عنوان
پدید آورنده
موضوع
رده
HG6024.A3 M69 2009eb
HG6024
.
A3
M69
2009eb
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
0511463243
(Number (ISBN
0511464770
(Number (ISBN
0511465513
(Number (ISBN
9780511463242
(Number (ISBN
9780511464775
(Number (ISBN
9780511465512
Erroneous ISBN
0521897882
Erroneous ISBN
9780521897884
NATIONAL BIBLIOGRAPHY NUMBER
Number
b736300
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Synthetic CDOs :
General Material Designation
[Book]
Other Title Information
modelling, valuation and risk management /
First Statement of Responsibility
Craig Mounfield.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
New York :
Name of Publisher, Distributor, etc.
Cambridge University Press,
Date of Publication, Distribution, etc.
2009.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (xvi, 369 pages) :
Other Physical Details
illustrations.
SERIES
Series Title
Mathematics, finance and risk
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references (pages 357-363) and index.
CONTENTS NOTE
Text of Note
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
SUMMARY OR ABSTRACT
Text of Note
"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.
ACQUISITION INFORMATION NOTE
Source for Acquisition/Subscription Address
MIL
Stock Number
198293
OTHER EDITION IN ANOTHER MEDIUM
Title
Synthetic CDOs.
PARALLEL TITLE PROPER
Parallel Title
Synthetic collateralised debt obligations
TOPICAL NAME USED AS SUBJECT
Collateralized debt obligations.
BUSINESS & ECONOMICS-- Investments & Securities-- Stocks.
Collateralized debt obligations.
(SUBJECT CATEGORY (Provisional
BUS-- 036060
DEWEY DECIMAL CLASSIFICATION
Number
332
.
632
22
22
Edition
22
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG6024
.
A3
Book number
M69
2009eb
PERSONAL NAME - PRIMARY RESPONSIBILITY
Mounfield, Craig,1969-
ORIGINATING SOURCE
Date of Transaction
20201203200138.0
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
