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Synthetic CDOs : Modelling, Valuation and Risk Management.
Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Leiden :
Cambridge University Press,
2008.
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| Colección: | Mathematics, Finance and Risk, 7.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Half-title; Title; Copyright; Dedication; Contents; Preface; Acknowledgements; 1 A primer on collateralised debt obligations; 2 Modelling of obligor default; 3 Valuation of credit default swaps; 4 Credit indices; 5 Valuation of default baskets; 6 Valuation of synthetic CDOs; 7 Phenomenology of the standard market model; 8 Risk quantification of synthetic CDOs; 9 Implied and base correlations; 10 Extensions of the standard market model; 11 Exotic CDOs; 12 Correlation trading of synthetic CDO tranches; 13 Risk management of a portfolio of synthetic CDOs.
- 14 Hedging simulation of structured credit productsAppendix A: Explanation of common notation; Appendix B: Simulated annealing; References; Index.