O'Kane Modelling Single-name and Multi-name Credit Derivatives

1. Auflage 2010
ISBN: 978-0-470-69676-7
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 514 Seiten, E-Book

Reihe: Wiley Finance Series

Modelling Single-name and Multi-name Credit Derivativespresents an up-to-date, comprehensive, accessible and practicalguide to the pricing and risk-management of credit derivatives. Itis both a detailed introduction to credit derivative modelling anda reference for those who are already practitioners.
This book is up-to-date as it covers many of the importantdevelopments which have occurred in the credit derivatives marketin the past 4-5 years. These include the arrival of the CDSportfolio indices and all of the products based on these indices.In terms of models, this book covers the challenge of modellingsingle-tranche CDOs in the presence of the correlation skew, aswell as the pricing and risk of more recent products such asconstant maturity CDS, portfolio swaptions, CDO squareds, creditCPPI and credit CPDOs.

Autoren/Hrsg.

O'Kane, Dominic

Über Autor(innen)

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.