{"product_id":"modelling-single-name-and-multi-name-credit-derivatives-isbn-9780470519288","title":"Modelling Single-name and Multi-name Credit Derivatives","description":"\u003ci\u003eModelling Single-name and Multi-name Credit Derivatives\u003c\/i\u003e 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.  \u003cp\u003eThis 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.\u003c\/p\u003e \u003cp\u003eAcknowledgements xiii\u003c\/p\u003e \u003cp\u003eAbout the Author xv\u003c\/p\u003e \u003cp\u003eIntroduction vii\u003c\/p\u003e \u003cp\u003eNotation xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 The Credit Derivatives Market 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction 1\u003c\/p\u003e \u003cp\u003e1.2 Market Growth 2\u003c\/p\u003e \u003cp\u003e1.3 Products 4\u003c\/p\u003e \u003cp\u003e1.4 Market Participants 6\u003c\/p\u003e \u003cp\u003e1.5 Summary 7\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Building the Libor Discount Curve 9\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 9\u003c\/p\u003e \u003cp\u003e2.2 The Libor Index 9\u003c\/p\u003e \u003cp\u003e2.3 Money Market Deposits 10\u003c\/p\u003e \u003cp\u003e2.4 Forward Rate Agreements 12\u003c\/p\u003e \u003cp\u003e2.5 Interest Rate Futures 13\u003c\/p\u003e \u003cp\u003e2.6 Interest Rate Swaps 16\u003c\/p\u003e \u003cp\u003e2.7 Bootstrapping the Libor Curve 21\u003c\/p\u003e \u003cp\u003e2.8 Summary 26\u003c\/p\u003e \u003cp\u003e2.9 Technical Appendix 26\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Single-name Credit Derivatives 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Single-name Credit Modelling 31\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 31\u003c\/p\u003e \u003cp\u003e3.2 Observing Default 32\u003c\/p\u003e \u003cp\u003e3.3 Risk-neutral Pricing Framework 35\u003c\/p\u003e \u003cp\u003e3.4 Structural Models of Default 38\u003c\/p\u003e \u003cp\u003e3.5 Reduced Form Models 42\u003c\/p\u003e \u003cp\u003e3.6 The Hazard Rate Model 44\u003c\/p\u003e \u003cp\u003e3.7 Modelling Default as a Cox Process 46\u003c\/p\u003e \u003cp\u003e3.8 A Gaussian Short Rate and Hazard Rate Model 49\u003c\/p\u003e \u003cp\u003e3.9 Independence and Deterministic Hazard Rates 51\u003c\/p\u003e \u003cp\u003e3.10 The Credit Triangle 54\u003c\/p\u003e \u003cp\u003e3.11 The Credit Risk Premium 55\u003c\/p\u003e \u003cp\u003e3.12 Summary 57\u003c\/p\u003e \u003cp\u003e3.13 Technical Appendix 57\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Bonds and Asset Swaps 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 59\u003c\/p\u003e \u003cp\u003e4.2 Fixed Rate Bonds 60\u003c\/p\u003e \u003cp\u003e4.3 Floating Rate Notes 68\u003c\/p\u003e \u003cp\u003e4.4 The Asset Swap 72\u003c\/p\u003e \u003cp\u003e4.5 The Market Asset Swap 78\u003c\/p\u003e \u003cp\u003e4.6 Summary 80\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 The Credit Default Swap 81\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 81\u003c\/p\u003e \u003cp\u003e5.2 The Mechanics of the CDS Contract 82\u003c\/p\u003e \u003cp\u003e5.3 Mechanics of the Premium Leg 84\u003c\/p\u003e \u003cp\u003e5.4 Mechanics of the Protection Leg 85\u003c\/p\u003e \u003cp\u003e5.5 Bonds and the CDS Spread 90\u003c\/p\u003e \u003cp\u003e5.6 The CDS–Cash basis 92\u003c\/p\u003e \u003cp\u003e5.7 Loan CDS 94\u003c\/p\u003e \u003cp\u003e5.8 Summary 95\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 A Valuation Model for Credit Default Swaps 97\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 97\u003c\/p\u003e \u003cp\u003e6.2 Unwinding a CDS Contract 97\u003c\/p\u003e \u003cp\u003e6.3 Requirements of a CDS Pricing Model 99\u003c\/p\u003e \u003cp\u003e6.4 Modelling a CDS