The definitive guide to CDOs: market, application, valuation and hedging
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2008
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXXVII, 638 S. graph. Darst. |
| ISBN: | 9781906348014 |
Internformat
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| 245 | 1 | 0 | |a The definitive guide to CDOs |b market, application, valuation and hedging |c ed. by Gunter Meissner |
| 264 | 1 | |a London |b Risk Books |c 2008 | |
| 300 | |a XXXVII, 638 S. |b graph. Darst. | ||
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Datensatz im Suchindex
| _version_ | 1804137634513027072 |
|---|---|
| adam_text | Contents
List of Figures
ix
List of Tables
xvii
About the Editor
xxi
About the Authors
xxiii
Introduction
xxxiii
Gunter Meissner
SECTION
1:
THE CDO MARKET AND APPLICATION
Introduction
3
1
The Evolution of CDOs
-
From the Bistro to CDO2
5
Brenda Boultwood;
Gunter
Meissner
JP Morgan; University of Hawaii, NYU and Derivatives Software
2
The Application of CDOs
21
Gunter
Meissner
University of Hawaii, NYU and Derivatives Software
SECTION
2:
BASIC PROPERTIES OF CDO VALUATION
Introduction
35
3
An Overview on Copula Function Methods in Credit
Portfolio Modelling
39
David Xianglin Li
China International Capital Corporation Limited
4
The Underlying Dynamics of Credit Correlations
73
Arthur
Berd;
Robert Engle; Artem Voronov
Capital Fund Management; Stern School of Business,
New York University; Millgate Capital
5
Dynamic Conditioning and Credit Correlation Baskets
117
Claudio
Albanese;
Alicia
Vialer
Level
3
Finance; Merrill Lynch
6
Approaches to Generate the Loss Distribution
161
Veter
Grundke; Thomas Moosbrucker
University of
Osnabrück; Deloitte & Touche GmbH
7
Modelling Non-Normal CDO Returns with the Omega
Function
187
Ranjan Bhaduri; Gunter
Meissner
AlphaMetrix, World Trade University; University of Hawaii,
NYU and Derivatives Software
CONTENTS
SECTION
3: CDO
VALUATION APPROACHES
Introduction
201
8
The Market Standard Model for Valuing CDOs, the One-Factor
Gaussian Copula Model
-
Benefits and Limitations
207
Gunter Meissner
University of Hawaii, NYU and Derivatives Software
9
Practical Pricing of Synthetic CDOs
223
Jon
Gregoři/;
Jean-Paul Laurent
SS
Consulting;
Université de Lyon, Université
Lyon 1,
ISFA Actuarial School, and
BNP Paribas
10
Factor Models for CDO Pricing
259
Leif
Andersen, Victor
L
Piterbarg
Bane of America Securities
11
Levy Processes for the Valuation of CDO Tranches
293
Thomas Moosbrucker
Deloitte
&
Touche
GmbH
12
Markov Models for CDOs
319
Erik Schlögl
University of Technology, Sydney
13
CDOs2: Time for an Autopsy?
