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The Resource Credit correlation : theory and practice, Youssef Elouerkhaoui, (electronic book)

Credit correlation : theory and practice, Youssef Elouerkhaoui, (electronic book)

Label
Credit correlation : theory and practice
Title
Credit correlation
Title remainder
theory and practice
Statement of responsibility
Youssef Elouerkhaoui
Creator
Author
Subject
Language
eng
Summary
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 the answer and the market has grown significantly.Written by a practitioner for practitioners, this book will also interest researchers in mathematical finance who want to understand how things happen and work ‘on the floor’. Building the reader’s knowledge from the ground up, and with numerous real life examples used throughout, this book will  prove a popular reference for anyone with a mathematical mind interested credit markets.  .--
Member of
Assigning source
Provided by publisher
Cataloging source
EBLCP
http://library.link/vocab/creatorName
Elouerkhaoui, Youssef
Dewey number
332.7
Index
no index present
LC call number
HG3701
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Applied quantitative finance
http://library.link/vocab/subjectName
Credit
Label
Credit correlation : theory and practice, Youssef Elouerkhaoui, (electronic book)
Instantiates
Publication
Note
  • Description based upon print version of record
  • 8.1 Introduction
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Preface; Objectives, Audience and Structure; Description of Contents by Chapter; Acknowledgements; Contents; List of Figures; 1 Introduction and Context; 1.1 Synopsis of Credit Derivative Products; 1.1.1 Credit Default Swaps; 1.1.2 First to Default Swaps; 1.1.3 Collateralized Debt Obligations; 1.2 Motivation for Credit Correlation Models; 1.3 A Timeline of Credit Correlation Modelling; References; Theoretical Tools; 2 Mathematical Fundamentals; 2.1 Credit Pricing Building Blocks; 2.1.1 Cox Process; 2.1.2 Three Building Blocks; 2.2 Point Processes, Filtrations and Intensities
  • 2.2.1 Counting Process2.2.2 Doubly Stochastic Poisson Process; 2.2.3 Watanabe's Characterization; 2.2.4 Stochastic Intensity; 2.2.5 Predictable Intensities; 2.2.6 Change of Filtration; 2.2.7 Random Time Change; 2.3 Copulas; 2.3.1 Sklar's Theorem; 2.3.2 Dependence Concepts; 2.3.3 Elliptical Copulas; 2.3.4 Archimedean Copulas; 2.3.5 Marshall-Olkin Copulas; References; 3 Expectations in the Enlarged Filtration; 3.1 The Dellacherie Formula; 3.2 Generalized Dellacherie Formula; References; 4 Copulas and Conditional Jump Diffusions; 4.1 Introduction; 4.2 The Model
  • 4.3 Interacting Ità ́and Point Processes4.4 The Copula Approach; 4.5 Numerical Examples; 4.6 Conclusion; Note; References; Correlation Models: Practical Implementation; 5 Correlation Demystified: A General Overview; 5.1 Base Correlation; 5.1.1 One-Factor Gaussian Copula; 5.1.2 Pricing CDOs; 5.1.3 Large Homogenous Portfolio; 5.1.4 FFT and Recursion; 5.1.5 Normal, Poisson and Stein Approximations; 5.1.6 Compound Correlation; 5.1.7 Base Correlation Curve; 5.2 Skew Rescaling; 5.2.1 Portfolio Loss Rescaling; 5.2.2 Probability Loss Rescaling; 5.2.3 Tranche Loss Rescaling
  • 5.2.4 Mapping, Blending and Interpolation5.3 CDO2; 5.3.1 Loss Copula; 5.3.2 Conditional Loss Copula; 5.3.3 Bespoke CDO2 Skew; 5.3.4 Summary; 5.4 Expected Tranche Loss Surface; 5.4.1 The Problem; 5.4.2 Equity Tranche Forward Rate Curve; 5.5 Entropy Maximization; 5.5.1 Principle of Maximum Entropy; 5.5.2 Problem Formulation; 5.5.3 Dual Problem; 5.5.4 Regularization; 5.5.5 Minimum Relative Entropy; 5.6 Concluding Remarks; References; 6 Correlation Skew: A Black-Scholes Approach; 6.1 Introduction; 6.2 Building a Black-Scholes Model; 6.3 Stochastic CEV Model; 6.4 Calibration Example
  • 6.5 Skew Dynamics6.6 Risk Management; References; 7 An Introduction to the Marshall-Olkin Copula; 7.1 Introduction; 7.2 Genesis of the Marshall-Olkin Model; 7.2.1 Construction of Correlation; 7.2.2 Copula Function; 7.2.3 Numerical Implementation; 7.3 Calibration; 7.3.1 Background Radiation; 7.3.2 The Expanding Universe; 7.3.3 The Big Bang State; 7.3.4 Correlation Regimes; 7.4 Marshall-Olkin Vs Gaussian Copula; 7.4.1 Multimodal Default Distribution; 7.4.2 Correlation Term Structure; 7.4.3 Correlation Skew; 7.5 Conclusion; Notes; References; 8 Numerical Tools: Basket Expansions
Dimensions
unknown
Extent
1 online resource (466 p.)
