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Record Nr. |
UNINA9910454199703321 |
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Autore |
Mounfield Craig <1969-> |
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Titolo |
Synthetic CDOs : modelling, valuation and risk management / / Craig Mounfield [[electronic resource]] |
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Pubbl/distr/stampa |
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Cambridge : , : Cambridge University Press, , 2009 |
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ISBN |
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1-107-20194-2 |
1-281-98293-8 |
9786611982935 |
0-511-46324-3 |
0-511-46551-3 |
0-511-46244-1 |
0-511-46477-0 |
0-511-75548-1 |
0-511-46403-7 |
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Descrizione fisica |
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1 online resource (xvi, 369 pages) : digital, PDF file(s) |
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Collana |
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Mathematics, finance, and risk ; ; 7 |
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Disciplina |
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Soggetti |
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Collateralized debt obligations |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
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Nota di bibliografia |
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Includes bibliographical references (p. 357-363) and index. |
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Nota di contenuto |
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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. |
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Sommario/riassunto |
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Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance landscape, readers are introduced tothe basic |
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