Contract 100\u003c\/p\u003e \u003cp\u003e6.5 Valuing the Premium Leg 101\u003c\/p\u003e \u003cp\u003e6.6 Valuing the Protection Leg 105\u003c\/p\u003e \u003cp\u003e6.7 Upfront Credit Default Swaps 108\u003c\/p\u003e \u003cp\u003e6.8 Digital Default Swaps 110\u003c\/p\u003e \u003cp\u003e6.9 Valuing Loan CDS 111\u003c\/p\u003e \u003cp\u003e6.10 Summary 112\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Calibrating the CDS Survival Curve 113\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 113\u003c\/p\u003e \u003cp\u003e7.2 Desirable Curve Properties 113\u003c\/p\u003e \u003cp\u003e7.3 The Bootstrap 114\u003c\/p\u003e \u003cp\u003e7.4 Interpolation Quantities 115\u003c\/p\u003e \u003cp\u003e7.5 Bootstrapping Algorithm 117\u003c\/p\u003e \u003cp\u003e7.6 Behaviour of the Interpolation Scheme 118\u003c\/p\u003e \u003cp\u003e7.7 Detecting Arbitrage in the Curve 121\u003c\/p\u003e \u003cp\u003e7.8 Example CDS Valuation 123\u003c\/p\u003e \u003cp\u003e7.9 Summary 125\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 CDS Risk Management 127\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction 127\u003c\/p\u003e \u003cp\u003e8.2 Market Risks of a CDS Position 127\u003c\/p\u003e \u003cp\u003e8.3 Analytical CDS Sensitivities 128\u003c\/p\u003e \u003cp\u003e8.4 Full Hedging of a CDS Contract 138\u003c\/p\u003e \u003cp\u003e8.5 Hedging the CDS Spread Curve Risk 139\u003c\/p\u003e \u003cp\u003e8.6 Hedging the Libor Curve Risk 145\u003c\/p\u003e \u003cp\u003e8.7 Portfolio Level Hedging 147\u003c\/p\u003e \u003cp\u003e8.8 Counterparty Risk 148\u003c\/p\u003e \u003cp\u003e8.9 Summary 149\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Forwards, Swaptions and CMDS 151\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction 151\u003c\/p\u003e \u003cp\u003e9.2 Forward Starting CDS 151\u003c\/p\u003e \u003cp\u003e9.3 The Default Swaption 156\u003c\/p\u003e \u003cp\u003e9.4 Constant Maturity Default Swaps 169\u003c\/p\u003e \u003cp\u003e9.5 Summary 180\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Multi-name Credit Derivatives 181\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 CDS Portfolio Indices 183\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction 183\u003c\/p\u003e \u003cp\u003e10.2 Mechanics of the Standard Indices 184\u003c\/p\u003e \u003cp\u003e10.3 CDS Portfolio Index Valuation 188\u003c\/p\u003e \u003cp\u003e10.4 The Index Curve 190\u003c\/p\u003e \u003cp\u003e10.5 Calculating the Intrinsic Spread of an Index 192\u003c\/p\u003e \u003cp\u003e10.6 The Portfolio Swap Adjustment 195\u003c\/p\u003e \u003cp\u003e10.7 Asset-backed and Loan CDS Indices 200\u003c\/p\u003e \u003cp\u003e10.8 Summary 201\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Options on CDS Portfolio Indices 203\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction 203\u003c\/p\u003e \u003cp\u003e11.2 Mechanics 203\u003c\/p\u003e \u003cp\u003e11.3 Valuation of an Index Option 207\u003c\/p\u003e \u003cp\u003e11.4 An Arbitrage-free Pricing Model 209\u003c\/p\u003e \u003cp\u003e11.5 Examples of Pricing 213\u003c\/p\u003e \u003cp\u003e11.6 Risk Management 215\u003c\/p\u003e \u003cp\u003e11.7 Black’s Model Revisited 215\u003c\/p\u003e \u003cp\u003e11.8 Summary 217\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 An Introduction to Correlation Products 219\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction 219\u003c\/p\u003e \u003cp\u003e12.2 Default Baskets 219\u003c\/p\u003e \u003cp\u003e12.3 Leveraging the Spread Premia 227\u003c\/p\u003e \u003cp\u003e12.4 Collateralised Debt Obligations 230\u003c\/p\u003e \u003cp\u003e12.5 The Single-tranche Synthetic CDO 232\u003c\/p\u003e \u003cp\u003e12.6 CDOs and Correlation 236\u003c\/p\u003e \u003cp\u003e12.7 The Tranche Survival Curve 237\u003c\/p\u003e \u003cp\u003e12.8 The Standard Index Tranches 240\u003c\/p\u003e \u003cp\u003e12.9 Summary 240\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 The Gaussian Latent Variable Model 241\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction 241\u003c\/p\u003e \u003cp\u003e13.2 The Model 241\u003c\/p\u003e \u003cp\u003e13.3 The Multi-name Latent Variable Model 243\u003c\/p\u003e \u003cp\u003e13.4 Conditional Independence 246\u003c\/p\u003e \u003cp\u003e13.5 Simulating Multi-name Default 248\u003c\/p\u003e \u003cp\u003e13.6 Default Induced Spread Dynamics 253\u003c\/p\u003e \u003cp\u003e13.7 Calibrating the Correlation 257\u003c\/p\u003e \u003cp\u003e13.8 Summary 258\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Modelling Default Times using Copulas 261\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction 261\u003c\/p\u003e \u003cp\u003e14.2 Definition and Properties of a Copula 261\u003c\/p\u003e \u003cp\u003e14.3 Measuring Dependence 264\u003c\/p\u003e \u003cp\u003e14.4 Rank Correlation 265\u003c\/p\u003e \u003cp\u003e14.5 Tail Dependence 269\u003c\/p\u003e \u003cp\u003e14.6 Some Important Copulae 270\u003c\/p\u003e \u003cp\u003e14.7 Pricing Credit Derivatives from Default Times 278\u003c\/p\u003e \u003cp\u003e14.8 Standard Error of the Breakeven Spread 280\u003c\/p\u003e \u003cp\u003e14.9 Summary 281\u003c\/p\u003e \u003cp\u003e14.10 Technical Appendix 282\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Pricing Default Baskets 283\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction 283\u003c\/p\u003e \u003cp\u003e15.2 Modelling First-to-default Baskets 283\u003c\/p\u003e \u003cp\u003e15.3 Second-to-default and Higher Default Baskets 291\u003c\/p\u003e \u003cp\u003e15.4 Pricing Baskets using Monte Carlo 294\u003c\/p\u003e \u003cp\u003e15.5 Pricing Baskets using a Multi-Factor Model 296\u003c\/p\u003e \u003cp\u003e15.6 Pricing Baskets in the Student-t Copula 298\u003c\/p\u003e \u003cp\u003e15.7 Risk Management of Default Baskets 299\u003c\/p\u003e \u003cp\u003e15.8 Summary 301\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Pricing Tranches in the Gaussian Copula Model 303\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Introduction 303\u003c\/p\u003e \u003cp\u003e16.2 The LHP Model 303\u003c\/p\u003e \u003cp\u003e16.3 Drivers of the Tranche Spread 308\u003c\/p\u003e \u003cp\u003e16.4 Accuracy of the LHP Approximation 312\u003c\/p\u003e \u003cp\u003e16.5 The LHP Model with Tail Dependence 313\u003c\/p\u003e \u003cp\u003e16.6 Summary 314\u003c\/p\u003e \u003cp\u003e16.7 Technical Appendix 314\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Risk Management of Synthetic Tranches 317\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 Introduction 317\u003c\/p\u003e \u003cp\u003e17.2 Systemic Risks 318\u003c\/p\u003e \u003cp\u003e17.3 The LH+ Model 324\u003c\/p\u003e \u003cp\u003e17.4 Idiosyncratic Risks 328\u003c\/p\u003e \u003cp\u003e17.5 Hedging Tranches 334\u003c\/p\u003e \u003cp\u003e17.6 Summary 339\u003c\/p\u003e \u003cp\u003e17.7 Technical Appendix 339\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Building the Full Loss Distribution 343\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Introduction 343\u003c\/p\u003e \u003cp\u003e18.2 Calculating the Tranche Survival Curve 343\u003c\/p\u003e \u003cp\u003e18.3 Building the Conditional Loss Distribution 345\u003c\/p\u003e \u003cp\u003e18.4 Integrating over the Market Factor 353\u003c\/p\u003e \u003cp\u003e18.5 Approximating the Conditional Portfolio Loss Distribution 354\u003c\/p\u003e \u003cp\u003e18.6 A Comparison of Methods 360\u003c\/p\u003e \u003cp\u003e18.7 