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The Art of Credit Derivatives: Demystifying the Black Swan download epub

by Joao Garcia,Serge Goossens


Epub Book: 1687 kb. | Fb2 Book: 1876 kb.

understands the trading implicitly.

Joao Garcia, Serge Goossens. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater. Part I modeling framework.

Serge Goossens is a Senior Quantitative Analyst working in the Front.

p. cm. Includes bibliographical references and index. He is an Electronic Eng. from Instituto Tecnolo´gico de Aerona´utica (ITA, Brazil), with an MSc in Physics (UFPe, Brazil) and a PhD in Physics (UA, Belgium). Serge Goossens is a Senior Quantitative Analyst working in the Front Ofce of Dexia Bank Belgium. Place of Publication. The aim of the system was to mange large portfolios of securitization notes.

Authors: Goossens, Serge. Portfolio management. Online Resources: Publisher description. Contributor biographical information.

The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater.

by: Joao Garcia · Serge Goossens.

Credit derivatives have been instrumental in the recent increase insecuritization activity. The complex nature and the size of themarket have given rise to very complex counterparty creditrisks.  The Lehman failure has shown that these issues canparalyse the financial markets, and the need for detailedunderstanding has never been greater.

 

The Art of Credit Derivatives shows practitioners how toput a framework in place which will support the securitizationactivity.  By showing the models that support this activityand linking them with very practical examples, the authors show whya mind-shift within the quant community is needed - a move fromsimple modeling to a more hands on mindset where the modelerunderstands the trading implicitly.

 

The book has been written in five parts, covering the modelingframework; single name corporate credit derivatives; multi namecorporate credit derivatives; asset backed securities and dynamiccredit portfolio management.

 

Coverage includes:

groundbreaking solutions to the inherent risks associated withinvesting in securitization instrumentshow to use the standardized credit indices as the mostappropriate instruments in price discovery processes and why theseindices are the essential tools for short term credit portfoliomanagementwhy the dynamics of systemic correlation and the standardisedcredit indices are linked with leverage, and consequently theimplications for liquidity and solvability of financialinstitutionshow Lévy processes and long term memory processes arerelated to the understanding of economic activitywhy regulatory capital should be portfolio dependant and how touse stress tests and scenario analysis to model thishow to put structured products in a mark-to market-environment,increasing transparency for accounting and compliance.

 

This book will be invaluable reading for Credit Analysts,Quantitative Analysts, Credit Portfolio Managers, Academics andanyone interested in these complex yet important markets.

 


The Art of Credit Derivatives: Demystifying the Black Swan download epub
Business & Finance
Author: Joao Garcia,Serge Goossens
ISBN: 0470747358
Category: Other
Subcategory: Business & Finance
Language: English
Publisher: Wiley; 1 edition (January 19, 2010)
Pages: 250 pages