The credit risk of complex derivatives
Author(s)
Bibliographic Information
The credit risk of complex derivatives
(Finance and capital markets)
Macmillan, 1993
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Note
Bibliography: p. 215-222
Includes index
Description and Table of Contents
Description
Investors, issuers and arrangers are now active participants in the 'next generation' of derivatives as a means of managing risk, lowering funding costs, facilitating participation in the upside or downside of a market, or enhancing yield. Such participation is accomplished not only through now-standard derivative products such as interest rate/currency swaps and over-the-counter options, but by a host of new products and strategies. These 'next generation' derivatives have expanded to include equity derivative swaps, exotic options and complex swap structures. In addition , tailor-made packages of derivatives often include over-the-counter options combined in a variety of ways to produce very specific results. As participation in this field grows, there is an increasing need by financial institutions, regulators and 'end users' to understand the credit risks being assumed by participating in these new products and markets. Erik Banks explores the qualitative and quantitative aspects of these complex derivatives, develops a working framework for quantifying credit risk, and applies the logic and framework to assess the credit risks inherent in each of these new complex derivatives.
Table of Contents
PART I FINANCIAL INSTRUMENTS, COMPLEX DERIVATIVES AND RISK - Introduction - Evolution of the Derivatives Markets and the Market for Complex Structures - An Overview of Regulators' Concerns Regarding Complex Derivatives - The Importance of Credit Risk Quantification - A Review of Market Risk, Risk Equivalency and Risk Factors - PART II THE CREDIT RISK OF EQUITY DERIVATIVES - Background, Description and Function of Warrants and Standard Equity Derivative/Index-Linked Structures and their Associated Risks - Description and Function of Complex Equity Derivatives with Embedded Options, and their Associated Risks - PART III THE CREDIT RISK OF COMPLEX SWAP STRUCTURES - A Review of Basic Swap Structures and Swap Risk Equivalency Calculations - A Description of Complex Swaps and their Associated Risks - PART IV THE CREDIT RISK OF VARYING OPTIONS STRATEGIES - A Review of Basic OTC Options and their Related Risk Equivalency Calculations - A Description of Varying Options Strategies and their Associated Risks - Appendices - References
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