Perturbing the Loss Distribution 362\u003c\/p\u003e \u003cp\u003e18.8 Summary 364\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19 Implied Correlation 365\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e19.1 Introduction 365\u003c\/p\u003e \u003cp\u003e19.2 Implied Correlation 365\u003c\/p\u003e \u003cp\u003e19.3 Compound Correlation 367\u003c\/p\u003e \u003cp\u003e19.4 Disadvantages of Compound Correlation 370\u003c\/p\u003e \u003cp\u003e19.5 No-arbitrage Conditions 371\u003c\/p\u003e \u003cp\u003e19.6 Summary 374\u003c\/p\u003e \u003cp\u003e\u003cb\u003e20 Base Correlation 375\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e20.1 Introduction 375\u003c\/p\u003e \u003cp\u003e20.2 Base Correlation 375\u003c\/p\u003e \u003cp\u003e20.3 Building the Base Correlation Curve 377\u003c\/p\u003e \u003cp\u003e20.4 Base Correlation Interpolation 382\u003c\/p\u003e \u003cp\u003e20.5 Interpolating Base Correlation using the ETL 389\u003c\/p\u003e \u003cp\u003e20.6 A Base Correlation Surface 393\u003c\/p\u003e \u003cp\u003e20.7 Risk Management of Index Tranches 394\u003c\/p\u003e \u003cp\u003e20.8 Hedging the Base Correlation Skew 395\u003c\/p\u003e \u003cp\u003e20.9 Base Correlation for Bespoke Tranches 398\u003c\/p\u003e \u003cp\u003e20.10 Risk Management of Bespoke Tranches 405\u003c\/p\u003e \u003cp\u003e20.11 Summary 406\u003c\/p\u003e \u003cp\u003e\u003cb\u003e21 Copula Skew Models 409\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e21.1 Introduction 409\u003c\/p\u003e \u003cp\u003e21.2 The Challenge of Fitting the Skew 409\u003c\/p\u003e \u003cp\u003e21.3 Calibration 411\u003c\/p\u003e \u003cp\u003e21.4 Random Recovery 412\u003c\/p\u003e \u003cp\u003e21.5 The Student-t Copula 413\u003c\/p\u003e \u003cp\u003e21.6 The Double-t Copula 415\u003c\/p\u003e \u003cp\u003e21.7 The Composite Basket Model 418\u003c\/p\u003e \u003cp\u003e21.8 The Marshall–Olkin Copula 420\u003c\/p\u003e \u003cp\u003e21.9 The Mixing Copula 421\u003c\/p\u003e \u003cp\u003e21.10 The Random Factor Loading Model 423\u003c\/p\u003e \u003cp\u003e21.11 The Implied Copula 427\u003c\/p\u003e \u003cp\u003e21.12 Copula Comparison 429\u003c\/p\u003e \u003cp\u003e21.13 Pricing Bespokes 431\u003c\/p\u003e \u003cp\u003e21.14 Summary 431\u003c\/p\u003e \u003cp\u003e\u003cb\u003e22 Advanced Multi-name Credit Derivatives 433\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e22.1 Introduction 433\u003c\/p\u003e \u003cp\u003e22.2 Credit CPPI 433\u003c\/p\u003e \u003cp\u003e22.3 Constant Proportion Debt Obligations 436\u003c\/p\u003e \u003cp\u003e22.4 The CDO-squared 441\u003c\/p\u003e \u003cp\u003e22.5 Tranchelets 448\u003c\/p\u003e \u003cp\u003e22.6 Forward Starting Tranches 449\u003c\/p\u003e \u003cp\u003e22.7 Options on Tranches 449\u003c\/p\u003e \u003cp\u003e22.8 Leveraged Super Senior 450\u003c\/p\u003e \u003cp\u003e22.9 Summary 451\u003c\/p\u003e \u003cp\u003e\u003cb\u003e23 Dynamic Bottom-up Correlation Models 453\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e23.1 Introduction 453\u003c\/p\u003e \u003cp\u003e23.2 A Survey of Dynamic Models 455\u003c\/p\u003e \u003cp\u003e23.3 The Intensity Gamma Model 458\u003c\/p\u003e \u003cp\u003e23.4 The Affine Jump Diffusion Model 466\u003c\/p\u003e \u003cp\u003e23.5 Summary 470\u003c\/p\u003e \u003cp\u003e23.6 Technical Appendix 470\u003c\/p\u003e \u003cp\u003e\u003cb\u003e24 Dynamic Top-down Correlation Models 471\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e24.1 Introduction 471\u003c\/p\u003e \u003cp\u003e24.2 The Markov Chain Approach 472\u003c\/p\u003e \u003cp\u003e24.3 Markov Chain: Initial Generator 474\u003c\/p\u003e \u003cp\u003e24.4 Markov Chain: Stochastic Generator 479\u003c\/p\u003e \u003cp\u003e24.5 Summary 483\u003c\/p\u003e \u003cp\u003eAppendix A Useful Formulae 485\u003c\/p\u003e \u003cp\u003eBibliography 487\u003c\/p\u003e \u003cp\u003eIndex 491\u003c\/p\u003e 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.  “\u003ci\u003eThis book provides a unique, in-depth and comprehensive analysis of the modelling issues faced by credit modellers in the credit derivatives market.\u003c\/i\u003e”  \u003cp\u003e\u003cb\u003e—Frank J. Fabozzi, PhD, CFA, Professor in the Practice of Finance, Yale School of Management\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003ci\u003eDominic O'Kane's many years of practical experience in credit derivative markets are evident everywhere in this well-rounded, lucid, and informative book. The author does an admirable job of covering both basic and advanced topics, throughout emphasizing substance over technicalities. The product coverage of the text is extensive, with virtually all practically relevant credit derivatives carefully described and analyzed. Both beginners and seasoned pros can learn from O’Kane’s insights and his book deserves a wide readership. Highly recommended.”\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e—Leif Andersen, Head of Quantitative Research, Banc of America Securities\u003c\/b\u003e\u003c\/p\u003e  \u003ci\u003eModelling Single-name and Multi-name Credit Derivatives\u003c\/i\u003e 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.  \u003cp\u003eThis 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.\u003c\/p\u003e \u003cp\u003eDivided into two parts, part one of this book covers single-name credit derivatives. Reflecting its importance as the building block for most other credit derivatives, the mechanics of the credit default swap (CDS) are covered in considerable detail. A chapter is then devoted to the risk-management of CDS. The pricing and risk-management of forward starting CDS, the option on a CDS and constant maturity CDS are then covered.\u003c\/p\u003e \u003cp\u003ePart two of the book covers multi-name products and begins with the CDS index. The mechanics and pricing of the CDS index are set out in detail. A chapter on the pricing of options on the CDS index follows. Much of part two of the book is then devoted to the pricing and risk-management of single tranche CDOs. After discussing the Gaussian copula model and the numerical challenge of building the portfolio loss distribution, several chapters are devoted to the subject of modelling the correlation skew. This includes a detailed discussion of base correlation, copula-based skew models and dynamic correlation modelling.\u003c\/p\u003e \u003cp\u003ePractical and accessible, \u003ci\u003eModelling Single-name and Multi-name Credit Derivatives\u003c\/i\u003e does not assume any previous knowledge of credit derivatives. Products are explained in detail as are the requirements of any pricing model. While the book is undoubtedly mathematical, the emphasis is on building intuition, especially regarding the risk sensitivities of the product. Issues such as model requirements, model calibration and stability are addressed. Attention is paid to the need for optimising the computationally efficiency of the implementation, and detailed algorithms are presented which are simple for the reader to convert into their preferred programming language.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989638430949,"sku":"NP9780470519288","price":159.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470519288.jpg?v=1761784912","url":"https:\/\/k12savings.com\/es\/products\/modelling-single-name-and-multi-name-credit-derivatives-isbn-9780470519288","provider":"K12savings","version":"1.0","type":"link"}