Credit Correlation Theory and Practice /
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 techniques for credit po...
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Cham :
Springer International Publishing : Imprint: Palgrave Macmillan,
2017.
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Σειρά: | Applied Quantitative Finance
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Chapter 1 Credit Modelling Fundamentals - Filtrations, Point Processes and Intensities
- Chapter2 Expectations in the Enlarged Filtration - The Generalized Dellacherie Formula
- Chapter3 The Basics of Default Correlation Modelling
- Chapter4 Default Correlation Calibration - Link between Copulas and Conditional Jump Diffusions
- Chapter5 Correlation Demystified: A General Overview
- Chapter6 An Introduction to the Marshall-Olkin Copula
- Chapter7 Numerical Tools: Basket Asymptotic Expansions
- Chapter8 CDO-Squared: Correlation of Correlation
- Chapter9 Second Generation Models: From Flat Correlation to Correlation Skew
- Chapter10 Third Generation Models: From Static to Dynamic Models
- Chapter11 Pricing in a Dynamic Credit Model
- Chapter12 Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics
- Chapter13 Base Correlation Calibration with a Stochastic Recovery Model
- Chapter14 Hedging in Incomplete Credit Markets: JTD vs CR01
- Chapter15 New Frontiers in Credit Modelling: the CVA Challenge.