation (Merton, Black and Cox et al.). The authors pay special attention to credit default swaps and collateralised debt obligations.

CREDIT DERIVATIVES

George Chacko, Anders Sjoman, Hideto Motohashi and Vincent Dessain
Rs 550
256 PAGES
Wharton/ Pearson Power