The Art of Credit Derivatives / Wiley Finance Series (ePub)
Demystifying the Black Swan
(Sprache: Englisch)
Credit derivatives have been instrumental in the recent increase in
securitization activity. The complex nature and the size of the
market have given rise to very complex counterparty credit
risks. The Lehman failure has shown that these issues...
securitization activity. The complex nature and the size of the
market have given rise to very complex counterparty credit
risks. The Lehman failure has shown that these issues...
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Credit derivatives have been instrumental in the recent increase in
securitization activity. The complex nature and the size of the
market have given rise to very complex counterparty credit
risks. The Lehman failure has shown that these issues can
paralyse the financial markets, and the need for detailed
understanding has never been greater.
The Art of Credit Derivatives shows practitioners how to
put a framework in place which will support the securitization
activity. By showing the models that support this activity
and linking them with very practical examples, the authors show why
a mind-shift within the quant community is needed - a move from
simple modeling to a more hands on mindset where the modeler
understands the trading implicitly.
The book has been written in five parts, covering the modeling
framework; single name corporate credit derivatives; multi name
corporate credit derivatives; asset backed securities and dynamic
credit portfolio management.
Coverage includes:
* groundbreaking solutions to the inherent risks associated with
investing in securitization instruments
* how to use the standardized credit indices as the most
appropriate instruments in price discovery processes and why these
indices are the essential tools for short term credit portfolio
management
* why the dynamics of systemic correlation and the standardised
credit indices are linked with leverage, and consequently the
implications for liquidity and solvability of financial
institutions
* how Lévy processes and long term memory processes are
related to the understanding of economic activity
* why regulatory capital should be portfolio dependant and how to
use stress tests and scenario analysis to model this
* how to put structured products in a mark-to market-environment,
increasing transparency for accounting and compliance.
This book will be invaluable reading for Credit Analysts,
Quantitative Analysts, Credit Portfolio Managers, Academics and
anyone interested in these complex yet important markets.
securitization activity. The complex nature and the size of the
market have given rise to very complex counterparty credit
risks. The Lehman failure has shown that these issues can
paralyse the financial markets, and the need for detailed
understanding has never been greater.
The Art of Credit Derivatives shows practitioners how to
put a framework in place which will support the securitization
activity. By showing the models that support this activity
and linking them with very practical examples, the authors show why
a mind-shift within the quant community is needed - a move from
simple modeling to a more hands on mindset where the modeler
understands the trading implicitly.
The book has been written in five parts, covering the modeling
framework; single name corporate credit derivatives; multi name
corporate credit derivatives; asset backed securities and dynamic
credit portfolio management.
Coverage includes:
* groundbreaking solutions to the inherent risks associated with
investing in securitization instruments
* how to use the standardized credit indices as the most
appropriate instruments in price discovery processes and why these
indices are the essential tools for short term credit portfolio
management
* why the dynamics of systemic correlation and the standardised
credit indices are linked with leverage, and consequently the
implications for liquidity and solvability of financial
institutions
* how Lévy processes and long term memory processes are
related to the understanding of economic activity
* why regulatory capital should be portfolio dependant and how to
use stress tests and scenario analysis to model this
* how to put structured products in a mark-to market-environment,
increasing transparency for accounting and compliance.
This book will be invaluable reading for Credit Analysts,
Quantitative Analysts, Credit Portfolio Managers, Academics and
anyone interested in these complex yet important markets.
Autoren-Porträt von Joao Garcia, Serge Goossens
Joao Garcia is the Head of the Credit Modelling team at theTreasury and Financial Markets of Dexia Group in Brussels. His
current work includes credit derivatives, securitization and
structured products, correlation mapping of credit portfolios in
indices, developing strategies and trading signals for credit
derivatives indices and pricing distressed credit instruments.
Prior to this he worked for four years on the construction of a
grid system for strategic credit portfolio management of the whole
Dexia Group. The aim of the system was to mange large portfolios of
securitization notes. Additionally he has experience on
methodologies to rate and price cash flow, CDOs, to allocate credit
economic capital and to price exotic interest rate derivatives. he
is an Electronic Eng. from Instituto Tecnologico de Aeronautica
(ITA, Brazil), with a M.Sc. in Physics (UFPe, Brazil) and a Ph.D.
in Physics (UA, Belgium).
Serge Goossens is a senior quantitative analyst working
on credit derivatives and correlation modelling in the Front Office
of Dexia Bank. He has a vast experience with credit derivative
instruments, both rating and pricing for hedging and trading. He
has also focused on mark to model of hard to value distressed
assets and on restructuring the capital structure of large
portfolios. From his previous positions he has extensive expertise
in parallel large scale numerical simulation of complex systems,
ranging from computational fluid dynamics to electronics,. Serge
holds a M.Sc. in Engineering and a Ph.D. from the faculty of
Engineering of the K.U.Leuven and a Master of Financial and
Actuarial Engineering degree obtained from the Leuven School of
business and Economics. He has published a number of papers and he
has presented at conferences world-wide.
Bibliographische Angaben
- Autoren: Joao Garcia , Serge Goossens
- 2010, 1. Auflage, 250 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470684968
- ISBN-13: 9780470684962
- Erscheinungsdatum: 29.01.2010
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: ePub
- Größe: 3.98 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
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