Synthetic CDOs: Modelling, Valuation and Risk Management (Mathematics, Finance and Risk)
Cambridge University Press, 12/18/2008
EAN 9780521897884, ISBN10: 0521897882
Hardcover, 386 pages, 25.4 x 18 x 2.1 cm
Language: English
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.
Acknowledgements
Dedication
Preface
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
References.
'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.' Annals of Actuarial Science