Structured Credit Portfolio Analysis, Baskets and CDOs

ISBN-13: 9780367390242 / Angielski / Miękka / 2019 / 376 str.

Christian Bluhm; Ludger Overbeck

Opis

Written from the perspective of practitioners who apply mathematical concepts to structured credit products, Structured Credit Portfolio Analysis starts with a brief wrap-up on basic concepts of credit risk modeling and then quickly moves on to more advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches. This unique critically acclaimed volume is written in a self-contained style so readers with a basic understanding of probability will have no difficulty following it. In addition, many examples and calculations have been included to keep the discussion close to business applications.

Spis treści

A Brief Guide to The Book. From Single Credit Risks to Credit Portfolios. Default Baskets. Collateralized Debt and Synthetic Obligations. Some Practical Remarks. Suggestions for Further Reading. Appendix.

O autorze

Bluhm, Christian; Overbeck, Ludger