Modelling Single-name and Multi-name Credit Derivatives / Wiley Finance Series (ePub)
(Sprache: Englisch)
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...
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...
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Produktinformationen zu „Modelling Single-name and Multi-name Credit Derivatives / Wiley Finance Series (ePub)“
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 challenge of modelling
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.
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 challenge of modelling
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.
Autoren-Porträt von Dominic O'Kane
Dominic O'Kane is an affiliated Professor of Finance at the French business school EDHEC which is based in Nice, France. Until May 2006, Dominic O'Kane was a managing director and ran the European Fixed Income Quantitative Research group at Lehman Brothers, the US investment bank. Dominic spent seven of his nine years at Lehman Brothers working as a quant for the credit derivatives trading desk.
Bibliographische Angaben
- Autor: Dominic O'Kane
- 2011, 1. Auflage, 514 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 1119995442
- ISBN-13: 9781119995449
- Erscheinungsdatum: 09.03.2011
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eBook Informationen
- Dateiformat: ePub
- Größe: 7.67 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
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