Modelling Single-Name and Multi-Name Credit Derivatives - Couverture rigide

O'Kane, Dominic

 
9780470519288: Modelling Single-Name and Multi-Name Credit Derivatives
Couverture rigide
ISBN 10 : 0470519282 ISBN 13 : 9780470519288
Editeur : John Wiley & Sons Inc, 2008

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
John Wiley & Sons Inc
Date d'édition
2008
Langue
anglais
ISBN 10 
0470519282
ISBN 13 
9780470519288
Reliure
Relié
Nombre de pages
512
Coordonnées du fabricant
non disponible
Personne responsable
non disponible