Credit Derivatives: Pricing and Modelling of Credit Portfolio and Credit Hybrid Derivatives - Image 1

£57.99

About as cheap as it gets — within 5% of the all-time low it hit 3 months ago.

£58 today · all-time low £56 (Jul 2026) · usually the usual

VDM Verlag Credit Derivatives: Pricing and Modelling of Credit Portfolio and Credit Hybrid Derivatives

Name: Credit Derivatives: Pricing and Modelling of Credit Portfolio and Credit Hybrid Derivatives
Brand: VDM Verlag
Price: 57.99 GBP
Availability: InStock

Science, Nature & Maths

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Most common price: £58 (28 days, 57.1%)

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Description

The global credit derivatives markets showed an outstanding growth to more than USD 20 trillion notional by the end of 2006 and meanwhile sharply crashed in the 2007-2008 subprime crisis. It is not least the complexity of credit derivatives that has led to an underestimation of the embedded risks therein and finally to the current crisis. This book adresses the challenge of pricing credit derivatives in presence of different sorts of default dependencies: Dependence across the underlying obligors of a credit portfolio and dependence between these credits and other related financial factors. In part I a framework for portfolio credit risk which incorporates the dependence between interest-rates and the portfolio loss process is presented. It allows in particular to consistently model the market of single-tranche CDOs and the term structure of interest-rates. Part II provides a detailed analysis of the connections between the credit spreads the same single-name credit commands in different currencies including an empirical study using JPY and USD CDS rates on large Japanese corporates. This book is recommended for practitioners and academics with an advanced quantitative background.

Product Specifications

Brand: VDM Verlag
Format: paperback
ASIN: 3639026012
Category: Books > Subjects > Science, Nature & Maths
Domain: Amazon UK
Publication Date: 21 July 2008
Listed Since: 25 July 2008

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About as cheap as it gets — within 5% of the all-time low it hit 3 months ago.

VDM Verlag Credit Derivatives: Pricing and Modelling of Credit Portfolio and Credit Hybrid Derivatives

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About as cheap as it gets — within 5% of the all-time low it hit 3 months ago.

VDM Verlag Credit Derivatives: Pricing and Modelling of Credit Portfolio and Credit Hybrid Derivatives

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

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