Synthetic CDOs: modelling, valuation and risk management
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge [u.a.]
Cambridge Univ. Press
2009
|
| Edition: | 1. publ. |
| Series: | Mathematics, finance, and risk
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 369 S. graph. Darst. |
| ISBN: | 9780521897884 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface
page
xi
Acknowledgements
xvi
A primer on collateralised debt obligations
1
1.1
Introduction
1
1.2
Securitisation and tranching
2
1.3
Credit derivative products
6
1.4
Chapter review
24
Modelling of obligor default
25
2.1
Introduction
25
2.2
Modelling single-name default as
a Poisson
process
26
2.3
Modelling default correlation
-
fundamental concepts
31
2.4
Introducing default dependence via copulas
33
2.5
Rating transition methods for modelling obligor default
36
2.6
Chapter review
43
Valuation of credit default swaps
45
3.1
Introduction
45
3.2
Overview of vanilla credit default swaps
46
3.3
Valuation of vanilla CDSs
51
3.4
Calibration of the survival curve to market observed data
58
3.5
Risk sensitivities of vanilla CDSs
62
3.6
Chapter review
65
Credit indices
66
4.1
Introduction
66
4.2
Description of the credit indices
67
4.3
Index trading mechanics
69
4.4
Valuation of credit indices
72
4.5
Time series analysis of credit indices
73
vu
viii Contents
4.6 Tranched
credit
index exposures
78
4.7
Chapter review
80
5
Valuation of default baskets
81
5.1
Introduction
81
5.2
Brief overview of default baskets
82
5.3
General valuation principles for default baskets
84
5.4
Analytic valuation of default baskets in simple
limiting cases
86
5.5
Monte Carlo valuation of default baskets
89
5.6
Phenomenology of default baskets
93
5.7
Semi-analytic valuation of default baskets
105
5.8
Chapter review
108
6
Valuation of synthetic CDOs
110
6.1
Introduction
110
6.2
Synthetic CDO cashflow mechanics 111
6.3
Basic principles of synthetic CDO pricing
114
6.4
Valuation in the standard market model using Monte Carlo
simulation
118
6.5
Valuation in the standard market model using semi-analytic
techniques
121
6.6
Structural models
133
6.7
Chapter review
135
7
Phenomenology of the standard market model
137
7.1
Introduction
137
7.2
Baseline case analysed
137
7.3
Tranche loss statistics
138
7.4
Analysis of the portfolio loss distribution
142
7.5
Correlation and maturity sensitivity of the tranche par
spread
149
7.6
Default baskets revisited
158
7.7
Chapter review
158
8
Risk quantification of synthetic CDOs
160
8.1
Introduction
160
8.2
Synthetic CDO risk factors
160
8.3
Baseline case analysed
162
8.4
Quantifying credit spread sensitivities
-
CS01
163
8.5
Quantifying correlation sensitivities
-
correlation
vega 172
8.6
Quantifying default risk sensitivities
-
value-on-default (VoD)
174
8.7
Tranche time decay
177
8.8
Credit spread value-at-risk (CVaR)
181
Contents ix
8.9 Default value-at-risk
(DVaR)
184
8.10
Chapter review
189
9
Implied and base correlations
190
9.1
Introduction
190
9.2
Market quoting conventions
191
9.3
The correlation smile and implied correlation
192
9.4
The market solution
-
base correlations
197
9.5
Chapter review
203
10
Extensions of the standard market model
204
10.1
Introduction
204
10.2
Extending the standard market model
205
10.3
Dynamic portfolio loss models
221
10.4
Chapter review
222
11
Exotic CDOs
224
11.1
Introduction
224
11.2
Synthetic CDO2 and CDO
225
11.3
Cashflow CDOs
229
11.4
Asset backed CDS (ABCDS)
241
11.5
ABX indices and tranched ABX (TABX) exposures
243
11.6
Chapter review
247
12
Correlation trading of synthetic CDO tranches
249
12.1
Introduction
249
12.2
An overview of correlation trading
250
12.3
Delta hedging of synthetic CDO tranches
258
12.4
Analysis of common correlation trading strategies
264
12.5
Credit market dislocations
270
12.6
Chapter review
276
13
Risk management of a portfolio of synthetic CDOs
277
13.1
Introduction
277
13.2
Set-up of the problem
278
13.3
Portfolio risk measures
285
13.4
Description of the sample portfolio
289
13.5
Basic analysis of the sample portfolio
292
13.6
Adding new trades to the portfolio
302
13.7
Origination of synthetic CDOs
305
13.8
Chapter review
308
14
Hedging simulation of structured credit products
309
14.1
Introduction
309
14.2
What is hedging simulation?
310
14.3
Hedging of structured credit products
313
Contents
ÌA.A
Hedging
simulation
of default
baskets
316
14.5
Hedging simulation of synthetic CDO tranches
320
14.6
Portfolio exposure measurement
337
14.7
Chapter review
349
Appendix A: Explanation of common notation
351
Appendix B: Simulated annealing
352
References
357
Index
364
|
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| language | English |
| lccn | 2008043035 |
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| spelling | Mounfield, Craig C. 1969- Verfasser (DE-588)136847676 aut Synthetic CDOs modelling, valuation and risk management Craig Mounfield 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2009 XVI, 369 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematics, finance, and risk Computermethoden gtt Financiering gtt Obligaties gtt Risicobeheersing gtt Collateralized debt obligations Collateralized debt obligation (DE-588)7548936-3 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Securitization (DE-588)4140657-6 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Securitization (DE-588)4140657-6 s Kreditderivat (DE-588)7660453-6 s Bewertung (DE-588)4006340-9 s Collateralized debt obligation (DE-588)7548936-3 s Risikoanalyse (DE-588)4137042-9 s b DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018008539&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mounfield, Craig C. 1969- Synthetic CDOs modelling, valuation and risk management Computermethoden gtt Financiering gtt Obligaties gtt Risicobeheersing gtt Collateralized debt obligations Collateralized debt obligation (DE-588)7548936-3 gnd Bewertung (DE-588)4006340-9 gnd Risikoanalyse (DE-588)4137042-9 gnd Securitization (DE-588)4140657-6 gnd Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)7548936-3 (DE-588)4006340-9 (DE-588)4137042-9 (DE-588)4140657-6 (DE-588)7660453-6 |
| title | Synthetic CDOs modelling, valuation and risk management |
| title_auth | Synthetic CDOs modelling, valuation and risk management |
| title_exact_search | Synthetic CDOs modelling, valuation and risk management |
| title_full | Synthetic CDOs modelling, valuation and risk management Craig Mounfield |
| title_fullStr | Synthetic CDOs modelling, valuation and risk management Craig Mounfield |
| title_full_unstemmed | Synthetic CDOs modelling, valuation and risk management Craig Mounfield |
| title_short | Synthetic CDOs |
| title_sort | synthetic cdos modelling valuation and risk management |
| title_sub | modelling, valuation and risk management |
| topic | Computermethoden gtt Financiering gtt Obligaties gtt Risicobeheersing gtt Collateralized debt obligations Collateralized debt obligation (DE-588)7548936-3 gnd Bewertung (DE-588)4006340-9 gnd Risikoanalyse (DE-588)4137042-9 gnd Securitization (DE-588)4140657-6 gnd Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Computermethoden Financiering Obligaties Risicobeheersing Collateralized debt obligations Collateralized debt obligation Bewertung Risikoanalyse Securitization Kreditderivat |
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