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Credit Correlation High quality books

Credit Correlation
By:Youssef Elouerkhaoui
Published on 2017-11-15 by Springer

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.

This Book was ranked at 23 by Google Books for keyword Credit.

Book ID of Credit Correlation's Books is GK4-DwAAQBAJ, Book which was written byYoussef Elouerkhaouihave ETAG "d0fxCldtj/c"

Book which was published by Springer since 2017-11-15 have ISBNs, ISBN 13 Code is 9783319609737 and ISBN 10 Code is 3319609734

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Book which have "456 Pages" is Printed at BOOK under CategoryBusiness and Economics

This Book was rated by Raters and have average rate at ""

This eBook Maturity (Adult Book) status is NOT_MATURE

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