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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: O'Kane, Dominic
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester, West Sussex ; Hoboken, NJ : John Wiley & Sons, ©2008.
Colección:Wiley finance series.
Temas:
Credit derivatives.
Instruments dérivés de crédit.
BUSINESS & ECONOMICS > Investments & Securities > General.
Credit derivatives
Acceso en línea:Texto completo
Tabla de Contenidos:
  • The credit derivatives market
  • Building the Libor discount curve
  • Single-name credit modelling
  • Bond and asset swaps
  • The credit default swap
  • A valuation model for credit default swaps
  • Calibrating the CDS survival curve
  • CDS risk management
  • Forwards, swaptions and CMDS
  • CDS portfolio indices
  • Options on CDS portfolio indices
  • An introduction to correlation products
  • The Gaussian latent variable model
  • Modelling default times using copulas
  • Pricing default baskets
  • Pricing tranches in the Gaussian copula model
  • Risk management of synthetic tranches
  • Building the full loss distribution
  • Implied correlation
  • Base correlation
  • Copula skew models
  • Advanced multi-name credit derivatives
  • Dynamic bottom-up correlation models
  • Dynamic top-down correlation models.

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