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The Art of Credit Derivatives : Demystifying the Black Swan.
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 de...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
John Wiley & Sons,
2011.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Garcia, Joao. | |
| 245 | 1 | 4 | |a The Art of Credit Derivatives : |b Demystifying the Black Swan. |
| 260 | |a Hoboken : |b John Wiley & Sons, |c 2011. | ||
| 300 | |a 1 online resource (405 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 505 | 0 | |a Table of Figures; List of Tables; Title Page; Copyright Page; About the Authors; Acknowledgements; Preface; Chapter 1 -- Introduction; Part I -- Modeling Framework; Chapter 2 -- Default Models; Chapter 3 -- Modeling Dependence with Copulas; Part II -- Single Name Corporate Credit Derivatives; Chapter 4 -- Credit Default Swaps; Chapter 5 -- Pricing Credit Spread Options: A 2-factor HW-BK Algorithm; Chapter 6 -- Counterparty Risk and Credit Valuation Adjustment; Part III -- Multiname Corporate Credit Derivatives; Chapter 7 -- Collateralized Debt Obligations; Chapter 8 -- Standardized Credit Indices. | |
| 505 | 8 | |a Chapter 9 -- Pricing Synthetic CDO TranchesChapter 10 -- Historical Study of Lévy Base Correlation; Chapter 11 -- Base Expected Loss and Base Correlation Smile; Chapter 12 -- Base Correlation Mapping; Chapter 13 -- Correlation from Collateral to Tranches; Chapter 14 -- Cash Flow CDOs; Chapter 15 -- Structured Credit Products: CPPI and CPDO; Part IV -- Asset Backed Securities; Chapter 16 -- ABCDS and PAUG; Chapter 17 -- One Credit Event Models for CDOs of ABS; Chapter 18 -- More Standardized Credit Indices: ABX, TABX, CMBX, LCDX, LevX. | |
| 505 | 8 | |a Chapter 19 -- 1-factor Models for the ABS Correlation Market Pricing TABX TranchesChapter 20 -- Bond Price Implied Spreads; Part V -- Dynamic Credit Portfolio Management; Chapter 21 -- Long Memory Processes and Benoit Mandelbrot; Chapter 22 -- Securitization and the Credit Crunch; Chapter 23 -- Dynamic Credit Portfolio Management; 24; Appendix A -- Economic Capital Allocation Approaches; Appendix B -- Generalized Gauss Laguerre Quadrature; References; Index. | |
| 520 | |a 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 m. | ||
| 588 | 0 | |a Print version record. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Credit derivatives. | |
| 650 | 0 | |a Portfolio management. | |
| 650 | 0 | |a Securities. | |
| 650 | 6 | |a Instruments dérivés de crédit. | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 7 | |a Credit derivatives |2 fast | |
| 650 | 7 | |a Portfolio management |2 fast | |
| 650 | 7 | |a Securities |2 fast | |
| 700 | 1 | |a Goossens, Serge. | |
| 776 | 0 | 8 | |i Print version: |a Garcia, Joao. |t Art of Credit Derivatives : Demystifying the Black Swan. |d Hoboken : John Wiley & Sons, Inc., ©2011 |z 9780470747353 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=564937 |z Texto completo |
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL564937 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n 337180 | ||
| 938 | |a YBP Library Services |b YANK |n 6983021 | ||
| 994 | |a 92 |b IZTAP | ||