Synthetic CDOs
Modelling, Valuation and Risk Management
1st Edition
Published on 2. February 2009
978-0-511-46084-5 (ISBN)
Description
Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance landscape, readers are introduced tothe basic modelling concepts necessary to model and value simple credit derivatives. The modelling, valuation and risk management of synthetic CDOs are described and a 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. Detailing the latest models and techniques, this is essential reading for quantitative analysts, traders and risk managers working in investment banks, hedge funds and other financial institutions, and for graduates intending to enter the industry. It is also ideal for academics who need to keep informed with current best practice in the credit derivatives industry.
Reviews / Votes
'For someone who wants to pursue a career in credit derivatives, this is a recommendable reference book. Written in a very practical way, the technical contents of the book should not be too difficult to follow for a reader with intermediate quantitative skills.' Annals of Actuarial Science 'Despite the complexity of the financial instrument in question, the mathematics used for modelling and analysing the phenomena is of college level and therefore understandable to a wide community of potential readers. ... highly recommended for financial mathematicians and financial analysts.' EMS NewsletterMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
Professional and scholarly
Illustrations
25 Tables, unspecified; 90 Halftones, unspecified
File size
7,40 MB
ISBN-13
978-0-511-46084-5 (9780511460845)
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Schweitzer Classification
Other editions
Additional editions
Book
12/2008
Cambridge University Press
€101.80
Shipment within 15-20 days
Person
C. C. Mounfield is a Director in the Model Validation team of Barclays Capital working on credit derivative models.
Content
Acknowledgements; Dedication; Preface; 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; References.
