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Credit Derivatives: The Definitive Guide

By Jon Gregory Ph.D.

Credit Derivatives: The Definitive Guide

By Jon Gregory Ph.D.

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Description
Presenting a unique encyclopaedic view of the credit derivatives market this new multi-contributor title will guide you in all aspects of this rapidly growing sector providing you with a firm grasp of everything from the basics to the more involved quantitative issues. As the definitive guide to credit derivatives this expansive volume deals with its subject matter in both greater breadth and depth than any single text has ever before achieved. An eminent selection of over 30 influential contributors provide you with a thorough yet detailed ysis of every aspect of the credit derivatives industry including its related markets, products, applications and regulatory issues. Joining the list of renowned practitioners, leading quantitative ysts and academics provide insight into the more technical aspects and illustrate a selection of practical modelling approaches. From the pricing of credit default swaps, options, hybrids and CDOs to the modelling and hedging of default risk you will find a wealth of insight and instruction that teaches you to apply these techniques to your own projects. Topics such as the ysis of credit spread returns, the CDS-bond basis and modified restructuring are discussed in detail. You will also find in-depth coverage of the and regulatory issues impacting upon the field with plenty of helpful advice on how to implement effective solutions for compliance to both Basel II and IAS 39. What's more the title contains detailed coverage of the CDO market, including cash, synthetic, single tranche and CDO of CDO structures, and discusses default correlation, credit portfolio risk and credit portfolio optimisation. As a guide to the purchase and use of credit derivatives, this definitive guide has no equal.
Product details
Number of Pages:
400
Release Date:
2003-09-30
Publication Date:
2003-09-30
Publisher:
Risk Books
Languages:
Published: English, Original: English
ISBN10:
1904339123
Weight:
5838 g
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