The Credit Risk of Complex Derivatives Book

	List of Figures
	List of Tables
	Preface
Pt. I	Derivatives, Credit, and Risk Management
1	An Overview of the Derivatives Marketplace	3
2	Derivative Losses	27
3	Risk Governance and Risk Management	42
4	Regulatory and Industry Initiatives	54
Pt. II	The Credit Risk of Complex Derivatives
5	Classification and Quantification of Credit Risk	81
6	Quantifying Option Credit Risk	108
7	The Credit Risk of Compound Option Strategies	121
8	The Credit Risk of Complex Options	160
9	Quantifying Swap Credit Risk	241
10	The Credit Risk of Complex Swaps	260
Pt. III	Credit Portfolio Risk Management Issues
11	Credit Risk Management of Derivative Portfolios: Quantitative Issues	321
12	Credit Risk Portfolio Models	367
13	Credit Risk Management of Derivative Portfolios: Qualitative Issues	385
App. 1	Option Valuation	420
App. 2	Twenty Questions for the Derivatives Desk	428
App. 3	ISDA 2002 Master Agreement	430
	Notes	467
	Glossary	494
	Bibliography	541
	Index	549