Modelling single-name and multi-name credit derivatives / Dominic O'Kane.

Format:

Book

Author/Creator:

O'Kane, Dominic.

Series:

Wiley finance series.

Wiley finance

Language:

English

Subjects (All):

Credit derivatives.

Physical Description:

1 online resource (515 p.)

Edition:

1st ed.

Place of Publication:

Chichester, West Sussex ; Hoboken, NJ : John Wiley & Sons, c2008.

Language Note:

English

Summary:

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 cov

Contents:

Modelling Single-name and Multi-name Credit Derivatives; Contents; Acknowledgements; About the Author; Introduction; Notation; 1 The Credit Derivatives Market; 2 Building the Libor Discount Curve; PART I SINGLE-NAME CREDIT DERIVATIVES; 3 Single-name Credit Modelling; 4 Bonds and Asset Swaps; 5 The Credit Default Swap; 6 A Valuation Model for Credit Default Swaps; 7 Calibrating the CDS Survival Curve; 8 CDS Risk Management; 9 Forwards, Swaptions and CMDS; PART II MULTI-NAME CREDIT DERIVATIVES; 10 CDS Portfolio Indices; 11 Options on CDS Portfolio Indices

12 An Introduction to Correlation Products13 The Gaussian Latent Variable Model; 14 Modelling Default Times using Copulas; 15 Pricing Default Baskets; 16 Pricing Tranches in the Gaussian Copula Model; 17 Risk Management of Synthetic Tranches; 18 Building the Full Loss Distribution; 19 Implied Correlation; 20 Base Correlation; 21 Copula Skew Models; 22 Advanced Multi-name Credit Derivatives; 23 Dynamic Bottom-up Correlation Models; 24 Dynamic Top-down Correlation Models; Appendix A Useful Formulae; Bibliography; Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [487]-490) and index.

ISBN:

9786612550119

9781119995449

1119995442

9781119201960

1119201969

9781282550117

128255011X

9780470696767

0470696761

OCLC:

609863019