Pricing And Risk Management Of Synthetic Cdos

Author : Anna Schlösser
Publisher : Springer
Page : 268 pages
File Size : 52,8 Mb
Release : 2011-04-08
Category : Business & Economics
ISBN : 364215610X

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Pricing and Risk Management of Synthetic CDOs by Anna Schlösser Pdf

This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regime.

Author : Anna Schlösser
Publisher : Springer Science & Business Media
Page : 268 pages
File Size : 43,9 Mb
Release : 2011-02-04
Category : Business & Economics
ISBN : 9783642156090

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Pricing and Risk Management of Synthetic CDOs by Anna Schlösser Pdf

This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regime.

Author : Craig Mounfield
Publisher : Cambridge University Press
Page : 386 pages
File Size : 48,6 Mb
Release : 2009
Category : Business & Economics
ISBN : 9780521897884

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Synthetic CDOs by Craig Mounfield Pdf

Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.

Author : Anonim
Publisher : Unknown
Page : 239 pages
File Size : 45,8 Mb
Release : 2005
Category : Coins, Russian
ISBN : OCLC:707334543

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Тринадцатая Всероссийская нумизматическая конференция. Москва 11-15 апреля2005 г. Тезисы докладов и сообщений by Anonim Pdf

Author : C. C. Mounfield
Publisher : Cambridge University Press
Page : 128 pages
File Size : 48,7 Mb
Release : 2008-12-18
Category : Mathematics
ISBN : 9781139477154

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Synthetic CDOs by C. C. Mounfield Pdf

Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance landscape, readers are introduced tothe basic modelling concepts necessary to model and value simple credit derivatives. The modelling, valuation and risk management of synthetic CDOs are described and a detailed picture of the behaviour of these complex instruments is built up. The final chapters introduce more advanced topics such as portfolio management of synthetic CDOs and hedging techniques. Detailing the latest models and techniques, this is essential reading for quantitative analysts, traders and risk managers working in investment banks, hedge funds and other financial institutions, and for graduates intending to enter the industry. It is also ideal for academics who need to keep informed with current best practice in the credit derivatives industry.

Author : Gunter Meissner
Publisher : John Wiley & Sons
Page : 248 pages
File Size : 42,8 Mb
Release : 2009-02-04
Category : Business & Economics
ISBN : 9781405137461

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Credit Derivatives by Gunter Meissner Pdf

The market for credit derivatives--financial instruments designedto transfer credit risk from one party to another--has grownexponentially in recent years, with volume expected to reach morethan $4.8 trillion by 2004. With demand increasing from the privatesector for finance professionals trained in the opportunities--anddangers--inherent in this fast-changing market, finance courses arealready springing up to meet this need. Credit Derivatives: Explains the field of credit derivatives to business studentswith a background in finance Cites real-world examples throughout, reinforced byend-of-chapter questions and internet links to pricing models Provides a concise overview of the field that is ideal forinstructors seeking to supplement traditional derivatives coursematerial, as well as those looking to offer a stand-alone course oncredit derivatives.

Author : Jens Bender
Publisher : GRIN Verlag
Page : 71 pages
File Size : 52,9 Mb
Release : 2005-08-07
Category : Business & Economics
ISBN : 9783638406888

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Increasing computational speed in pricing single tranche CDOs by Jens Bender Pdf

Master's Thesis from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 95%, Frankfurt School of Finance & Management, 51 entries in the bibliography, language: English, abstract: In recent years enormous write offs in bank’s credit portfolios stimulated the demand for products that allow for an active trading of credit risk within the field of capital management. Securitization is a tool to reduce credit risk embedded on balance sheets. Thereby various assets are pooled in a portfolio that serves as collateral for issued notes. These asset backed securities (ABS) were initially aimed to securitize mainly mortgage and consumer loans of financial institutions in the early 1980s (Tavakoli [50]). A collateralized debt obligation (CDO) is a type of ABS that was first set up to securitize junk bonds (below investment grade investments) in the late 1980s (Moore [41]). The growing demand for securitizing credit risk during the 1990s led to a tremendous rise in CDO issuance which was further stimulated by the introduction of synthetic CDOs whose portfolios consists of credit derivatives such as credit default swaps (CDS). In 2003 the CDO issuance volume was USD 94 billion, a rise of 27% compared to 2002.

Author : Roland Lichters,Roland Stamm,Donal Gallagher
Publisher : Springer
Page : 573 pages
File Size : 45,5 Mb
Release : 2015-11-15
Category : Business & Economics
ISBN : 9781137494849

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Modern Derivatives Pricing and Credit Exposure Analysis by Roland Lichters,Roland Stamm,Donal Gallagher Pdf

This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

Author : Yinqiu Lu,Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
Page : 18 pages
File Size : 54,9 Mb
Release : 2006-04-01
Category : Business & Economics
ISBN : 9781451863673

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Idiosyncratic and Systemic Risk in the European Corporate Sector by Yinqiu Lu,Mr.Jorge A. Chan-Lau Pdf

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in advance. In this paper, we explain how to construct idiosyncratic and systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations (STCDOs) referencing credit derivatives indices. As an illustration, both risk indicators are constructed for the European corporate sector using midprice quotes for STCDOs referencing the iTraxx Europe index.

