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]] |
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 | ||
|
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 | ||
|