01109nam a22002651i 450099100225779970753620030517141624.0030925s1963 gr |||||||||||||||||gre b12263886-39ule_instARCHE-031147ExLBiblioteca InterfacoltàitaA.t.i. Arché s.c.r.l. Pandora Sicilia s.r.l.700.92Rodanthes, Themos452931Genika stoicheia logotechnias :poiese, pezographie, petrike klp. kai Biographies hellenon syngrapheon, poieton kai pezographon /Themou Rodanthe, Phoibou Astere ; logotechnike theorese Mich. PerantheAthenai :Kentauros,19631 v. ;22 cmAutori greciBiografieAsteres, PhoibosPeranthes, Michales.b1226388602-04-1408-10-03991002257799707536LE002 Gr. IV C 2312002000058218le002-E0.00-l- 00000.i1265454108-10-03Genika stoicheia logotechnias152305UNISALENTOle00208-10-03ma -gregr 0100855nam a2200241 i 450099100109494970753620020502183512.0961122s1976 uk ||| | eng 0582504597b11463004-39ule_instPRUMB54821ExLDip. di SSSC - DidatticaitaColman, E.A.M.526994The dramatic use of Bawdy in Shakespeare /E.A.M. ColmanLondon :Longman,1976230 p. ;22 cm.Shakespeare, WilliamCritica.b1146300421-09-0601-07-02991001094949707536LE021 FH7C5912021000209574le021-E0.00-l- 01010.i1165119201-07-02Dramatic use of Bawdy in Shakespeare811100UNISALENTOle02101-01-96ma -enguk 4105656nam 2200745Ia 450 991013955410332120200520144314.01-119-20662-61-283-37180-497866133718050-470-68719-3(CKB)2550000000064852(EBL)564937(OCoLC)742332880(SSID)ssj0000534132(PQKBManifestationID)11364385(PQKBTitleCode)TC0000534132(PQKBWorkID)10511222(PQKB)10805940(Au-PeEL)EBL564937(CaPaEBR)ebr10510666(CaONFJC)MIL337180(PPN)170227502(CaSebORM)9780470684962(MiAaPQ)EBC564937(EXLCZ)99255000000006485220091005d2010 uy 0engur|n|---|||||txtccrThe art of credit derivatives[electronic resource] demystifying the black swan /João Garcia and Serge Goossens1st editionChichester, West Sussex Wileyc20101 online resource (266 p.)The Wiley Finance Series ;v.572Description based upon print version of record.0-470-68496-8 0-470-74735-8 Includes bibliographical references and index.The Art of Credit Derivatives: Demystifying the Black Swan; Contents; About the Authors; Acknowledgements; Preface; List of Tables; List of Figures; 1 Introduction; PART I MODELING FRAMEWORK; 2 Default Models; 2.1 Introduction; 2.2 Default; 2.3 Default Models; 3 Modeling Dependence with Copulas; 3.1 Introduction; 3.2 Copula; 3.3 Using Copulas in Practice and Factor Analysis; PART II SINGLE NAME CORPORATE CREDIT DERIVATIVES; 4 Credit Default Swaps; 4.1 Introduction; 4.2 Credit Default Swap: A Description; 4.3 Modeling CDSs; 4.4 Calibrating the Survival Probability; 4.5 2008 Auction Results4.6 The Big Bang Protocol5 Pricing Credit Spread Options: A 2-factor HW-BK Algorithm; 5.1 Introduction; 5.2 The Credit Event Process; 5.3 Credit Spread Options; 5.4 Hull-White and Black-Karazinsky Models; 5.5 Results; 5.6 Conclusion; 6 Counterparty Risk and Credit Valuation Adjustment; 6.1 Introduction; 6.2 Valuation of the CVA; 6.3 Monte Carlo Simulation for CVA on CDS; 6.4 Semi-analytic Correlation Model; 6.5 Numerical Results; 6.6 CDS with Counterparty Risk; 6.7 Counterparty Risk Mitigation; 6.8 Conclusions; PART III MULTINAME CORPORATE CREDIT DERIVATIVES; 7 Collateralized Debt Obligations7.1 Introduction7.2 A Brief Overview of CDOs; 7.3 Cash versus Synthetic CDOs; 7.4 Synthetic CDOs and Leverage; 7.5 Concentration, Correlation and Diversification; 8 Standardized Credit Indices; 8.1 Introduction; 8.2 Credit Default Swap Indices; 8.3 Standardization; 8.4 iTraxx, CDX and their Tranches; 8.5 Theoretical Fair Spread of Indices; 9 Pricing Synthetic CDO Tranches; 9.1 Introduction; 9.2 Generic 1-Factor Model; 9.3 Implied Compound and Base Correlation; 10 Historical Study of Lévy Base Correlation; 10.1 Introduction; 10.2 Historical Study; 10.3 Base Correlation; 10.4 Hedge Parameters10.5 Conclusions11 Base Expected Loss and Base Correlation Smile; 11.1 Introduction; 11.2 Base Correlation and Expected Loss: Intuition; 11.3 Base Correlation and Interpolation; 11.4 Base Expected Loss; 11.5 Interpolation; 11.6 Numerical Results; 11.7 Conclusions; 12 Base Correlation Mapping; 12.1 Introduction; 12.2 Correlation Mapping for Bespoke Portfolios; 12.3 Numerical Results; 12.4 Final Comments; 13 Correlation from Collateral to Tranches; 13.1 Introduction; 13.2 Generic 1-Factor Model; 13.3 Monte Carlo Simulation and Importance Sampling; 13.4 Gaussian Copula Tranche Loss Correlations13.5 Lévy Copula Tranche Loss Correlations13.6 Marshall-Olkin Copula Tranche Loss Correlations; 13.7 Conclusions; 14 Cash Flow CDOs; 14.1 Introduction; 14.2 The Waterfall of a Cash Flow CDO; 14.3 BET Methodology; 14.4 Results; 14.5 AIG and BET; 14.6 Conclusions; 15 Structured Credit Products: CPPI and CPDO; 15.1 Introduction; 15.2 Multivariate VG Modeling; 15.3 Swaptions on Credit Indices; 15.4 Model Calibration; 15.5 CPPI; 15.6 CPDO; 15.7 Conclusion; PART IV ASSET BACKED SECURITIES; 16 ABCDS and PAUG; 16.1 Introduction; 16.2 ABCDSs versus Corporate CDSs; 16.3 ABCDS Pay As You Go: PAUG16.4 ConclusionCredit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater. The Art of Credit Derivatives shows practitioners how to put a framework in place which will support the securitization activity. By showing the models that support this activity and linking them with very practical examples, the autWiley finance series.Credit derivativesPortfolio managementSecuritiesCredit derivatives.Portfolio management.Securities.332.63/2Garcia João988975Goossens Serge988976MiAaPQMiAaPQMiAaPQBOOK9910139554103321The art of credit derivatives2261560UNINA