| Document Type
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BL
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| Record Number
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981930
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| Doc. No
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b736300
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| Main Entry
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Mounfield, Craig,1969-
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| Title & Author
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Synthetic CDOs : : modelling, valuation and risk management /\ Craig Mounfield.
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| Publication Statement
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Cambridge ;New York :: Cambridge University Press,, 2009.
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| Series Statement
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Mathematics, finance and risk
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| Page. NO
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1 online resource (xvi, 369 pages) :: illustrations.
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| ISBN
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0511463243
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: 0511464770
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: 0511465513
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: 9780511463242
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: 9780511464775
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: 9780511465512
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0521897882
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9780521897884
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| Bibliographies/Indexes
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Includes bibliographical references (pages 357-363) and index.
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| Contents
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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.
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| Abstract
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"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.
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| Subject
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Collateralized debt obligations.
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| Subject
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BUSINESS ECONOMICS-- Investments Securities-- Stocks.
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| Subject
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Collateralized debt obligations.
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| Dewey Classification
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332.632 22 22
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| LC Classification
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HG6024.A3M69 2009eb
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| Parallel Title
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Synthetic collateralised debt obligations
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