GARP Digital Library


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FRM Paid Candidate Price:         US$6.50
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GARP Member (Non-Affiliate):   US$6.50
Affiliate & Non-Member:             US$7.00
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Quantitative Level:
Topics Covered:
Credit risk, credit derivatives, total rate of return swaps (TRORS), motivation of TRORS receiver/payer, TRORS and regulatory capital, counterparty risk, market risk, specific risk, synthetic assets, mismatched maturities, tranched asset swaps, funding arbitrage, joint probability of default, balance sheet management, relative performance TRORS, loan TRORS, hedge funds and TRORS, leverage, credit exposure, conditional probability of default, value at risk, volatility,
Reading Contents:
2.1 Motivation of the receiver of the total rate of return
2.2 Motivation of the payer
2.3 Regulatory capital and bank motivation
2.4 Creating synthetic assets
2.5 Mismatched maturities
2.6 Tranched asset swap versus TRORS
2.7 Funding arbitrage and joint probability of default
2.8 Balance sheet management
2.9 Advanced balanced sheet management
2.10 Relative performance TRORS
2.11 Hedge funds and loan TRORS
2.12 Loan TRORS mechanics
2.13 Hedge funds and leverage
2.14 Hedge funds and leveraged exposure to spreads
2.15 Relative value and balance sheet management
2.16 Credit exposure and the conditional probability of default
2.16.1 Market risk/price risk
2.16.2 Volatility as a measure of total market risk
2.17 Maturity mismatches: loans and synthetic CLOs
Book Review:
*** From the publisher ***

Fully revised and updated.

Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new edition includes enhanced treatment of U.S. and worldwide regulatory issues, and new product structures.

"If you want to know more about credit derivatives--and these days an increasing number of people do--then you should read this book."
--Merton H. Miller, winner, Nobel Prize in Economics, 1990

"Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution . . ."--Carl V. Schuman, Manager, Credit Derivatives, West LB New York

Janet M. Tavakoli (Chicago, IL) is Vice President of the Chicago branch of Bank of America, where she directs the company`s overall marketing of global derivatives and manages its CreditMetrics initiative.

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