© 2004

The Credit Risk of Complex Derivatives

  • Authors

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xix
  2. Derivatives, Credit, and Risk Management

    1. Front Matter
      Pages 1-1
    2. Erik Banks
      Pages 27-41
    3. Erik Banks
      Pages 42-53
    4. Erik Banks
      Pages 54-77
  3. The Credit Risk of Complex Derivatives

    1. Front Matter
      Pages 79-79
    2. Erik Banks
      Pages 108-120
    3. Erik Banks
      Pages 160-240
    4. Erik Banks
      Pages 241-259
    5. Erik Banks
      Pages 260-318
  4. Credit Portfolio Risk Management Issues

    1. Front Matter
      Pages 319-319
    2. Erik Banks
      Pages 367-384
  5. Back Matter
    Pages 420-556

About this book


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.


derivatives management Option Valuation Options Portfolio Portfolio Model Rating risk management strategy Swaps

About the authors

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.

Bibliographic information


'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