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...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας: Elouerkhaoui, Youssef (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Cham : Springer International Publishing : Imprint: Palgrave Macmillan, 2017.
Σειρά:Applied Quantitative Finance
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.