Modelling Single-name and Multi-name Credit Derivatives (The Wiley Finance Series) | 
| Author: Dominic O'kane
Publisher: Wiley
Category: Book
List Price: $140.00
Buy New: $80.65
You Save: $59.35 (42%)
New (24) Used (6) from $80.65
Sales Rank: 59845
Media: Hardcover
Number Of Items: 1
Pages: 514
Shipping Weight (lbs): 2.5
Dimensions (in): 9.8 x 6.9 x 1.3
ISBN: 0470519282
Dewey Decimal Number: 332.6457
EAN: 9780470519288
ASIN: 0470519282
Publication Date: August 25, 2008
Availability: Usually ships in 1-2 business days
Condition: BRAND NEW
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Product Description
iModelling Single-name and Multi-name Credit Derivatives/i 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. p 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. p
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