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Synthetic CDOs : modelling, valuation and risk management /
"Starting with a brief overview of the structured finance landscape, the book introduces the basic modelling concepts necessary to model and value simple vanilla credit derivatives. Building on this, the book then describes in detail the modelling, valuation and risk management of synthetic CDO...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge ; New York :
Cambridge University Press,
2009.
|
| Colección: | Mathematics, finance, and risk.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Mounfield, Craig, |d 1969- | |
| 245 | 1 | 0 | |a Synthetic CDOs : |b modelling, valuation and risk management / |c Craig Mounfield. |
| 246 | 3 | |a Synthetic collateralised debt obligations | |
| 260 | |a Cambridge ; |a New York : |b Cambridge University Press, |c 2009. | ||
| 300 | |a 1 online resource (xvi, 369 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a data file | ||
| 490 | 1 | |a Mathematics, finance and risk | |
| 504 | |a Includes bibliographical references (pages 357-363) and index. | ||
| 588 | 0 | |a Print version record. | |
| 520 | 1 | |a "Starting with a brief overview of the structured finance landscape, the book introduces the basic modelling concepts necessary to model and value simple vanilla credit derivatives. Building on this, the book then describes in detail the modelling, valuation and risk management of synthetic CDOs. A clear and detailed picture of the behaviour of these complex instruments is built up. The final chapters introduce more advanced topics such as portfolio management of synthetic CDOs and hedging techniques, often not covered in other texts."--Jacket | |
| 505 | 0 | |a 1. A primer on collateralised debt obligations; 2. The modelling of obligor default; 3. Valuation of credit default swaps; 4. Credit indices; 5. Valuation of default baskets; 6. Synthetic CDO valuation methodologies; 7. Phenomenology of the standard market model; 8. Risk quantification and sensitivities 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 products; A. Explanation of common notation; B. Simulated annealing. | |
| 546 | |a English. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Collateralized debt obligations. | |
| 650 | 6 | |a Obligations adossées à des créances. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x Stocks. |2 bisacsh | |
| 650 | 7 | |a Collateralized debt obligations. |2 fast |0 (OCoLC)fst01201537 | |
| 650 | 7 | |a Bewertung |2 gnd | |
| 650 | 7 | |a Collateralized debt obligation |2 gnd | |
| 650 | 7 | |a Kreditderivat |2 gnd | |
| 650 | 7 | |a Risikoanalyse |2 gnd | |
| 650 | 7 | |a Securitization |2 gnd | |
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| 776 | 0 | 8 | |i Print version: |a Mounfield, Craig, 1969- |t Synthetic CDOs. |d Cambridge ; New York : Cambridge University Press, 2009 |w (DLC) 2008043035 |
| 830 | 0 | |a Mathematics, finance, and risk. | |
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