| 书目名称 | Credit Correlation | | 副标题 | Theory and Practice | | 编辑 | Youssef Elouerkhaoui | | 视频video | | | 概述 | Authored by noted expert on credit portfolios and correlation trading and frequent speaker on these topics at all the big quant conferences..Tackles up-to-date credit and default correlation on the ma | | 丛书名称 | Applied Quantitative Finance | | 图书封面 |  | | 描述 | .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 th | | 出版日期 | Book 2017 | | 关键词 | Quantitative Finance; Credit; Theory; Practice; Financial Services | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-319-60973-7 | | isbn_softcover | 978-3-319-86973-5 | | isbn_ebook | 978-3-319-60973-7Series ISSN 2947-700X Series E-ISSN 2947-7018 | | issn_series | 2947-700X | | copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerl |
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发表于 2025-3-21 18:19:29
