Credit Derivatives

Name: Credit Derivatives
Brand: VDM Verlag Dr. Mueller E.K.
SKU: 9783639026016
Price: 298.22 PLN
Availability: InStock

Pricing and Modelling of Credit Portfolio and Credit Hybrid Derivatives

Autor: Philippe Ehlers

Język:

Oprawa: Miękka

Wydawca: VDM Verlag Dr. Mueller E.K.

Dostępność: Dostępna u dostawcy

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298.22 zł

The global credit derivatives markets showed an outstandinggrowth to more than USD 20 trillion notio...

Informacje o książce

Autor

Philippe Ehlers

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2008

strony

164

EAN

9783639026016

ISBN

3639026012

Enbook ID

06812372

Wydawca

VDM Verlag Dr. Mueller E.K.

Waga

227

Wymiary

152 x 229 x 9

Pełny opis

The global credit derivatives markets showed an outstandinggrowth to more than USD 20 trillion notional by the end of 2006 andmeanwhile sharply crashed in the 2007-2008 subprime crisis. It isnot least the complexity of credit derivatives that has led to anunderestimation of the embedded risks therein and finally to thecurrent crisis. This book adresses the challenge of pricing creditderivatives in presence of different sorts of default dependencies:Dependence across the underlying obligors of a credit portfolio anddependence between these credits and other related financialfactors. In part I a framework for portfolio credit risk whichincorporates the dependence between interest-rates and theportfolio loss process is presented. It allows in particular toconsistently model the market of single-tranche CDOs and the termstructure of interest-rates. Part II provides a detailed analysisof the connections between the credit spreads the same single-namecredit commands in different currencies including an empiricalstudy using JPY and USD CDS rates on large Japanese corporates.This book is recommended for practitioners and academics with anadvanced quantitative background.

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Credit Derivatives

Pricing and Modelling of Credit Portfolio and Credit Hybrid Derivatives

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