The Art of Credit Derivatives

Demystifying the Black Swan

Business & Finance, Finance & Investing, Finance
Cover of the book The Art of Credit Derivatives by Joao Garcia, Serge Goossens, Wiley
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Joao Garcia, Serge Goossens ISBN: 9780470684962
Publisher: Wiley Publication: February 16, 2010
Imprint: Wiley Language: English
Author: Joao Garcia, Serge Goossens
ISBN: 9780470684962
Publisher: Wiley
Publication: February 16, 2010
Imprint: Wiley
Language: English

Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater.

The Art of Credit Derivatives shows practitioners how to put a framework in place which will support the securitization activity. By showing the models that support this activity and linking them with very practical examples, the authors show why a mind-shift within the quant community is needed - a move from simple modeling to a more hands on mindset where the modeler understands the trading implicitly.

The book has been written in five parts, covering the modeling framework; single name corporate credit derivatives; multi name corporate credit derivatives; asset backed securities and dynamic credit portfolio management.

Coverage includes:

  • groundbreaking solutions to the inherent risks associated with investing in securitization instruments
  • how to use the standardized credit indices as the most appropriate instruments in price discovery processes and why these indices are the essential tools for short term credit portfolio management
  • why the dynamics of systemic correlation and the standardised credit indices are linked with leverage, and consequently the implications for liquidity and solvability of financial institutions
  • how Lévy processes and long term memory processes are related to the understanding of economic activity
  • why regulatory capital should be portfolio dependant and how to use stress tests and scenario analysis to model this
  • how to put structured products in a mark-to market-environment, increasing transparency for accounting and compliance.

This book will be invaluable reading for Credit Analysts, Quantitative Analysts, Credit Portfolio Managers, Academics and anyone interested in these complex yet important markets.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater.

The Art of Credit Derivatives shows practitioners how to put a framework in place which will support the securitization activity. By showing the models that support this activity and linking them with very practical examples, the authors show why a mind-shift within the quant community is needed - a move from simple modeling to a more hands on mindset where the modeler understands the trading implicitly.

The book has been written in five parts, covering the modeling framework; single name corporate credit derivatives; multi name corporate credit derivatives; asset backed securities and dynamic credit portfolio management.

Coverage includes:

This book will be invaluable reading for Credit Analysts, Quantitative Analysts, Credit Portfolio Managers, Academics and anyone interested in these complex yet important markets.

More books from Wiley

Cover of the book Intercultural Communication by Joao Garcia, Serge Goossens
Cover of the book Effective Project Management by Joao Garcia, Serge Goossens
Cover of the book Refrigeration Systems and Applications by Joao Garcia, Serge Goossens
Cover of the book Electronics For Dummies by Joao Garcia, Serge Goossens
Cover of the book Small Business For Dummies - Australia & New Zealand by Joao Garcia, Serge Goossens
Cover of the book The Little Book of Alternative Investments by Joao Garcia, Serge Goossens
Cover of the book Foodomics by Joao Garcia, Serge Goossens
Cover of the book Children in China by Joao Garcia, Serge Goossens
Cover of the book Violence and Civilization by Joao Garcia, Serge Goossens
Cover of the book Valuation by Joao Garcia, Serge Goossens
Cover of the book Philosophy on Tap by Joao Garcia, Serge Goossens
Cover of the book Commodities For Dummies by Joao Garcia, Serge Goossens
Cover of the book Gender History Across Epistemologies by Joao Garcia, Serge Goossens
Cover of the book Food Oral Processing by Joao Garcia, Serge Goossens
Cover of the book Reforming Long-term Care in Europe by Joao Garcia, Serge Goossens
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy