| Modelling Single-name and Multi-name Credit Derivatives Contributor(s): O'Kane, Dominic (Author) |
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ISBN: 0470519282 ISBN-13: 9780470519288 Publisher: Wiley OUR PRICE: $151.05 Product Type: Hardcover - Other Formats Published: August 2008 Annotation: "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. |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General |
| Dewey: 332.645 |
| LCCN: 2008019031 |
| Series: Wiley Finance |
| Physical Information: 1.3" H x 6.7" W x 9.6" (2.45 lbs) 512 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |
