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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Mounfield, Craig, 1969-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge ; New York : Cambridge University Press, 2009.
Colección:Mathematics, finance, and risk.
Temas:
Collateralized debt obligations.
Obligations adossées à des créances.
BUSINESS & ECONOMICS > Investments & Securities > Stocks.
Bewertung
Collateralized debt obligation
Kreditderivat
Risikoanalyse
Securitization
Financiering.
Obligaties.
Risicobeheersing.
Computermethoden.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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