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List of Figures x
List of Tables xiv
Preface xvi
PART I DERIVATIVES, CREDIT, AND RISK MANAGEMENT
1 An Overview of the Derivatives Marketplace 3
Derivatives Market Scope 4
Market Volatility and the Growth of Derivatives 10
General Derivative Risk and Return Considerations 15
Addressing Derivative Risk Management Issues 19
Overview of the Text 25
2 Derivative Losses 27
Sources of Derivative Losses 27
A Sampling of Derivative Losses 30
3 Risk Governance and Risk Management 42
Corporate and Risk Governance 42
Credit Risk Management Processes 43
4 Regulatory and Industry Initiatives 54
Regulatory Efforts 54
Industry Efforts 68
vii
Contents
Part II THE CREDIT RISK OF COMPLEX DERIVATIVES
5 Classification and Quantification of Credit Risk 81
Background 81
Market Risk 82
Risk Equivalency 86
Risk Factors 88
The Risk Equivalency Framework 98
Refining Risk Equivalent Exposure 101
Simulation: An Alternative Methodology 105
6 Quantifying Option Credit Risk 108
An Overview of Option Credit Risk 109
7 The Credit Risk of Compound Option Strategies 121
Product Description 122
Credit Risk Quantification 138
8 The Credit Risk of Complex Options 160
Product Description 164
Credit Risk Quantification 202
9 Quantifying Swap Credit Risk 241
Actual Exposure of Swap Contracts 242
Fractional Exposure of Swap Contracts 246
Swap Credit Risk in a Complete Framework 248
A Model for Calculating Swap Credit Risk 250
Empirical Findings on Swap Risk Factors 256
10 The Credit Risk of Complex Swaps 260
Product Description 261
Credit Risk Quantification 288
Part III CREDIT PORTFOLIO RISK MANAGEMENT ISSUES
11 Credit Risk Management of Derivative Portfolios:
Quantitative Issues 321
Consolidating Individual Credit Exposures into Portfolios 322
Portfolios of Counterparties 341
Quantifying Credit Losses 342
12 Credit Risk Portfolio Models 367
Value-at-Risk and Regulatory Models 367
viii CONTENTS
The Ideal Generic Credit Portfolio Model 369
An Overview of Specific Credit Risk Portfolio Models 376
13 Credit Risk Management of Derivative Portfolios:
Qualitative Issues 385
Managing Derivative Credit Exposures Dynamically 385
Addressing Ancillary Credit Risk Management Issues 412
Appendix 1: Option Valuation 420
Appendix 2: Twenty Questions for the Derivatives Desk 428
Appendix 3: ISDA 2002 Master Agreement 430
Notes 467
Glossary 494
Bibliography 541
Index 549
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