From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelli…
This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and tec…
For courses in options, futures, and derivatives. To be financially literate in today's market, business students must have a solid understanding of derivatives concepts and instruments and the uses of those instruments in corporations. The Third Edition has an accessible mathem…
This title strives to protect the capital and reputation of the bank while preserving its franchise and optimising long-term profitability. These goals are achieved by recommending suitable credit policies and guidelines; performing due diligence on the banks' customers; incorpo…
Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyze the financial markets…
Handbook of credit derivatives
by Whittaker, J. Gregg, Editor
fromIrwin library of investment and finance
This text describes every aspect of credit derivatives, and its overview aims to provide the reader with a complete understanding of the credit derivative marketplace.
