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Structured Credit Portfolio Analysis, Baskets And Cdos

Structured Credit Portfolio Analysis, Baskets And Cdos

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  • ISBN:9781584886471
  • Editorial: Chapman & Hall Co.
  • Fecha de la edición:
  • Colección: Financial Mathematics
  • Encuadernación:Tapa dura
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:376
  • Idiomas:

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The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit risky instruments, like loans, bonds, and asset-backed securities. The market for such products is steadily growing, and financial institutions continuously use these products for tailor-made risk selling and buying. In this book, the authors discuss mathematical approaches for modeling structured credit products credit-linked to an underlying portfolio of credit-risky instruments. Focusing on ideas found useful in daily work, the presentation is mathematically precise, but does not insist on the deepest level of mathematical sophistication.

From Single Loans to Loan Portfolios. Default Baskets. Collateralised Debt and Synthetic Obligations. Advanced Aspects of CDO Modeling. Suggestions for Further Reading.

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