Order from a Major Online Bookstore
Ultimate Book Price Comparison Engine
Save Your Time And Money
| AnyBook4Less.com | Order from a Major Online Bookstore |
|
| Home | Store List | FAQ | Contact Us | | ||
| Ultimate Book Price Comparison Engine Save Your Time And Money |
||
 |
Title: Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher, P.J. Schonbucher ISBN: 0-470-84291-1 Publisher: John Wiley & Sons Pub. Date: 01 March, 2003 Format: Hardcover Volumes: 1 List Price(USD): $89.95 |
Average Customer Rating: 3.75 (4 reviews)
Rating: 2
Summary: Models in theory
Comment: Nice equations, but hasn't kept up with Ph.D.'s who work on Wall Street and know the theory, thoroughly understand the products, and can apply practical but theoretically sound compromises to accommodate reality. Ph.D.'s at work in finance - including myself (physics) - are probably too busy to write the definitive modelling book. This book fails to address key ingredients such as daycounts, settlement conventions, documentation asymmetry, and more.
Rating: 5
Summary: Informative, Rigorous, Excellent
Comment: The book covers the basics of credit risk modeling and derivative pricing (both structural and intensity type of models), explained in a clear style with enough detail to enable implementation (a rarity in financial literature!). Basics of the theory of stochastic processes and risk-neutral pricing are also covered. Calibration methods for the models are clearly explained. Due to the limited scope, some topics are given only cursory coverage (Copula function methods, role of interest-rates models etc.), but even then, enough references are provided. A very useful, concisely written tome!
Rating: 4
Summary: Good Model Overview
Comment: This is a fine overview of credit derivatives modeling. The model explanations are good, but the book may have benefited from more disclosure about data limitations and the current sources of data. Value dislocations due to documentation language are not captured by the models, especially in the light of ISDA's 2003 language changes. More detail on applications and the need to deal with risks introduced by specific structures would also have been helpful.
Curiously, there are a few conventions inconsistent with market practice used in this book. For instance, the author defines credit risk as default risk, ignoring the standard definition of credit risk which includes general credit spread widening, and credit downgrades. It also seems the author is unfamiliar with how first-to-default baskets are traded, and seems to think that premiums of the survivors are paid after a first-to-default event (They cease.). These observations aside, this is a long-awaited reference for credit derivatives professionals.
For the above risks, I recommend two other sources. Applications and documentation risks are clearly explained in Tavakoli's "Credit Derivatives" (2nd Edition). For professionals who want to know how to apply derivatives in structured finance, I highly recommend Tavakoli's just released book: "Collateralized Debt Obligations and Structured Finance".
 |
Title: Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition by Janet M. Tavakoli ISBN: 047141266X Publisher: John Wiley & Sons Pub. Date: 29 June, 2001 List Price(USD): $75.00 |
 |
Title: Collateralized Debt Obligations and Structured Finance : New Developments in Cash and Synthetic Securitization by Janet M. Tavakoli ISBN: 0471462209 Publisher: John Wiley & Sons Pub. Date: 15 August, 2003 List Price(USD): $79.95 |
 |
Title: Monte Carlo Methods in Financial Engineering (Applications of Mathematics, 53) by Paul Glasserman ISBN: 0387004513 Publisher: Springer Verlag Pub. Date: October, 2003 List Price(USD): $69.95 |
 |
Title: An Introduction to Credit Risk Modeling by Christian Bluhm, Ludger Overbeck, Christoph Wagner ISBN: 158488326X Publisher: CRC Press Pub. Date: 27 September, 2002 List Price(USD): $69.95 |
 |
Title: Advanced modelling in finance using Excel and VBA by Mary Jackson, Mike Staunton ISBN: 0471499226 Publisher: John Wiley & Sons Pub. Date: 30 May, 2001 List Price(USD): $75.00 |
Thank you for visiting www.AnyBook4Less.com and enjoy your savings!
Copyright� 2001-2021 Send your comments
