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TitleModelling single-name and multi-name credit derivatives
Author Dominic O'Kane
Imprint Chichester, West Sussex ; Hoboken, NJ : John Wiley & Sons, c2008
Descript xii, 493 p. : ill. ; 25 cm

CONTENT

The credit derivatives market -- Building the labor discount curve -- Single-name credit modeling -- Bonds and asset swaps -- The credit default swap -- A Valuation models for credit default swaps -- Calibrating the CDS survival curve -- CDS risk management -- Forwards, Swap ions and CMDs -- CDS portfolio indices -- Options on CDS portfolio indices -- An introduction to correlation products -- The Gaussian latent variable model -- Modeling default times using copulas -- Pricing default baskets -- Pricing tranches in the Gaussian copula model -- Risk management of synthetic tranches -- The Gaussian latent variable model -- Modeling default times using copulas -- Pricing default baskets -- Pricing tranches in the Gaussian copula models -- Risk management of synthetic tranches -- Building the full loss distribution -- Implied correlation -- Base correlation -- Copula skew models -- Advanced multi-name credit derivatives -- Dynamic bottom-up correlation models -- Dynamic top-down correlation models -- Appendix a useful formulae -- Bibliography -- Index


Credit derivatives

LOCATIONCALL#STATUS
Chula Business School Library : Reserve Collection332.6457 O41M 2008CHECK SHELVES

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