Synthetic CDOs: modelling, valuation and risk management
Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance landscape,...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2009
|
| Series: | Mathematics, finance, and risk
7 |
| Subjects: | |
| Online Access: | BSB01 FHN01 Volltext |
| Summary: | Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance landscape, readers are introduced tothe basic modelling concepts necessary to model and value simple credit derivatives. The modelling, valuation and risk management of synthetic CDOs are described and a detailed picture of the behaviour of these complex instruments is built up. The final chapters introduce more advanced topics such as portfolio management of synthetic CDOs and hedging techniques. Detailing the latest models and techniques, this is essential reading for quantitative analysts, traders and risk managers working in investment banks, hedge funds and other financial institutions, and for graduates intending to enter the industry. It is also ideal for academics who need to keep informed with current best practice in the credit derivatives industry |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xvi, 369 pages) |
| ISBN: | 9780511755484 |
| DOI: | 10.1017/CBO9780511755484 |
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Record in the Search Index
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| author | Mounfield, Craig 1969- |
| author_facet | Mounfield, Craig 1969- |
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| author_sort | Mounfield, Craig 1969- |
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| contents | 1. A primer on collateralised debt obligations; 2. The modelling of obligor default; 3. Valuation of credit default swaps; 4. Credit indices; 5. Valuation of default baskets; 6. Synthetic CDO valuation methodologies; 7. Phenomenology of the standard market model; 8. Risk quantification and sensitivities of synthetic CDOs; 9. Implied and base correlations; 10. Extensions of the standard market model; 11. Exotic CDOs; 12. Correlation trading of synthetic CDO tranches; 13. Risk management of a portfolio of synthetic CDOs; 14. Hedging simulation of structured credit products; A. Explanation of common notation; B. Simulated annealing |
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| dewey-ones | 332 - Financial economics |
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| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511755484 |
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| isbn | 9780511755484 |
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| spelling | Mounfield, Craig 1969- Verfasser aut Synthetic CDOs modelling, valuation and risk management Craig Mounfield Cambridge Cambridge University Press 2009 1 online resource (xvi, 369 pages) txt rdacontent c rdamedia cr rdacarrier Mathematics, finance, and risk 7 Title from publisher's bibliographic system (viewed on 05 Oct 2015) 1. A primer on collateralised debt obligations; 2. The modelling of obligor default; 3. Valuation of credit default swaps; 4. Credit indices; 5. Valuation of default baskets; 6. Synthetic CDO valuation methodologies; 7. Phenomenology of the standard market model; 8. Risk quantification and sensitivities of synthetic CDOs; 9. Implied and base correlations; 10. Extensions of the standard market model; 11. Exotic CDOs; 12. Correlation trading of synthetic CDO tranches; 13. Risk management of a portfolio of synthetic CDOs; 14. Hedging simulation of structured credit products; A. Explanation of common notation; B. Simulated annealing Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance landscape, readers are introduced tothe basic modelling concepts necessary to model and value simple credit derivatives. The modelling, valuation and risk management of synthetic CDOs are described and a detailed picture of the behaviour of these complex instruments is built up. The final chapters introduce more advanced topics such as portfolio management of synthetic CDOs and hedging techniques. Detailing the latest models and techniques, this is essential reading for quantitative analysts, traders and risk managers working in investment banks, hedge funds and other financial institutions, and for graduates intending to enter the industry. It is also ideal for academics who need to keep informed with current best practice in the credit derivatives industry Collateralized debt obligations Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Collateralized debt obligation (DE-588)7548936-3 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 1\p DE-604 Erscheint auch als Druckausgabe 978-0-521-89788-4 https://doi.org/10.1017/CBO9780511755484 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Mounfield, Craig 1969- Synthetic CDOs modelling, valuation and risk management 1. A primer on collateralised debt obligations; 2. The modelling of obligor default; 3. Valuation of credit default swaps; 4. Credit indices; 5. Valuation of default baskets; 6. Synthetic CDO valuation methodologies; 7. Phenomenology of the standard market model; 8. Risk quantification and sensitivities of synthetic CDOs; 9. Implied and base correlations; 10. Extensions of the standard market model; 11. Exotic CDOs; 12. Correlation trading of synthetic CDO tranches; 13. Risk management of a portfolio of synthetic CDOs; 14. Hedging simulation of structured credit products; A. Explanation of common notation; B. Simulated annealing Collateralized debt obligations Risikoanalyse (DE-588)4137042-9 gnd Bewertung (DE-588)4006340-9 gnd Collateralized debt obligation (DE-588)7548936-3 gnd Securitization (DE-588)4140657-6 gnd Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)4137042-9 (DE-588)4006340-9 (DE-588)7548936-3 (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 | Collateralized debt obligations Risikoanalyse (DE-588)4137042-9 gnd Bewertung (DE-588)4006340-9 gnd Collateralized debt obligation (DE-588)7548936-3 gnd Securitization (DE-588)4140657-6 gnd Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Collateralized debt obligations Risikoanalyse Bewertung Collateralized debt obligation Securitization Kreditderivat |
| url | https://doi.org/10.1017/CBO9780511755484 |
| work_keys_str_mv | AT mounfieldcraig syntheticcdosmodellingvaluationandriskmanagement |