Synthetic CDOs : modelling, valuation and risk management
- نوع فایل : کتاب
- زبان : انگلیسی
- مؤلف : Craig Mounfield
- ناشر : Cambridge ; New York : Cambridge University Press
- چاپ و سال / کشور: 2009
- شابک / ISBN : 9786611982935
Description
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.
Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.
