Modelling Single-name and Multi-name Credit Derivatives (The Wiley Finance Series) Год выпуска: 2008Автор: Dominic O'KaneИздательство: Страниц: 514ISBN: 0470519282Описание Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and aerence for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indicnd all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity Cportfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.
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