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Name: Modelling Single-name and Multi-name Credit Derivatives.
Author: O'Kane, Dominic
ISBN: 978-0-470-51928-8

Modelling Single-name and Multi-name Credit Derivatives.

・ISBN 978-0-470-51928-8 hard US$ 157.00

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電子版あり大学・学術機関向け電子ブック（eBook）ISBN 978-1-119-20196-0

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著者・編者	O'Kane, Dominic,
シリーズ	Wiley Finance Series
出版社	(Wiley, US)
出版年月	2008
ページ数	514 pp.
言語	ENG
ニュース番号	＜562-334 562-L108＞

解説

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.