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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
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui
Synthetic CDOs : modelling, valuation and risk management / / Craig Mounfield
Synthetic CDOs : modelling, valuation and risk management / / Craig Mounfield
Autore Mounfield Craig <1969->
Edizione [1st ed.]
Pubbl/distr/stampa Cambridge, UK ; ; New York, : 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
Finance
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-9910822862403321
Mounfield Craig <1969->  
Cambridge, UK ; ; New York, : Cambridge University Press, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui