Picture 1 of 1

Stock photo

Modelling Single-Name and Multi-Name Credit Derivatives, Hardcover by O'Kane,... - Picture 1 of 1

The Wiley Finance Ser.: Modelling Single-Name and Multi-name Credit Derivatives by Dominic O'Kane (2008, Hardcover)

Great Book Prices Store (339639)

96.8% positive Feedback

Price:

US $110.55

Approximately£81.69

+ $19.99 postage

Estimated delivery Mon, 4 Aug - Mon, 18 Aug

Returns:

14 days return. Buyer pays for return postage. If you use an eBay delivery label, it will be deducted from your refund amount.

Condition:

New

These include the arrival of the CDS portfolio indices and all of the products based on these indices.

About this product

Product Identifiers

PublisherWiley & Sons, Incorporated, John

ISBN-100470519282

ISBN-139780470519288

eBay Product ID (ePID)64501277

Product Key Features

Number of Pages512 Pages

Publication NameModelling Single-Name and Multi-Name Credit Derivatives

LanguageEnglish

Publication Year2008

SubjectInvestments & Securities / Derivatives, Finance / General

TypeTextbook

Subject AreaBusiness & Economics

AuthorDominic O'kane

SeriesThe Wiley Finance Ser.

FormatHardcover

Dimensions

Item Height1.3 in

Item Weight35.6 Oz

Item Length9.9 in

Item Width6.9 in

Additional Product Features

Intended AudienceScholarly & Professional

LCCN2008-019031

Series Volume Number545

IllustratedYes

SynopsisModelling 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 a reference 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 indices and 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 CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs. Divided into two parts, part one of this book covers single-name credit derivatives. Reflecting its importance as the building block for most other credit derivatives, the mechanics of the credit default swap (CDS) are covered in considerable detail. A chapter is then devoted to the risk-management of CDS. The pricing and risk-management of forward starting CDS, the option on a CDS and constant maturity CDS are then covered. Part two of the book covers multi-name products and begins with the CDS index. The mechanics and pricing of the CDS index are set out in detail. A chapter on the pricing of options on the CDS index follows. Much of part two of the book is then devoted to the pricing and risk-management of single tranche CDOs. After discussing the Gaussian copula model and the numerical challenge of building the portfolio loss distribution, several chapters are devoted to the subject of modelling the correlation skew. This includes a detailed discussion of base correlation, copula-based skew models and dynamic correlation modelling. Practical and accessible, Modelling Single-name and Multi-name Credit Derivatives does not assume any previous knowledge of credit derivatives. Products are explained in detail as are the requirements of any pricing model. While the book is undoubtedly mathematical, the emphasis is on building intuition, especially regarding the risk sensitivities of the product. Issues such as model requirements, model calibration and stability are addressed. Attention is paid to the need for optimising the computationally efficiency of the implementation, and detailed algorithms are presented which are simple for the reader to convert into their preferred programming language., 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 a reference 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 indices and 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 CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs., 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 a reference for those who are already practitioners.

LC Classification NumberHG6024.A3