UID:
almafu_9959327457202883
Format:
1 online resource (xii, 493 pages) :
,
illustrations
ISBN:
9781119201960
,
1119201969
,
9780470696767
,
0470696761
,
0470519282
,
9780470519288
Content:
Modelling Single-name and Multi-name Credit Derivatives" presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modeling and a reference for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modeling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.
Note:
The credit derivatives market -- Building the Libor discount curve -- Single-name credit modelling -- Bond and asset swaps -- The credit default swap -- A valuation model for credit default swaps -- Calibrating the CDS survival curve -- CDS risk management -- Forwards, swaptions and CMDS -- CDS portfolio indices -- Options on CDS portfolio indices -- An introduction to correlation products -- The Gaussian latent variable model -- Modelling default times using copulas -- Pricing default baskets -- Pricing tranches in the Gaussian copula model -- Risk management of synthetic tranches -- Building the full loss distribution -- Implied correlation -- Base correlation -- Copula skew models -- Advanced multi-name credit derivatives -- Dynamic bottom-up correlation models -- Dynamic top-down correlation models.
Additional Edition:
Print version: O'Kane, Dominic. Modelling single-name and multi-name credit derivatives. Chichester, West Sussex ; Hoboken, NJ : John Wiley & Sons, ©2008 ISBN 9780470519288
Language:
English
Keywords:
Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119201960
