The book is extremely well written and is the best resource I have. Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource.
Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation.
Producers and consumers, investors and issuers, hedgers and speculators, governments and financial institutions: almost everyone can use them. The importance of fixed income portfolios and the need to manage them prudently and optimally has grown rapidly in the recent years. Liberalization of the interest rate regime and consequent volatility of interest rates have added to both the risks and rewards of fixed income portfolios.
Handbook of Debt Securities. While derivatives continue to play an increasingly vital role in driving today's global financial markets, they also continue to be one of the most complicated and often misunderstood financial instruments in the marketplace. In Derivatives Handbook: Risk Management and Control, two of the field's leading experts bring together the best,.
Features expertise from an international team of 35 contributors, including Moorad Choudhry, Panikos Teklos, and Tamar Frankel Provides much-needed, timely information for institutional investors and professional portfolio, asset, and hedge fund managers as the fallout from the credit bubble continues to plague the institutional finance sector Includes important discussion of new.
The Financial Times Handbook of Financial Engineering clearly explains the tools of financial engineering, showing you the formulas behind the tools, illustrating how they are applied, priced and hedged. All applications in this book are illustrated with fully-worked practical examples, and recommended tactics and techniques are tested using recent data.
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Learn more about possible network issues or contact support for more help. National Library Board Singapore. Search Search Search Browse menu. Sign in. Credit Derivatives Handbook. Gregoriou Paul U. Description Creators Details The world's leading financial thinkers share their insights into the latest developments in credit derivatives In The Credit Derivatives Handbook , some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds.
Greg N. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. This book provides discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets.
Keywords: credit , derivatives , mathematical modelling analysis , credit risk , statistical analysis , statistical techniques , Gaussian modelling , non-Gaussian modelling , securitisation , multiple entity modelling. He received his undergraduate and graduate degrees from Moscow State University.
Professor Lipton is author of two books and editor of three. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences worldwide. Andrew Rennie, editor Andrew Rennie has spent sixteen years in finance, specialising in derivatives pricing and risk management. He has worked at UBS, Rabobank International, and Merrill Lynch, where he managed all quantitative and modelling activity in derivatives across fixed income, credit, foreign exchange, commodities, and equities globally.
He retired from Merrill Lynch in to advise on pricing and risk issues to governments, regulators, banks, and hedge funds. He graduated with a First in Mathematics from Cambridge University and published papers in Mathematical Chemistry on the properties of one-dimensional inclusion compounds.
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