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Credit Correlation: Theory and Practice (Applied Quantitative Finance)

Amazon.com Price: $53.23 (as of 12/05/2019 17:44 PST- Details)

Categories: Applied, Banking, Banks and Banking, Books, Business and Finance, Business and Money, Economics, Financial Services, Industries, Mathematics, New, Used and Rental Textbooks, Science and Math, Science and Mathematics, Specialty Boutique, Subjects

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Description

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 recent tools and techniques for credit portfolio modelling in the presence of CVA (Credit Value Adjustments). Written at an advanced level, it assumes that readers are familiar with the fundamentals of credit modelling covered, for example, out there leading books by Schonbucher (2003) and O’Kane (2008). Coverage will include the recent default correlation approaches; correlation modelling in the ‘Marshall-Olkin’ contagion framework, in the context of CVA; numerical implementation; and pricing, calibration and risk challenges.

The explosive growth of credit derivatives markets in the early-to-mid 000’s used to be bought to a close by the 2007 financial crisis, where these instruments were held in large part to blame for the economic downturn. Alternatively, in the wake of increased regulation across all financial instruments and the challenge of shopping for and selling bonds in large amounts, credit derivatives have once again been found to be the answer and the market has grown significantly.

Written by a practitioner for practitioners, this book will also interest researchers in mathematical finance who wish to be aware how things happen and work ‘on the floor’. Building the reader’s knowledge from the ground up, and with a lot of real life examples used during, this book will prove a popular reference for anyone with a mathematical mind interested credit markets.

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Credit Correlation: Theory and Practice (Applied Quantitative Finance)

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