Modelling Single-name and Multi-name Credit Derivatives

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 modelling 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 c

MoreLess

Year of publication:	2010
Authors:	O'Kane, Dominic
Publisher:	Hoboken : John Wiley & Sons, Ltd
Subject:	Theorie \| Theory \| Derivat \| Derivative \| Kreditrisiko \| Credit risk \| Kreditderivat \| Credit derivative
Description of contents:	Table of Contents [gbv.de]

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (515 p.)
Series:	The Wiley Finance Series ; v.573 The Wiley Finance Ser ; v.503 Wiley finance
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Modelling Single-name and Multi-name Credit Derivatives; Contents; Acknowledgements; About the Author; Introduction; Notation; 1 The Credit Derivatives Market; 2 Building the Libor Discount Curve; PART I SINGLE-NAME CREDIT DERIVATIVES; 3 Single-name Credit Modelling; 4 Bonds and Asset Swaps; 5 The Credit Default Swap; 6 A Valuation Model for Credit Default Swaps; 7 Calibrating the CDS Survival Curve; 8 CDS Risk Management; 9 Forwards, Swaptions and CMDS; PART II MULTI-NAME CREDIT DERIVATIVES; 10 CDS Portfolio Indices; 11 Options on CDS Portfolio Indices 12 An Introduction to Correlation Products13 The Gaussian Latent Variable Model; 14 Modelling Default Times using Copulas; 15 Pricing Default Baskets; 16 Pricing Tranches in the Gaussian Copula Model; 17 Risk Management of Synthetic Tranches; 18 Building the Full Loss Distribution; 19 Implied Correlation; 20 Base Correlation; 21 Copula Skew Models; 22 Advanced Multi-name Credit Derivatives; 23 Dynamic Bottom-up Correlation Models; 24 Dynamic Top-down Correlation Models; Appendix A Useful Formulae; Bibliography; Index;
ISBN:	978-0-470-51928-8 ; 978-0-470-69676-7 ; 978-0-470-51928-8
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012676015