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Synthetic CDOs : modelling, valuation and risk management / / Craig Mounfield [[electronic resource]]
| Synthetic CDOs : modelling, valuation and risk management / / Craig Mounfield [[electronic resource]] |
| Autore | Mounfield Craig <1969-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2009 |
| Descrizione fisica | 1 online resource (xvi, 369 pages) : digital, PDF file(s) |
| Disciplina | 332.63/2 |
| Collana | Mathematics, finance, and risk |
| Soggetto topico | Collateralized debt obligations |
| ISBN |
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 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910454199703321 |
Mounfield Craig <1969->
|
||
| Cambridge : , : Cambridge University Press, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Synthetic CDOs : modelling, valuation and risk management / / Craig Mounfield [[electronic resource]]
| Synthetic CDOs : modelling, valuation and risk management / / Craig Mounfield [[electronic resource]] |
| Autore | Mounfield Craig <1969-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2009 |
| Descrizione fisica | 1 online resource (xvi, 369 pages) : digital, PDF file(s) |
| Disciplina | 332.63/2 |
| Collana | Mathematics, finance, and risk |
| Soggetto topico | Collateralized debt obligations |
| ISBN |
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 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910782689703321 |
|
Mounfield Craig <1969->
|
||
| Cambridge : , : Cambridge University Press, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||