عنوان
پدید آورنده
موضوع
رده
HG6024.A3 M69 2009eb
HG6024
.
A3
M69
2009eb
کتابخانه
محل استقرار
0511463243
0511464770
0511465513
9780511463242
9780511464775
9780511465512
0521897882
9780521897884
b736300
Synthetic CDOs :
[Book]
modelling, valuation and risk management /
Craig Mounfield.
New York :
Cambridge University Press,
2009.
1 online resource (xvi, 369 pages) :
illustrations.
Mathematics, finance and risk
Includes bibliographical references (pages 357-363) and index.
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.
0
"Starting with a brief overview of the structured finance landscape, the book introduces the basic modelling concepts necessary to model and value simple vanilla credit derivatives. Building on this, the book then describes in detail the modelling, valuation and risk management of synthetic CDOs. A clear and 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, often not covered in other texts."--Jacket.
MIL
198293
Synthetic CDOs.
Synthetic collateralised debt obligations
Collateralized debt obligations.
BUSINESS & ECONOMICS-- Investments & Securities-- Stocks.
Collateralized debt obligations.
BUS-- 036060
332
.
632
22
22
22
HG6024
.
A3
M69
2009eb
Mounfield, Craig,1969-
20201203200138.0
pn
مطالعه متن کتاب [Book]
Y
