Modelling Single-name and Multi-name Credit Derivatives

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9780470519288: Modelling Single-name and Multi-name Credit Derivatives
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Modelling Single-name and Multi-name Credit Derivativespresents an up-to-date, comprehensive, accessible and practicalguide to the pricing and risk-management of credit derivatives. Itis both a detailed introduction to credit derivative modelling anda reference for those who are already practitioners.

This book is up-to-date as it covers many of the importantdevelopments which have occurred in the credit derivatives marketin the past 4-5 years. These include the arrival of the CDSportfolio indices and all of the products based on these indices.In terms of models, this book covers the challenge of modellingsingle-tranche CDOs in the presence of the correlation skew, aswell as the pricing and risk of more recent products such asconstant maturity CDS, portfolio swaptions, CDO squareds, creditCPPI and credit CPDOs.

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This book provides a unique, in-depth and comprehensiveanalysis of the modelling issues faced by credit modellers in thecredit derivatives market.

—Frank J. Fabozzi, PhD, CFA, Professor in the Practiceof Finance, Yale School of Management

Dominic O'Kane's many years of practical experience in creditderivative markets are evident everywhere in this well-rounded,lucid, and informative book. The author does an admirable job ofcovering both basic and advanced topics, throughout emphasizingsubstance over technicalities. The product coverage of the text isextensive, with virtually all practically relevant creditderivatives carefully described and analyzed. Both beginners andseasoned pros can learn from O’Kane’s insights and hisbook deserves a wide readership. Highly recommended.”

—Leif Andersen, Head of Quantitative Research, Banc ofAmerica Securities

About the Author:

Dominic O'Kane is an affiliated Professor of Finance at the French business school EDHEC which is based in Nice, France. Until May 2006, Dominic O'Kane was a managing director and ran the European Fixed Income Quantitative Research group at Lehman Brothers, the US investment bank. Dominic spent seven of his nine years at Lehman Brothers working as a quant for the credit derivatives trading desk.

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Dominic O'Kane
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Book Description John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. 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. Seller Inventory # AAH9780470519288

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Book Description John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. 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. Seller Inventory # AAH9780470519288

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