Credit Correlation: Theory and Practice - Couverture souple

Elouerkhaoui, Youssef

Couverture souple

ISBN 10 : 3319869736 ISBN 13 : 9783319869735

Editeur : Palgrave Macmillan, 2018

Synopsis

Authored by noted expert on credit portfolios and correlation trading and frequent speaker on these topics at all the big quant conferences.

Tackles up-to-date credit and default correlation on the market.

Renewed interest in credit products, with leading investment house Blackrock leading the charge given challenging market conditions in other areas (e.g. bond trading).

A propos du livre

À propos de l?auteur

Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit Quantitative Analysis at Citi. His group supports all modelling and product development activities for Credit Markets. This includes: Flow, Correlation, Options and Exotics, CDOs and Emerging Markets. He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for Structured Credit. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais Supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.

Youssef is author to numerous professional and academic research articles in mathematical finance for both professional and academic journals, contributed to the book 'Credit Correlation: Life After Copluas' (Lipton and Rennie) and is a regular speaker at all the major quantitative finance conferences, including Risk's Quant Europe, ICBI's Global Derivatives, and WBSs Fixed Income Conference.

Détails de l'édition

• Éditeur: Palgrave Macmillan
• Date d'édition: 2018
• Langue: anglais
• ISBN 10: 3319869736
• ISBN 13: 9783319869735
• Reliure: Broché
• Nombre de pages: 480
• Coordonnées du fabricant: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Allemagne