Credit Correlation: Theory And Practice (applied Quantitative Finance)
by Youssef Elouerkhaoui /
2017 / English / PDF
7.5 MB Download
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 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, in the
market leading books by Schonbucher (2003) and O’Kane (2008).
Coverage will include the latest default correlation approaches;
correlation modelling in the ‘Marshall-Olkin’ contagion
framework, in the context of CVA; numerical implementation; and
pricing, calibration and risk challenges.
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 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, in the
market leading books by Schonbucher (2003) and O’Kane (2008).
Coverage will include the latest 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 was bought to a close by the 2007 financial
crisis, where these instruments were held largely to blame for
the economic downturn. However, in the wake of increased
regulation across all financial instruments and the challenge of
buying and selling bonds in large amounts, credit derivatives
have once again been found to be the answer and the market has
grown significantly.
The explosive growth of credit derivatives markets in the
early-to-mid 000’s was bought to a close by the 2007 financial
crisis, where these instruments were held largely to blame for
the economic downturn. However, in the wake of increased
regulation across all financial instruments and the challenge of
buying 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 want to
understand how things happen and work ‘on the floor’. Building
the reader’s knowledge from the ground up, and with numerous real
life examples used throughout, this book will prove a
popular reference for anyone with a mathematical mind interested
credit markets.
Written by a practitioner for practitioners, this book will
also interest researchers in mathematical finance who want to
understand how things happen and work ‘on the floor’. Building
the reader’s knowledge from the ground up, and with numerous real
life examples used throughout, this book will prove a
popular reference for anyone with a mathematical mind interested
credit markets.