341
Michiko Whetten
UBS Securities Japan
14
Constant Proportion Debt Obligations: An Introduction
363
Martin Hellmich; Stefan Kassberger
DekaBank;
Ulm
University
15
A Comparative Analysis of CDO Pricing Models
389
Xavier Burtschell;
]on Gregory; Jean-Paul Laurent
BNP Paribas;
SS
Consulting;
Université de Lyon, Université
Lyon 1,
ISFA Actuarial School and
BNP Paribas
16
CDO Valuation: Fact and Fiction
429
Robert A. Jarrow; Li Li, Mark Mesler, Donald R. van
Deventer
Johnson Graduate School of Management, Cornell University
and
Kamakura
Corporation;
Kamakura
Corporation
SECTION
4:
HEDGING OF CDOs
Introduction
459
17
Hedging Issues for CDOs
461
Areski Cousin; Jean-Paul Laurent
Université de Lyon, Université
Lyon 1,
ISFA Actuarial School;
Université de Lyon, Université
Lyon 1,
ISFA Actuarial School
and
BNP Paribas
vi
CONTENTS
18
Hedging CDOs in the One-Factor Gaussian Copula Framework
481
Gunter Meissner;
Richard Hector, Thomas
Rasmussen
University of Hawaii, NYU and Derivatives Software; Hawaii
Pacific University
SECTION
5:
RATING APPROACHES, REGULATORY ISSUES AND
MODEL VALIDATION
Introduction
503
19
A Comparative Analysis of Fitch s, Moody s and
Standard
&
Poor s CDO Rating Approaches
507
Gunter
Meissner; Tim Gamier, Tobias
Laute
University of Hawaii, NYU and Derivatives Software; Hawaii
Pacific University
20
The Treatment of CDOs in Basel II
529
Martin
Bródka,
Linda Urban
Lehman Brothers
21
Counterparty Credit Risk of CDO Tranches under Basel II
553
Niall Whelan
Scotiabank
22
Model Validation and CDOs
-
An Overview of Requirements
and Methods
577
George Neal
American Savings Bank
SECTION
6:
CDOS
-
RISKS, CHALLENGES AND MARKET OUTLOOK
Introduction
593
23
CDOs
-
Risks, Challenges and Market Outlook
595
David M. Rowe, Cyril Deretz
SunGard
Index
631
VII
|
| adam_txt |
Contents
List of Figures
ix
List of Tables
xvii
About the Editor
xxi
About the Authors
xxiii
Introduction
xxxiii
Gunter Meissner
SECTION
1:
THE CDO MARKET AND APPLICATION
Introduction
3
1
The Evolution of CDOs
-
From the Bistro to CDO2
5
Brenda Boultwood;
Gunter
Meissner
JP Morgan; University of Hawaii, NYU and Derivatives Software
2
The Application of CDOs
21
Gunter
Meissner
University of Hawaii, NYU and Derivatives Software
SECTION
2:
BASIC PROPERTIES OF CDO VALUATION
Introduction
35
3
An Overview on Copula Function Methods in Credit
Portfolio Modelling
39
David Xianglin Li
China International Capital Corporation Limited
4
The Underlying Dynamics of Credit Correlations
73
Arthur
Berd;
Robert Engle; Artem Voronov
Capital Fund Management; Stern School of Business,
New York University; Millgate Capital
5
Dynamic Conditioning and Credit Correlation Baskets
117
Claudio
Albanese;
Alicia
Vialer
Level
3
Finance; Merrill Lynch
6
Approaches to Generate the Loss Distribution
161
Veter
Grundke; Thomas Moosbrucker
University of
Osnabrück; Deloitte & Touche GmbH
7
Modelling Non-Normal CDO Returns with the Omega
Function
187
Ranjan Bhaduri; Gunter
Meissner
AlphaMetrix, World Trade University; University of Hawaii,
NYU and Derivatives Software
CONTENTS
SECTION
3: CDO
VALUATION APPROACHES
Introduction
201
8
The Market Standard Model for Valuing CDOs, the One-Factor
Gaussian Copula Model
-
Benefits and Limitations
207
Gunter Meissner
University of Hawaii, NYU and Derivatives Software
9
Practical Pricing of Synthetic CDOs
223
Jon
Gregoři/;
Jean-Paul Laurent
SS
Consulting;
Université de Lyon, Université
Lyon 1,
ISFA Actuarial School, and
BNP Paribas
10
Factor Models for CDO Pricing
259
Leif
Andersen, Victor
L
Piterbarg
Bane of America Securities
11
Levy Processes for the Valuation of CDO Tranches
293
Thomas Moosbrucker
Deloitte
&
Touche
GmbH
12
Markov Models for CDOs
319
Erik Schlögl
University of Technology, Sydney
13
CDOs2: Time for an Autopsy?
