Buch, Englisch, Band 7, 386 Seiten, HC gerader Rücken kaschiert, Format (B × H): 175 mm x 250 mm, Gewicht: 846 g
Buch, Englisch, Band 7, 386 Seiten, HC gerader Rücken kaschiert, Format (B × H): 175 mm x 250 mm, Gewicht: 846 g
Reihe: Mathematics, Finance and Risk
ISBN: 978-0-521-89788-4
Verlag: Cambridge University Press
Autoren/Hrsg.
Weitere Infos & Material
Acknowledgements; Dedication; Preface; 1. A primer on collateralised debt obligations; 2. The modelling of obligor default; 3. Valuation of credit default swaps; 4. Credit indices; 5. Valuation of default baskets; 6. Synthetic CDO valuation methodologies; 7. Phenomenology of the standard market model; 8. Risk quantification and sensitivities of synthetic CDOs; 9. Implied and base correlations; 10. Extensions of the standard market model; 11. Exotic CDOs; 12. Correlation trading of synthetic CDO tranches; 13. Risk management of a portfolio of synthetic CDOs; 14. Hedging simulation of structured credit products; A. Explanation of common notation; B. Simulated annealing; References.