Lien ebook : http://ezproxy.univ-catholille.fr/login?url=https://www.vleb...

eISBN : 0470696761

Sommaire : Contents
1 The Credit Derivatives Market
2 Building the Libor Discount Curve
PART I SINGLE-NAME CREDIT DERIVATIVES
3 Single-name Credit Modelling
4 Bonds and Asset Swaps
5 The Credit Default Swap
6 A Valuation Model for Credit Default Swaps
7 Calibrating the CDS Survival Curve
8 CDS Risk Management
9 Forwards, Swaptions and CMDS
PART II MULTI-NAME CREDIT DERIVATIVES
10 CDS Portfolio Indices
11 Options on CDS Portfolio Indices
12 An Introduction to Correlation Products
13 The Gaussian Latent Variable Model
14 Modelling Default Times using Copulas
15 Pricing Default Baskets
16 Pricing Tranches in the Gaussian Copula Model
17 Risk Management of Synthetic Tranches
18 Building the Full Loss Distribution
19 Implied Correlation
20 Base Correlation
21 Copula Skew Models
22 Advanced Multi-name Credit Derivatives
23 Dynamic Bottom-up Correlation Models
24 Dynamic Top-down Correlation Models

Langue : Anglais

Collection : FINANCE

Lieu d'édition : TORONTO

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque