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Modelling single-name and multi-name credit derivatives pdf

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Issuu is a digital publishing platform that makes it simple to publish magazines, catalogs, newspapers, books, and more online. Easily share. Modelling Single-Name and Multi-Name Credit Derivatives - Ebook download as PDF File .pdf) or read book online. Modelling Single-name and Multi-name Credit. Derivatives. Dominic O'Kane. Click here if your download doesn"t start automatically.


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Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade. Modelling Single-name and Multi-name Credit Derivatives presents an up-to- date, comprehensive, accessible and practical guide to the pricing. Request PDF on ResearchGate | Modelling Single-name and Multi-name Credit It is both a detailed introduction to credit derivative modelling and a reference.

Forgot your username? You just clipped your first slide! Views Total views. PDF Request permissions. Products are explained in detail as are the requirements of any pricing model. About this book 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. Embeds 0 No embeds.

Divided into two parts, part one of this book covers single-name credit derivatives.

Reflecting its importance as the building block for most other credit derivatives, the mechanics of the credit default swap CDS are covered in considerable detail. A chapter is then devoted to the risk-management of CDS.

Part two of the book covers multi-name products and begins with the CDS index. The mechanics and pricing of the CDS index are set out in detail.

A chapter on the pricing of options on the CDS index follows. Much of part two of the book is then devoted to the pricing and risk-management of single tranche CDOs.

Modelling Single-name and Multi-name Credit Derivatives

After discussing the Gaussian copula model and the numerical challenge of building the portfolio loss distribution, several chapters are devoted to the subject of modelling the correlation skew. This includes a detailed discussion of base correlation, copula-based skew models and dynamic correlation modelling. Practical and accessible, Modelling Single-name and Multi-name Credit Derivatives does not assume any previous knowledge of credit derivatives.

Products are explained in detail as are the requirements of any pricing model. While the book is undoubtedly mathematical, the emphasis is on building intuition, especially regarding the risk sensitivities of the product.

Modelling Single-Name and Multi-Name Credit Derivatives

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Modelling Single-Name and Multi-Name Credit Derivatives

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Book details Author: Dominic O Kane Pages: English ISBN Description this book 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.