Derivative-security

This book is good overview on current status of the credit risk management. I recommend it to those who need to get quick overview on what it takes. It compares classic credit analysis with new approaches, explains the credit culture etc. However this can not be used as a single source of information. You will need additional books. Do not expect to get mathematical formulas in this book. There is only very few of them, which is benefitial here, because the book is easy to understand. What you will get is a vision on how the credit risk should be managed. If you seek specific advices on how to manage credit risk than there are better books like Managing Bank Risk: An Introduction to Broad-Base Credit Engineering from Morton Glanz.

While the recent comment "Comprehensive Resource on Credit Risk Management" is very good in many ways, I wish it explains more in the low yielding instruments, like the wit it shows in the treatment of high yield.

Overall this book is a good overview of credit risk managment issues and techniques. The treatment of high yield is particularly good, and much of this information is unique to this resource. The writing is accessible to beginners, and the content is a useful reference for experienced professionals.

This is an excellent handbook for end-users and marketing persons of more complexed derivatives. It was written in the layman words, and very often with graphs, easily accessible by majority of people working in the financial community. The right audiences should be familiar with basic building blocks such as futures, options and swaps. The book will guide you through the process of engineering the more customized and tailored made products to meet the specific financial pay-off profiles. Authors of each section are the real practitioners and traders of that particular products. Where else you want to turn to ?

I ordered this book even before publication since I am very interested in the topic and use have been involved in using and implementing option pricing models based on Levy processes.
I am quite disappointed since the book gives details neither on the financial side (incomplete markets, approximate hedging, exotic options...) which is not really the expertise of the author nor on the mathematical side (Wiener Hopf factorization, integrodifferential equations) which is superficially treated, the reader being constantly referred to other books.
The statistics/ econometrics aspect is totally absent and given
only a slight treatment.
For practitioners it is even more disappointing because a crucial aspect, namely NUMERICAL METHODS, is completely absent
and references to recent work on this topic is omitted.
For example, the author does not explain how the models were calibrated to the option prices in the examples he gives and his results are not easy to reproduce.
The only positive point of the book is to give a unified list of different models based on Levy processes which are spread out in the literature.

This book is a valuable reference source for not only academics but certainly for people from the banking industry. It is the best introduction to the application in finance of Levy processes. Modellers from a wide range of financial products will benifit greatly from the numerous real world examples. The chapter on simulation of Levy processes is covering just what one needs in a very comprehensive style.

Moreover, I found it very strange that people recommended the Cont-Tankov book before it was out instead of this book. Looking at the Cont-Tankov contents, I do not see anything useful that is not in the Schoutens book.

This book was just what I needed. Theory is nicely explain: not too difficult not too simple. I recommend it.