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Modelling Single-name and Multi-name Credit Derivatives
Hardcover
Series: Wiley Finance, Book 545
ISBN13: 9780470519288
Publisher: Wiley
Published: Aug 1 2008
Pages: 512
Weight: 2.45
Height: 1.30 Width: 6.70 Depth: 9.60
Language: English
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.
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