Dominic O'Kane

Modelling Single-name and Multi-name Credit Derivatives (eBook, PDF)

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 514
• Erscheinungstermin: 3. März 2010
• Englisch
• ISBN-13: 9780470696767
• Artikelnr.: 37298664

Autorenporträt

Dominic O'Kane is an affiliated Professor of Finance at the French business school EDHEC which is based in Nice, France. Until May 2006, Dominic O'Kane was a managing director and ran the European Fixed Income Quantitative Research group at Lehman Brothers, the US investment bank. Dominic spent seven of his nine years at Lehman Brothers working as a quant for the credit derivatives trading desk.

Inhaltsangabe

Contents Acknowledgements About the Author Introduction Notation 1 The
Credit Derivatives Market 2 Building the Libor Discount Curve PART I
SINGLE-NAME CREDIT DERIVATIVES 3 Single-name Credit Modelling 4 Bonds and
Asset Swaps 5 The Credit Default Swap 6 A Valuation Model for Credit
Default Swaps 7 Calibrating the CDS Survival Curve 8 CDS Risk Management 9
Forwards, Swaptions and CMDS PART II MULTI-NAME CREDIT DERIVATIVES 10 CDS
Portfolio Indices 11 Options on CDS Portfolio Indices 12 An Introduction to
Correlation Products 13 The Gaussian Latent Variable Model 14 Modelling
Default Times using Copulas 15 Pricing Default Baskets 16 Pricing Tranches
in the Gaussian Copula Model 17 Risk Management of Synthetic Tranches 18
Building the Full Loss Distribution 19 Implied Correlation 20 Base
Correlation 21 Copula Skew Models 22 Advanced Multi-name Credit Derivatives
23 Dynamic Bottom-up Correlation Models 24 Dynamic Top-down Correlation
Models Appendix A Useful Formulae Bibliography Index