Credit-derivatives

This book on credit derivatives models is written by an academic without a feel for how the market trades in practice. Schonbucher presents the mathematical equations without expanding on the meaning of the models or their application.

There are some errors of fact when he discusses how certain products work, such as first-to-default baskets, a serious error in and of itself, but unfortunately there are additional similar errors which show the author has an imperfect understanding of the market he writes about. All in all this book was an unsatisfying treatment of the topic.

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.

The state of theory is in such tremendous flux at present with a majority of research unpublished and a growing consensus that the state of the art is entirely inadequate. No book could possibly please industry researchers at this point, but Philipp contributes some ideas and clarification here and there and some leads which are valuable. He is perhaps a little dismissive and pessimistic when the theory wanders into hard mathematical problems, and to to a large extent his book ends where the fun stuff begins. Nontheless I would recommend, especially to those entering the field.

I dislike this book for a number of reasons. Firstly it is incomprehensible, especially the examples. Some of the concepts are also not well explained. Secondly, it is not user-friendly. The ideas demonstrated are not presented in a coherent manner. Lastly, being basically a compilation from different authors, the chapters are also not well connected to each other. Overall a very poor effort.

About half the chapters are written by various accountants employed by Price Waterhouse. Only 2 out of about 20 chapter authors are recognizable names in the field.

When it comes to Derivative products, pricing, valuation, the markets, and all the other issues, such as rating, documentation, accounting and taxation, you could not get a better mentor than Satyajit DAS, and this book is his best ever. It is a collection of topics and authors who are the leaders and the best in the field. THERE is simply NO other book that can be called a HANDBOOK on Derivatives, for everyone, students, financial professions, and professors, and for beginners, as well as advanced.

A book with ostensibly some structure but lacks any logical lead through. I defy anyone to make sense of his few pages on structured bonds - all he says is that they're risky and those in the know have told him that many people do not understand them. I empathize with this lack of understanding - the author shares it.

The author has a bizarre bullet point writing system - certain sentences are pulled out for emphasis for no good reason. The book is littered with grammatical errors.

A real dud, spare your money.

Do not buy this book. If you own it, don't bother reading it. The information content is negligible. The English is appallingly bad. Material often has nothing to do with the sections to which it pertains. The book is written in a stream-of-consciousness rambling mode with no apparent logic. With 115 books to his credit, Mr. Chorafas is obviously in the business of churning out books on current topics, whether or not (and based on the evidence from this book, it is very much "not") he has any knowledge or experience with the subject. Prentice Hall should be ashamed to be associated as the publisher, and obviously did very little editing before publishing the book.

This is one of the worst books I have ever read. I was lucky to sell it on zShops for half of face value. Clearly, this guy has little or no experience with crederivs, and his weak command of English just makes it worse. While I think Nelken's book is also a little thin on material, and Tavakoli's book represents a somewhat dated view of the market, both are substantially more educational than this one. My own experience suggests that one is far better off to understand bond/loan trading first, plus some structuring and capital allocation. That is enough to figure out how to trade crederivs. All this hype about the insane risk in these things is crap - it's not substantially more risky than bonds, and people have been in that business for a long time. The only essential difference - counterparty risk - is not really addressed in any satisfactory manner anywhere.

This book provides an up-to-date and comprehensive overview of credit derivatives. Tavakoli provides an excellent resource for credit risk managers who specialize in one area of credit risk management, professionals who are new to the field, or for experienced professionals who need the definitive reference of credit derivatives products.
This book is not about is the mathematical and statistical details in credit risk/portfolio modeling, but Tavakoli does a good job of highlighting various aspects of modeling (such as data availability, limitations of different approaches, etc.). For example, Tavakoli's explanation of first-to-default baskets provides a quantitative explanation of boundary conditions and a qualitative explanation of the products.

The clear, qualitative, conceptual explanations are supported by explanations that show a deep understanding of the underlying mathematics. Numerically minded readers will grasp this, but even those who are a bit numbers shy will find the quantitative examples easy to follow. Tavakoli's book enabled me to discuss the assessment and deployment of quantitative models on an even footing with professional risk managers and the rocket scientists developing these models.

I also recommend Phillip Schonbucher's book on credit derivatives for people who need to model credit derivatives. Unfortunately, the resource doesn't exist that can solve the tough problem of estimating correlation between defaults.

The use and misuse of credit derivatives terminology is thoroughly explained in this book. After that, the products applications are introduced. The difference between insurance and credit derivatives is clearly explained. From the insurance perspective, examples of using credit derivatives to change capital structure are very helpful.

The basic structures of synthetic collateralized debt obligations are introduced in this book, but more details and the cash flows are explained in Tavakoli's newer book. This book focuses on the credit derivatives market and the peculiarities of this market.
Tavakoli's book is an excellent credit derivatives guide for both newcomers (who are finance professionals) and insurance/finance professionals who need a thorough overview of the various the products. All of the major structures of credit derivatives are explained. The new indexes aren't included in this edition, but index products of other sorts are included, so the structural form is introduced here.

The qualitative narratives are very helpful in explaining how the products are traded. These are supplemented with deal diagrams and tables of information. The author's firm command of the subject matter makes this book very readable and easy for finance professionals to understand. Professionals who are not looking for a heavy quant book but want a clear understanding of how these products are used and the guideposts for value will enjoy this book.

The documentation shown in this book is especially useful for lawyers and people customizing trades. This is particularly useful if you want to include features that offer greater value to you than "standard" documentation. Tavakoli includes basic documentation for each of the major products.

POSITIVE POINTS: Best indepth book on Credit Derivatives. Very readable. Explains very nicely why this derivatives are so important for banks. Non technical.

NEGATIVE POINTS: Focus on banks with only a little chapter on Credit Derivatives as investment products. No explanation how those derivatives are priced (but hey, there are loads of technical books)

Mark Anson manages to write one of the most horrible books about derivatives. Mr.Anson's ideas are dated and wouldn't be much help to anyone. I feel sorry for the CalPERS fund if this is the brainpower they have running it.

despite being new (june 99) this book does not bring much new knowledge

Mr. Anson writes a very interesting, and easy to read book about a very difficult subject. Anybody who is interested in credit derivatives should definitely buy this book.

This book has nothing new in spite of being released in 2003. Many key issues receive inadequate explanations, and the sections written by different authors do not merge well. If you have no experience with the market, this is not a good book to start you off. If you have experience with the market, there is no reason to buy this book.

This is yet another of Fabozzi's contributed works that ends up with poor flow. I'm not sure why this book was written, since it isn't nearly as good or as comprehensive as previous works, and doesn't represent the best writers in this field. For instance, Schonbucher's work on pricing is far superior to anything presented here.

This book brings together some high quality talent and it shows - a good buy and a useful reference on credit derivatives.