Structured Credit Portfolio Analysis, Baskets and CDOs

Christian Bluhm, Ludger Overbeck - Collection Financial Mathematics Series

376 pages, parution le 02/11/2006

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Résumé

Illustrates mathematical models for structured credit with many examples of practical relevance
Offers an accessible exposition of the foundations of structured credit portfolio modeling
Explains elements of financial engineering via default baskets and collateralized debt/synthetic obligations§ Focuses on modeling principles that are applicable in a broad context § Considers full Monte Carlo simulation approaches as well as back-of-the-envelope calculations and scenario analyses§ Provides access to a deeper understanding of the latest developments from the structured credit market§ Contains a rich appendix that provides useful background information§ Includes a separate chapter on references with comments on further readings

The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long and short positions in credit risks. Based on a steadily growing market, there is a high demand for concepts and techniques applicable to the evaluation of structured credit products.

Written from the perspective of practitioners who apply mathematical concepts to structured credit products, Structured Credit Portfolio Analysis, Baskets & CDOs 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 it. In addition, many examples and calculations have been included to keep the discussion close to business applications. Practitioners as well as academics will find ideas and tools in the book that they can use for their daily work.

L'auteur - Christian Bluhm

Hypovereinsbank, Munich, Germany

L'auteur - Ludger Overbeck

Deutsche Bank AG, Frankfurt, Germany

Sommaire

From Single Credit Risks to Credit Portfolios
Default Baskets
Collateralized Debt and Synthetic Obligations
Some Practical Remarks
Suggestions for Further Reading
Appendix

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Chapman and Hall / CRC
Auteur(s)	Christian Bluhm, Ludger Overbeck
Collection	Financial Mathematics Series
Parution	02/11/2006
Nb. de pages	376
Format	16,5 x 24,5
Couverture	Broché
Poids	665g
Intérieur	Noir et Blanc
EAN13	9781584886471
ISBN13	978-1-58488-647-1