Book description
Modelling Single-name and Multi-name Credit Derivatives
presents an up-to-date, comprehensive, accessible and practical guide
to the pricing and risk-management of credit derivatives. It is both a
detailed introduction to credit derivative modelling and a reference for
those who are already practitioners.
This book is up-to-date as it
covers many of the important developments which have occurred in the
credit derivatives market in the past 4-5 years. These include the
arrival of the CDS portfolio indices and all of the products based on
these indices. In terms of models, this book covers the challenge of
modelling single-tranche CDOs in the presence of the correlation skew,
as well as the pricing and risk of more recent products such as
constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI
and credit CPDOs.
Dominic O'Kane is an affiliated Professor of Finance at
the French business school EDHEC which is based in Nice, France. Until
May 2006, Dominic O'Kane was a managing director and ran the European
Fixed Income Quantitative Research group at Lehman Brothers, the US
investment bank. Dominic spent seven of his nine years at Lehman
Brothers working as a quant for the credit derivatives trading desk.
