Credit Correlation: Life After Copulas

Language: English

Published by World Scientific Publishing Company Feb 2008, 2008

9812709495 / 9789812709493

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Neuware - The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.…

Seller Inventory # 9789812709493

Title
Credit Correlation: Life After Copulas
Author
Andrew Rennie
Publisher
World Scientific Publishing Company Feb 2008
Publication year
2008
Condition
Neu
Binding
Buch
Language
English
ISBN 10
9812709495
ISBN 13
9789812709493
Item weight
476 grams
Dimensions
249x170x15 mm

AHA-BUCH GmbH

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