Modelling Single Name And Multi Name Credit Derivatives
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Author |
: Dominic O'Kane |
Publisher |
: John Wiley & Sons |
Total Pages |
: 515 |
Release |
: 2011-03-08 |
ISBN-10 |
: 9781119995449 |
ISBN-13 |
: 1119995442 |
Rating |
: 4/5 (49 Downloads) |
Synopsis Modelling Single-name and Multi-name Credit Derivatives by : Dominic O'Kane
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.
Author |
: Antulio N. Bomfim |
Publisher |
: Academic Press |
Total Pages |
: 421 |
Release |
: 2015-11-23 |
ISBN-10 |
: 9780128004906 |
ISBN-13 |
: 0128004908 |
Rating |
: 4/5 (06 Downloads) |
Synopsis Understanding Credit Derivatives and Related Instruments by : Antulio N. Bomfim
Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book. - Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors - Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment - Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more
Author |
: Niklas Wagner |
Publisher |
: CRC Press |
Total Pages |
: 600 |
Release |
: 2008-05-28 |
ISBN-10 |
: 9781584889953 |
ISBN-13 |
: 1584889950 |
Rating |
: 4/5 (53 Downloads) |
Synopsis Credit Risk by : Niklas Wagner
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio
Author |
: Alexander Lipton |
Publisher |
: OUP Oxford |
Total Pages |
: 828 |
Release |
: 2013-01-17 |
ISBN-10 |
: 9780191648250 |
ISBN-13 |
: 0191648256 |
Rating |
: 4/5 (50 Downloads) |
Synopsis The Oxford Handbook of Credit Derivatives by : Alexander Lipton
From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts
Author |
: Greg N. Gregoriou |
Publisher |
: McGraw Hill Professional |
Total Pages |
: 435 |
Release |
: 2008-07-31 |
ISBN-10 |
: 9780071549530 |
ISBN-13 |
: 0071549536 |
Rating |
: 4/5 (30 Downloads) |
Synopsis Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers by : Greg N. Gregoriou
The world’s leading financial thinkers share their insights into the latest developments in credit derivatives In The Credit Derivatives Handbook, some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds. You will come away with the knowledge and insight needed to measure and value risk, as well as the ability to put credit derivatives to work. Over fifteen contributors provide in-depth analyses of subjects in their respective areas of expertise, such as: Key products, applications, and typical trades, hedging and credit structuring Pricing of credit default swaps and synthetic CDOs Design of synthetic CDOs Copula models, with illustrative examples Credit derivatives in investment portfolios Opportunities for structuring credit derivatives in accordance with Islamic finance Comprehensive in scope but executed in meticulous detail, The Credit Derivatives Handbook provides a complete, global perspective of what the editors consider “one of the most important financial innovations of recent times.”
Author |
: Frank Skinner |
Publisher |
: Elsevier |
Total Pages |
: 389 |
Release |
: 2004-10-29 |
ISBN-10 |
: 9780080473956 |
ISBN-13 |
: 0080473954 |
Rating |
: 4/5 (56 Downloads) |
Synopsis Pricing and Hedging Interest and Credit Risk Sensitive Instruments by : Frank Skinner
This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD.* Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models* Can be used for self-study - a complete book on the topic, which includes examples with answers
Author |
: Martinus Franciscus Antonius van der Voort |
Publisher |
: Rozenberg Publishers |
Total Pages |
: 190 |
Release |
: 2004 |
ISBN-10 |
: 9789051707748 |
ISBN-13 |
: 9051707746 |
Rating |
: 4/5 (48 Downloads) |
Synopsis Modelling credit derivates by : Martinus Franciscus Antonius van der Voort
Author |
: Donald R. Chambers |
Publisher |
: CRC Press |
Total Pages |
: 581 |
Release |
: 2021-06-16 |
ISBN-10 |
: 9781000370126 |
ISBN-13 |
: 1000370127 |
Rating |
: 4/5 (26 Downloads) |
Synopsis Introduction to Financial Mathematics by : Donald R. Chambers
This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The focus of this book is twofold: To partner mathematics with corresponding intuition rather than diving so deeply into the mathematics that the material is inaccessible to many readers. To build reader intuition, understanding and confidence through three types of computer applications that help the reader understand the mathematics of the models. Unlike many books on financial derivatives requiring stochastic calculus, this book presents the fundamental theories based on only undergraduate probability knowledge. A key feature of this book is its focus on applying models in three programming languages –R, Mathematica and EXCEL. Each of the three approaches offers unique advantages. The computer applications are carefully introduced and require little prior programming background. The financial derivative models that are included in this book are virtually identical to those covered in the top financial professional certificate programs in finance. The overlap of financial models between these programs and this book is broad and deep.
Author |
: Richard Bruyere |
Publisher |
: John Wiley & Sons |
Total Pages |
: 294 |
Release |
: 2006-06-14 |
ISBN-10 |
: 9780470026236 |
ISBN-13 |
: 0470026235 |
Rating |
: 4/5 (36 Downloads) |
Synopsis Credit Derivatives and Structured Credit by : Richard Bruyere
Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps – the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market A clearly-written, pedagogical book with numerous illustrations Detailed review of real-case transactions A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends
Author |
: Marti Subrahmanyam |
Publisher |
: Now Publishers |
Total Pages |
: 150 |
Release |
: 2014-12-19 |
ISBN-10 |
: 1601989008 |
ISBN-13 |
: 9781601989000 |
Rating |
: 4/5 (08 Downloads) |
Synopsis Credit Default Swaps by : Marti Subrahmanyam
Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.