341
Michiko Whetten
UBS Securities Japan
14
Constant Proportion Debt Obligations: An Introduction
363
Martin Hellmich; Stefan Kassberger
DekaBank;
Ulm
University
15
A Comparative Analysis of CDO Pricing Models
389
Xavier Burtschell;
]on Gregory; Jean-Paul Laurent
BNP Paribas;
SS
Consulting;
Université de Lyon, Université
Lyon 1,
ISFA Actuarial School and
BNP Paribas
16
CDO Valuation: Fact and Fiction
429
Robert A. Jarrow; Li Li, Mark Mesler, Donald R. van
Deventer
Johnson Graduate School of Management, Cornell University
and
Kamakura
Corporation;
Kamakura
Corporation
SECTION
4:
HEDGING OF CDOs
Introduction
459
17
Hedging Issues for CDOs
461
Areski Cousin; Jean-Paul Laurent
Université de Lyon, Université
Lyon 1,
ISFA Actuarial School;
Université de Lyon, Université
Lyon 1,
ISFA Actuarial School
and
BNP Paribas
vi
CONTENTS
18
Hedging CDOs in the One-Factor Gaussian Copula Framework
481
Gunter Meissner;
Richard Hector, Thomas
Rasmussen
University of Hawaii, NYU and Derivatives Software; Hawaii
Pacific University
SECTION
5:
RATING APPROACHES, REGULATORY ISSUES AND
MODEL VALIDATION
Introduction
503
19
A Comparative Analysis of Fitch's, Moody's and
Standard
&
Poor's CDO Rating Approaches
507
Gunter
Meissner; Tim Gamier, Tobias
Laute
University of Hawaii, NYU and Derivatives Software; Hawaii
Pacific University
20
The Treatment of CDOs in Basel II
529
Martin
Bródka,
Linda Urban
Lehman Brothers
21
Counterparty Credit Risk of CDO Tranches under Basel II
553
Niall Whelan
Scotiabank
22
Model Validation and CDOs
-
An Overview of Requirements
and Methods
577
George Neal
American Savings Bank
SECTION
6:
CDOS
-
RISKS, CHALLENGES AND MARKET OUTLOOK
Introduction
593
23
CDOs
-
Risks, Challenges and Market Outlook
595
David M. Rowe, Cyril Deretz
SunGard
Index
631
VII |
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| spelling | The definitive guide to CDOs market, application, valuation and hedging ed. by Gunter Meissner London Risk Books 2008 XXXVII, 638 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Collateralized debt obligations Collateralized debt obligation (DE-588)7548936-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Collateralized debt obligation (DE-588)7548936-3 s DE-604 Meissner, Gunter 1957- Sonstige (DE-588)140047719 oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016488635&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The definitive guide to CDOs market, application, valuation and hedging Collateralized debt obligations Collateralized debt obligation (DE-588)7548936-3 gnd |
| subject_GND | (DE-588)7548936-3 (DE-588)4143413-4 |
| title | The definitive guide to CDOs market, application, valuation and hedging |
| title_auth | The definitive guide to CDOs market, application, valuation and hedging |
| title_exact_search | The definitive guide to CDOs market, application, valuation and hedging |
| title_exact_search_txtP | The definitive guide to CDOs market, application, valuation and hedging |
| title_full | The definitive guide to CDOs market, application, valuation and hedging ed. by Gunter Meissner |
| title_fullStr | The definitive guide to CDOs market, application, valuation and hedging ed. by Gunter Meissner |
| title_full_unstemmed | The definitive guide to CDOs market, application, valuation and hedging ed. by Gunter Meissner |
| title_short | The definitive guide to CDOs |
| title_sort | the definitive guide to cdos market application valuation and hedging |
| title_sub | market, application, valuation and hedging |
| topic | Collateralized debt obligations Collateralized debt obligation (DE-588)7548936-3 gnd |
| topic_facet | Collateralized debt obligations Collateralized debt obligation Aufsatzsammlung |
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