Author : Arnaud de Servigny,Norbert Jobst
Publisher : McGraw Hill Professional
Page : 38 pages
File Size : 41,8 Mb
Release : 2007-01-22
Category : Business & Economics
ISBN : 9780071715751

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The Handbook of Structured Finance, Chapter 8 - A Practical Guide to CDO Trading Risk Management by Arnaud de Servigny,Norbert Jobst Pdf

This chapter comes from the book The Handbook of Structured Finance, a complete guide to the major issues facing investors in the structured finance market. Comprehensive and accessible, it provides the latest techniques for measuring and managing risk, finding optimum pricing, and taking advantage of leverage and market incompleteness, as well as models for debt and equity modeling.

Author : Michael S. Gibson
Publisher : Unknown
Page : 50 pages
File Size : 47,6 Mb
Release : 2004
Category : Collateralized debt obligations
ISBN : UCR:31210019507977

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Understanding the Risk of Synthetic CDOs by Michael S. Gibson Pdf

Author : Janet M. Tavakoli
Publisher : Wiley
Page : 480 pages
File Size : 50,6 Mb
Release : 2008-08-28
Category : Business & Economics
ISBN : 9780470391181

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Structured Finance and Collateralized Debt Obligations by Janet M. Tavakoli Pdf

An up-to-date look at the exploding CDO and structured credit products market In this fully updated Second Edition, financial expert Janet Tavakoli provides readers with a comprehensive look at the CDO and structured credit products market amid recent developments. In addition to a detailed overview of the market, this book presents key issues in valuing structured financial products and important quality control issues. Tavakoli shares her experiences in this field, as she examines important securitization topics, including the huge increase in CDO arbitrage created by synthetics, the tranches most at risk from new technology, dumping securitizations on bank balance sheets, the abuse of offshore vehicles by companies, the role of hedge funds, critical issues with subprime, Alt-A, and prime mortgage securitizations, and securitizations made possible by new securitization techniques and the Euro. While providing an overview of the market and its dynamic growth, Tavakoli takes the time to explore the types of products now offered, new hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs.

Author : Arnaud de Servigny,Norbert Jobst
Publisher : McGraw Hill Professional
Page : 48 pages
File Size : 40,6 Mb
Release : 2007-01-22
Category : Business & Economics
ISBN : 9780071715744

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The Handbook of Structured Finance, Chapter 7 - An Introduction to the CDO Risk Management by Arnaud de Servigny,Norbert Jobst Pdf

This chapter comes from the book The Handbook of Structured Finance, a complete guide to the major issues facing investors in the structured finance market. Comprehensive and accessible, it provides the latest techniques for measuring and managing risk, finding optimum pricing, and taking advantage of leverage and market incompleteness, as well as models for debt and equity modeling.

Author : Greg N. Gregoriou,Paul U. Ali
Publisher : McGraw Hill Professional
Page : 435 pages
File Size : 45,8 Mb
Release : 2008-07-31
Category : Business & Economics
ISBN : 9780071549530

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Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers by Greg N. Gregoriou,Paul U. Ali Pdf

The world’s leading financial thinkers share their insights into the latest developments in credit derivatives In The Credit Derivatives Handbook, some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds. You will come away with the knowledge and insight needed to measure and value risk, as well as the ability to put credit derivatives to work. Over fifteen contributors provide in-depth analyses of subjects in their respective areas of expertise, such as: Key products, applications, and typical trades, hedging and credit structuring Pricing of credit default swaps and synthetic CDOs Design of synthetic CDOs Copula models, with illustrative examples Credit derivatives in investment portfolios Opportunities for structuring credit derivatives in accordance with Islamic finance Comprehensive in scope but executed in meticulous detail, The Credit Derivatives Handbook provides a complete, global perspective of what the editors consider “one of the most important financial innovations of recent times.”

Author : Don M Chance
Publisher : World Scientific
Page : 861 pages
File Size : 51,8 Mb
Release : 2019-10-07
Category : Business & Economics
ISBN : 9789811201851

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Financial Risk Management: An End User Perspective by Don M Chance Pdf

In the field of financial risk management, the 'sell side' is the set of financial institutions who offer risk management products to corporations, governments, and institutional investors, who comprise the 'buy side'. The sell side is often at a significant advantage as it employs quantitative experts who provide specialized knowledge. Further, the existing body of knowledge on risk management, while extensive, is highly technical and mathematical and is directed to the sell side.This book levels the playing field by approaching risk management from the buy side instead, focusing on educating corporate and institutional users of risk management products on the essential knowledge they need to be an intelligent buyer. Rather than teach financial engineering, this volume covers the principles that the buy side should know to enable it to ask the right questions and avoid being misled by the complexity often presented by the sell side.Written in a user-friendly manner, this textbook is ideal for graduate and advanced undergraduate classes in finance and risk management, MBA students specializing in finance, and corporate and institutional investors. The text is accompanied by extensive supporting material including exhibits, end-of-chapter questions and problems, solutions, and PowerPoint slides for lecturers.