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Modelling Single-name and Multi-name Credit Derivatives PDF

515 Pages·2008·4.5 MB·English
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by Dominic O’Kane| 2008| 515 pages| 4.5| English

About Modelling Single-name and Multi-name Credit Derivatives

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.

Detailed Information

Author:Dominic O’Kane
Publication Year:2008
ISBN:9780470519288
Pages:515
Language:English
File Size:4.5
Format:PDF
Price:FREE
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