Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). Detailing the latest models and techniques in quantitative and computational modelling of these instruments, this book is essential reading for those working in financial institutions, and for graduates intending to enter the industry.
Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). Detailing the latest models and techniques in quantitative and computational modelling of these instruments, this book is essential reading for those working in financial institutions, and for graduates intending to enter the industry.
C. C. Mounfield is a Director in the Model Validation team of Barclays Capital working on credit derivative models.
Inhaltsangabe
Acknowledgements Dedication Preface 1. A primer on collateralised debt obligations 2. The modelling of obligor default 3. Valuation of credit default swaps 4. Credit indices 5. Valuation of default baskets 6. Synthetic CDO valuation methodologies 7. Phenomenology of the standard market model 8. Risk quantification and sensitivities of synthetic CDOs 9. Implied and base correlations 10. Extensions of the standard market model 11. Exotic CDOs 12. Correlation trading of synthetic CDO tranches 13. Risk management of a portfolio of synthetic CDOs 14. Hedging simulation of structured credit products A. Explanation of common notation B. Simulated annealing References.
Acknowledgements Dedication Preface 1. A primer on collateralised debt obligations 2. The modelling of obligor default 3. Valuation of credit default swaps 4. Credit indices 5. Valuation of default baskets 6. Synthetic CDO valuation methodologies 7. Phenomenology of the standard market model 8. Risk quantification and sensitivities of synthetic CDOs 9. Implied and base correlations 10. Extensions of the standard market model 11. Exotic CDOs 12. Correlation trading of synthetic CDO tranches 13. Risk management of a portfolio of synthetic CDOs 14. Hedging simulation of structured credit products A. Explanation of common notation B. Simulated annealing References.
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