Structured Credit Portfolio Analysis, Baskets and CDOs
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€80.99
A01=Christian Bluhm
A01=Ludger Overbeck
advanced probability theory
Archimedean Copula
Author_Christian Bluhm
Author_Ludger Overbeck
Category=KCH
Category=KF
Category=PBT
Category=PBW
CDO Tranche
CDS Index
CDS Spread
Clayton Copula
copula
Copula Functions
credit basket modeling techniques
Credit Curve
credit risk analysis
default
Default Probabilities
Default Times
dependencies
distribution
El
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equity Tranche
financial derivatives modeling
functions
Gaussian Copula
Index Spread
Index Tranches
Interest Stream
iTraxx Europe
JDP
Joint Default
loss
Lower Tail Dependence
Mezzanine Tranche
modeling
portfolio risk assessment
probability
Protection Seller
quantitative finance methods
Reference Portfolio
risk
Risk Neutral Default Probabilities
Senior Tranche
structured finance products
tail
Tail Dependence
Product details
- ISBN 9780367390242
- Weight: 453g
- Dimensions: 156 x 234mm
- Publication Date: 19 Sep 2019
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Paperback
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The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long and short positions in credit risks. Based on a steadily growing market, there is a high demand for concepts and techniques applicable to the evaluation of structured credit products.
Written from the perspective of practitioners who apply mathematical concepts to structured credit products, Structured Credit Portfolio Analysis, Baskets & CDOs starts with a brief wrap-up on basic concepts of credit risk modeling and then quickly moves on to more advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches. The text is written in a self-contained style so readers with a basic understanding of probability will have no difficulties following it. In addition, many examples and calculations have been included to keep the discussion close to business applications. Practitioners as well as academics will find ideas and tools in the book that they can use for their daily work.
Bluhm, Christian; Overbeck, Ludger
