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Synthetic CDOs
Modelling, Valuation and Risk Management

£72.99

Part of Mathematics, Finance and Risk

  • Date Published: December 2008
  • availability: In stock
  • format: Hardback
  • isbn: 9780521897884

£ 72.99
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About the Authors
  • 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.

    • Strong emphasis on practical real-world issues
    • Captures latest thinking: covers the latest models and techniques
    • Self-contained: focuses on quantitative techniques, but covers all you need to understand the field
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    Reviews & endorsements

    '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

    'Despite the complexity of the financial instrument in question, the mathematics used for modelling and analysing the phenomena is of college level and therefore understandable to a wide community of potential readers. … highly recommended for financial mathematicians and financial analysts.' EMS Newsletter

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    Product details

    • Date Published: December 2008
    • format: Hardback
    • isbn: 9780521897884
    • length: 386 pages
    • dimensions: 254 x 180 x 21 mm
    • weight: 0.91kg
    • contains: 90 b/w illus. 25 tables
    • availability: In stock
  • Table of Contents

    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.

  • Author

    C. C. Mounfield, Barclays Capital, London
    C. C. Mounfield is a Director in the Model Validation team of Barclays Capital working on credit derivative models.

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