Download e-book for iPad: Modelling Single-name and Multi-name Credit Derivatives (The by Dominic O'Kane

By Dominic O'Kane

ISBN-10: 0470519282

ISBN-13: 9780470519288

Modelling Single-name and Multi-name credits Derivatives provides an updated, finished, available and sensible consultant to the pricing and risk-management of credits derivatives. it really is either an in depth creation to credits by-product modelling and a reference in the event you are already practitioners.

This e-book is up to date because it covers a number of the very important advancements that have happened within the credits derivatives marketplace long ago 4-5 years. those comprise the arriving of the CDS portfolio indices and the entire items according to those indices. when it comes to versions, this booklet covers the problem of modelling single-tranche CDOs within the presence of the correlation skew, in addition to the pricing and threat of more moderen items similar to consistent adulthood CDS, portfolio swaptions, CDO squareds, credits CPPI and credits CPDOs.

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Modelling Single-name and Multi-name Credit Derivatives (The Wiley Finance Series) by Dominic O'Kane

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