Book contents
- Frontmatter
- Contents
- Preface
- Acknowledgements
- 1 A primer on collateralised debt obligations
- 2 Modelling of obligor default
- 3 Valuation of credit default swaps
- 4 Credit indices
- 5 Valuation of default baskets
- 6 Valuation of synthetic CDOs
- 7 Phenomenology of the standard market model
- 8 Risk quantification 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
- Appendix A Explanation of common notation
- Appendix B Simulated annealing
- References
- Index
Frontmatter
Published online by Cambridge University Press: 06 July 2010
- Frontmatter
- Contents
- Preface
- Acknowledgements
- 1 A primer on collateralised debt obligations
- 2 Modelling of obligor default
- 3 Valuation of credit default swaps
- 4 Credit indices
- 5 Valuation of default baskets
- 6 Valuation of synthetic CDOs
- 7 Phenomenology of the standard market model
- 8 Risk quantification 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
- Appendix A Explanation of common notation
- Appendix B Simulated annealing
- References
- Index
Summary
- Type
- Chapter
- Information
- Synthetic CDOsModelling, Valuation and Risk Management, pp. i - viPublisher: Cambridge University PressPrint publication year: 2008