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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 modeling and a reference for those who are already pra...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex ; Hoboken, NJ :
John Wiley & Sons,
©2008.
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| Colección: | Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 modeling 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 modeling 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. |
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| Descripción Física: | 1 online resource (xii, 493 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 487-490) and index. |
| ISBN: | 9781119201960 1119201969 9780470696767 0470696761 0470519282 9780470519288 |