Description: Synthetic CDOs Modelling, Valuation and Risk Management Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations. C. C. Mounfield (Author) 9780521897884, Cambridge University Press Hardback, published 18 December 2008 386 pages 25.4 x 18 x 2.1 cm, 0.92 kg '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 Newsletter 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. 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. Subject Areas: Applied mathematics [PBW], Insurance & actuarial studies [KFFN], Investment & securities [KFFM]
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BIC Subject Area 1: Applied mathematics [PBW]
BIC Subject Area 2: Insurance & actuarial studies [KFFN]
BIC Subject Area 3: Investment & securities [KFFM]
Number of Pages: 386 Pages
Language: English
Publication Name: Synthetic Cdos: Modelling, Valuation and Risk Management
Publisher: Cambridge University Press
Publication Year: 2008
Subject: Finance
Item Height: 254 mm
Item Weight: 920 g
Type: Textbook
Author: C. C. Mounfield
Series: Mathematics, Finance and Risk
Item Width: 180 mm
Format: Hardcover
