The Credit Risk of Complex Derivatives

Foreword - PART 1: DERIVATIVES AND RISK - Introduction - Classification and Quantification of Credit Risk - PART 2: THE CREDIT RISK OF COMPLEX OPTIONS - Quantifying Option Credit Risk - The Credit Risk of Compound Option Strategies - The Credit Risk of Complex Options - PART 3: THE CREDIT RISK OF COMPLEX SWAPS - Quantifying Swap Credit Risk - The Credit Risk of Complex Swaps - PART 4: THE CREDIT RISK MANAGEMENT OF DERIVATIVE EXPOSURES - Credit Risk Management of Derivative Portfolios: Quantitative Issues - Credit Risk Management of Derivative Portfolios: Qualitative Issues - Appendixes - Option Valuation - A Model for Calculating Swap Risk - 20 Questions for the Derivatives Desk - Glossary - References