A comprehensive resource providing extensive coverage of the state
of the art in credit secruritisations, derivatives, and risk
management
"Credit Securitisations and Derivatives" is a one-stop resource
presenting the very latest thinking and developments in the field
of credit risk. Written by leading thinkers from academia, the
industry, and the regulatory environment, the book tackles areas
such as business cycles; correlation modelling and interactions
between financial markets, institutions, and instruments in
relation to securitisations and credit derivatives; credit
portfolio risk; credit portfolio risk tranching; credit ratings for
securitisations; counterparty credit risk and clearing of
derivatives contracts and liquidity risk. As well as a thorough
analysis of the existing models used in the industry, the book will
also draw on real life cases to illustrate model performance under
different parameters and the impact that using the wrong risk
measures can have.
General
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