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  1. Home
  2. Books
  3. Synthetic CDOs
  • Cited by 1
Publisher:
Cambridge University Press
Online publication date:
July 2010
Print publication year:
2008
Online ISBN:
9780511755484
DOI:
https://doi.org/10.1017/CBO9780511755484
Subjects:
Economics, Mathematics, Mathematical Finance, Finance and Accountancy
Series:
Mathematics, Finance and Risk (7)
Information

Book description

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.

Reviews

'For someone who wants to pursue a career in credit derivatives, this is a recommendable reference book. Written in a very practical way, the technical contents of the book should not be too difficult to follow for a reader with intermediate quantitative skills.'

Source: Annals of Actuarial Science

'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.'

Source: EMS Newsletter

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Contents

Contents
References
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