Structured Credit Portfolio Analysis, Baskets

Informationen zum Autor Bluhm! Christian; Overbeck! Ludger Klappentext Written from the perspective of practitioners who apply mathematical concepts to structured credit products! this critically acclaimed work 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. The text is written in a self-contained style so readers with a basic understanding of probability will have no difficulties following. In addition! many examples and calculations have been included to keep the discussion close to business applications. Echoing other reviews! Contingency Analysis says! "the book is a goldmine. There is no other resource like it." Zusammenfassung Presents basic concepts of credit risk modeling. This book also presents advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches. Inhaltsverzeichnis 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.

Product details

• Authors: Christian Bluhm, Christian (Munich Bluhm, Bluhm Christian, Ludger Overbeck, Ludger (University of Giessen Overbeck, Overbeck Ludger
• Publisher: Chapman and Hall Ltd
• Languages: English
• Product format: Hardback
• Released: 29.09.2006
• EAN: 9781584886471
• ISBN: 978-1-58488-647-1
• Dimensions: 160 mm x 245 mm x 23 mm
• Series: Chapman and Hall/CRC Financial Mathematics Series; Chapman & Hall/CRC Financial Mathematics Series; Chapman and Hall/CRC Financial Mathematics Series
• Subjects: Natural sciences, medicine, IT, technology > Mathematics; MATHEMATICS / General, Mathematics