Modelling Single-name And Multi-name Credit Derivatives
Modelling Single-name and Multi-name Credit Derivatives
Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners.
This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.
From the Inside Flap
“This book provides a unique, in-depth and comprehensive analysis of the modelling issues faced by credit modellers in the credit derivatives market.”
—Frank J. Fabozzi, PhD, CFA, Professor in the Practice of Finance, Yale School of Management
Dominic O'Kane's many years of practical experience in credit derivative markets are evident everywhere in this well-rounded, lucid, and informative book....