LEADER 06010nam 2200889Ia 450 001 9910827455103321 005 20200520144314.0 010 $a9786613371805 010 $a9781119206620 010 $a1119206626 010 $a9781283371803 010 $a1283371804 010 $a9780470687192 010 $a0470687193 035 $a(CKB)2550000000064852 035 $a(EBL)564937 035 $a(OCoLC)742332880 035 $a(SSID)ssj0000534132 035 $a(PQKBManifestationID)11364385 035 $a(PQKBTitleCode)TC0000534132 035 $a(PQKBWorkID)10511222 035 $a(PQKB)10805940 035 $a(Au-PeEL)EBL564937 035 $a(CaPaEBR)ebr10510666 035 $a(CaONFJC)MIL337180 035 $a(PPN)170227502 035 $a(OCoLC)794596633 035 $a(OCoLC)ocn794596633 035 $a(OCoLC)457765263 035 $a(FINmELB)ELB178997 035 $a(CaSebORM)9780470684962 035 $a(MiAaPQ)EBC564937 035 $a(FR-PaCSA)45007618 035 $a(FRCYB45007618)45007618 035 $a(Perlego)1009928 035 $a(EXLCZ)992550000000064852 100 $a20091005d2010 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe art of credit derivatives $edemystifying the black swan /$fJoao Garcia and Serge Goossens 205 $a1st edition 210 $aChichester, West Sussex $cWiley$dc2010 215 $a1 online resource (266 p.) 225 1 $aThe Wiley Finance Series ;$vv.572 300 $aDescription based upon print version of record. 311 08$a9780470684962 311 08$a0470684968 311 08$a9780470747353 311 08$a0470747358 320 $aIncludes bibliographical references and index. 327 $aThe 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 Results 327 $a4.6 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 Obligations 327 $a7.1 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 Le?vy Base Correlation; 10.1 Introduction; 10.2 Historical Study; 10.3 Base Correlation; 10.4 Hedge Parameters 327 $a10.5 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 Correlations 327 $a13.5 Le?vy 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: PAUG 327 $a16.4 Conclusion 330 $aCredit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater. The Art of Credit Derivatives shows practitioners how to put a framework in place which will support the securitization activity. By showing the models that support this activity and linking them with very practical examples, the aut 410 0$aWiley finance series. 606 $aCredit derivatives 606 $aPortfolio management 606 $aSecurities 615 0$aCredit derivatives. 615 0$aPortfolio management. 615 0$aSecurities. 676 $a332.63/2 700 $aGarcia$b Joao$01698230 701 $aGoossens$b Serge$01698231 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910827455103321 996 $aThe art of credit derivatives$94079545 997 $aUNINA