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Author Mounfield, Craig, 1969-

Title Synthetic CDOs : modelling, valuation and risk management / Craig Mounfield.

Imprint Cambridge ; New York : Cambridge University Press, 2009.

Item Status

Description 1 online resource (xvi, 369 pages) : illustrations.
Series Mathematics, finance and risk
Mathematics, finance, and risk.
Bibliography Includes bibliographical references (pages 357-363) and index.
Summary "Starting with a brief overview of the structured finance landscape, the book introduces the basic modelling concepts necessary to model and value simple vanilla credit derivatives. Building on this, the book then describes in detail the modelling, valuation and risk management of synthetic CDOs. A clear and 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, often not covered in other texts."--Jacket.
Contents 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.
Local Note eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America
Subject Collateralized debt obligations.
Genre/Form Electronic book.
Electronic books.
Added Title Synthetic collateralised debt obligations
Other Form: Print version: Mounfield, Craig, 1969- Synthetic CDOs. Cambridge ; New York : Cambridge University Press, 2009 (DLC) 2008043035
ISBN 0511464770 (electronic bk.)
9780511464775 (electronic bk.)
9780511465512 (electronic bk.)
0511465513 (electronic bk.)
0511463243 (electronic bk.)
9780511463242 (electronic bk.)
0521897882 (Cloth)
9780521897884 (hbk.)
Standard No. 9786611982935
Report No. MYILIB_CUp