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Books > Science & Mathematics > Mathematics > Algebra
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Credit Correlation - Theory and Practice (Paperback, Softcover reprint of the original 1st ed. 2017)
Loot Price: R1,576
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Credit Correlation - Theory and Practice (Paperback, Softcover reprint of the original 1st ed. 2017)
Series: Applied Quantitative Finance
Expected to ship within 10 - 15 working days
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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. 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.
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