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The art of credit derivatives : demystifying the black swan /
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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex, U.K. :
Wiley,
©2010.
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| Colección: | Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
| Sumario: | 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. i/i iThe Art of Credit Derivatives/i 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 mind-shift within the quant community is needed - a move from simple modeling to a more hands on mindset where the modeler understands the trading implicitly. The book has been written in five parts, covering the modeling framework; single name corporate credit derivatives; multi name corporate credit derivatives; asset backed securities and dynamic credit portfolio management. Coverage includes:ul type="disc"ligroundbreaking solutions to the inherent risks associated with investing in securitization instrumentslihow to use the standardized credit indices as the most appropriate instruments in price discovery processes and why these indices are the essential tools for short term credit portfolio managementliwhy the dynamics of systemic correlation and the standardised credit indices are linked with leverage, and consequently the implications for liquidity and solvability of financial institutionslihow Lévy processes and long term memory processes are related to the understanding of economic activityliwhy regulatory capital should be portfolio dependant and how to use stress tests and scenario analysis to model thislihow to put structured products in a mark-to market-environment, increasing transparency for accounting and compliance./ul This book will be invaluable reading for Credit Analysts, Quantitative Analysts, Credit Portfolio Managers, Academics and anyone interested in these complex yet important markets. |
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| Descripción Física: | 1 online resource (xxi, 242 pages) : illustrations |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781119206620 1119206626 9780470684962 0470684968 9780470684955 047068495X 0470687193 9780470687192 1283371804 9781283371803 9786613371805 6613371807 |