Login

O'Kane, Dominic

Modelling Single-name and Multi-name Credit Derivatives

O'Kane, Dominic - Modelling Single-name and Multi-name Credit Derivatives, ebook

111,60€

Ebook, PDF with Adobe DRM
ISBN: 9780470696767
DRM Restrictions

Printing156 pages with an additional page accrued every 5 hours, capped at 156 pages
Copy to clipboard26 excerpts

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.

Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2009
Language
en
Edition
1
Series
The Wiley Finance Series
Page amount
520 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780470696767
Printed ISBN
9780470519288

Similar titles