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List of Tables
List of Figures
1 Introduction 1
Pt. I Modeling Framework 5
2 Default Models 7
3 Modeling Dependence with Copulas 13
Pt. II Single Name Corporate Credit Derivatives 19
4 Credit Default Swaps 21
5 Pricing Credit Spread Options: A 2-factor HW-BK Algorithm 29
6 Counterparty Risk and Credit Valuation Adjustment 39
Pt. III Multiname Corporate Credit Derivatives 47
7 Collateralized Debt Obligations 49
8 Standardized Credit Indices 55
9 Pricing Synthetic CDO Tranches 61
10 Historical Study of Levy Base Correlation 71
11 Base Expected Loss and Base Correlation Smile 77
12 Base Correlation Mapping 89
13 Correlation from Collateral to Tranches 99
14 Cash Flow CDOs 107
15 Structured Credit Products: CPPI and CPDO 123
Pt. IV Asset Backed Securities 133
16 ABCDS and PAUG 135
17 One Credit Event Models for CDOs of ABS 139
18 More Standardized Credit Indices: ABX, TABX, CMBX, LCDX, LevX 149
19 1-factor Models for the ABS Correlation Market Pricing TABX Tranches 159
20 Bond Price Implied Spreads 171
Pt. V Dynamic Credit Portfolio Management 177
21 Long Memory Processes and Benoit Mandelbrot 179
22 Securitization and the Credit Crunch 183
23 Dynamic Credit Portfolio Management 193
24 Conclusion 217
App. A Economic Capital Allocation Approaches 221
App. B Generalized Gauss Laguerre Quadrature 223
References 225
Index 231
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Add The Art of Credit Derivatives: Demystifying the Black Swan (Wiley Finance Series), Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paral, The Art of Credit Derivatives: Demystifying the Black Swan (Wiley Finance Series) to the inventory that you are selling on WonderClubX
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Add The Art of Credit Derivatives: Demystifying the Black Swan (Wiley Finance Series), Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paral, The Art of Credit Derivatives: Demystifying the Black Swan (Wiley Finance Series) to your collection on WonderClub |