Modelling Single-name and Multi-name Credit Derivatives. Группа авторов

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Название: Modelling Single-name and Multi-name Credit Derivatives

Автор: Группа авторов

Издательство: John Wiley & Sons Limited

Жанр: Управление, подбор персонала

Серия:

isbn: 9780470696767

isbn: 0

Аннотация:

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 modelling and a reference for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.