Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralized Debt Obligations (synthetic CDOs). This modern book describes the state-of-the-art in quantitative and computational modeling of CDOs. Beginning with an overview of the structured finance landscape, readers are introduced to the basic modeling concepts necessary to model and value simple credit derivatives. The modeling, valuation and risk management of synthetic CDOs are described and a detailed picture of the behavior of these complex instruments is built up. The final chapters introduce more advanced topics such as portfolio management of synthetic CDOs and hedging techniques. Detailing the latest models and techniques, this is essential reading for quantitative analysts, traders and risk managers working in investment banks, hedge funds and other financial institutions, and for graduates intending to enter the industry. It is also ideal for academics who need be informed with the best current practice in the credit derivatives industry.
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'For someone who wants to pursue a career in credit derivatives, this is a recommendable reference book. Written in a very practical way, the technical contents of the book should not be too difficult to follow for a reader with intermediate quantitative skills.' Annals of Actuarial Science
'Despite the complexity of the financial instrument in question, the mathematics used for modelling and analysing the phenomena is of college level and therefore understandable to a wide community of potential readers. ... highly recommended for financial mathematicians and financial analysts.' EMS Newsletter
'Despite the complexity of the financial instrument in question, the mathematics used for modelling and analysing the phenomena is of college level and therefore understandable to a wide community of potential readers. ... highly recommended for financial mathematicians and financial analysts.' EMS Newsletter
Book Description
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.
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recursive model, mezz tranches, accrued fee payment, spread bump, hedging simulation, cashflow mechanics, portfolio loss models, base correlation curve, credit market dislocations, standardised tranches, tranche fee, obligor spreads, par spread, tranche expected loss, base correlation concept, contingent legs, tranched exposures, simulated default times, correlated default times, stochastic correlation models, contractual spread, default baskets, credit indices, periodic fee payments, fee leg Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Time From Contract Inception, Homogeneous Correlation Figure, Attachment Detachment Attachment Detachment Tranche Tranche, North American, Leg Drift, Number Of Defaulted Obligors Figure, Quantile Figure, Finally Section, Years Normal Proxy Model, Default Contagion Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
recursive model, mezz tranches, accrued fee payment, spread bump, hedging simulation, cashflow mechanics, portfolio loss models, base correlation curve, credit market dislocations, standardised tranches, tranche fee, obligor spreads, par spread, tranche expected loss, base correlation concept, contingent legs, tranched exposures, simulated default times, correlated default times, stochastic correlation models, contractual spread, default baskets, credit indices, periodic fee payments, fee leg Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Time From Contract Inception, Homogeneous Correlation Figure, Attachment Detachment Attachment Detachment Tranche Tranche, North American, Leg Drift, Number Of Defaulted Obligors Figure, Quantile Figure, Finally Section, Years Normal Proxy Model, Default Contagion Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
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