Structured Credit Portfolio Analysis, Baskets and CDOs: 1st Edition (Paperback) book cover

Structured Credit Portfolio Analysis, Baskets and CDOs

1st Edition

By Christian Bluhm, Ludger Overbeck

Chapman and Hall/CRC

376 pages

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Description

The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long and short positions in credit risks. Based on a steadily growing market, there is a high demand for concepts and techniques applicable to the evaluation of structured credit products.

Written from the perspective of practitioners who apply mathematical concepts to structured credit products, Structured Credit Portfolio Analysis, Baskets & CDOs starts with a brief wrap-up on basic concepts of credit risk modeling and then quickly moves on to more advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches. The text is written in a self-contained style so readers with a basic understanding of probability will have no difficulties following it. In addition, many examples and calculations have been included to keep the discussion close to business applications. Practitioners as well as academics will find ideas and tools in the book that they can use for their daily work.

Table of Contents

A Brief Guide to The Book. From Single Credit Risks to Credit Portfolios. Default Baskets. Collateralized Debt and Synthetic Obligations. Some Practical Remarks. Suggestions for Further Reading. Appendix.

About the Authors

Bluhm, Christian; Overbeck, Ludger

About the Series

Chapman and Hall/CRC Financial Mathematics Series

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Subject Categories

BISAC Subject Codes/Headings:
BUS027000
BUSINESS & ECONOMICS / Finance
MAT000000
MATHEMATICS / General
MAT029000
MATHEMATICS / Probability & Statistics / General