File format
unknown
Form of item
online
Isbn
9783319609720
Isbn Type
(hbk)
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)1012883584
  • on1012883584
Label
Credit correlation : theory and practice, Youssef Elouerkhaoui, (electronic book)
Publication
Note
  • Description based upon print version of record
  • 8.1 Introduction
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Preface; Objectives, Audience and Structure; Description of Contents by Chapter; Acknowledgements; Contents; List of Figures; 1 Introduction and Context; 1.1 Synopsis of Credit Derivative Products; 1.1.1 Credit Default Swaps; 1.1.2 First to Default Swaps; 1.1.3 Collateralized Debt Obligations; 1.2 Motivation for Credit Correlation Models; 1.3 A Timeline of Credit Correlation Modelling; References; Theoretical Tools; 2 Mathematical Fundamentals; 2.1 Credit Pricing Building Blocks; 2.1.1 Cox Process; 2.1.2 Three Building Blocks; 2.2 Point Processes, Filtrations and Intensities
  • 2.2.1 Counting Process2.2.2 Doubly Stochastic Poisson Process; 2.2.3 Watanabe's Characterization; 2.2.4 Stochastic Intensity; 2.2.5 Predictable Intensities; 2.2.6 Change of Filtration; 2.2.7 Random Time Change; 2.3 Copulas; 2.3.1 Sklar's Theorem; 2.3.2 Dependence Concepts; 2.3.3 Elliptical Copulas; 2.3.4 Archimedean Copulas; 2.3.5 Marshall-Olkin Copulas; References; 3 Expectations in the Enlarged Filtration; 3.1 The Dellacherie Formula; 3.2 Generalized Dellacherie Formula; References; 4 Copulas and Conditional Jump Diffusions; 4.1 Introduction; 4.2 The Model
  • 4.3 Interacting Ità ́and Point Processes4.4 The Copula Approach; 4.5 Numerical Examples; 4.6 Conclusion; Note; References; Correlation Models: Practical Implementation; 5 Correlation Demystified: A General Overview; 5.1 Base Correlation; 5.1.1 One-Factor Gaussian Copula; 5.1.2 Pricing CDOs; 5.1.3 Large Homogenous Portfolio; 5.1.4 FFT and Recursion; 5.1.5 Normal, Poisson and Stein Approximations; 5.1.6 Compound Correlation; 5.1.7 Base Correlation Curve; 5.2 Skew Rescaling; 5.2.1 Portfolio Loss Rescaling; 5.2.2 Probability Loss Rescaling; 5.2.3 Tranche Loss Rescaling
  • 5.2.4 Mapping, Blending and Interpolation5.3 CDO2; 5.3.1 Loss Copula; 5.3.2 Conditional Loss Copula; 5.3.3 Bespoke CDO2 Skew; 5.3.4 Summary; 5.4 Expected Tranche Loss Surface; 5.4.1 The Problem; 5.4.2 Equity Tranche Forward Rate Curve; 5.5 Entropy Maximization; 5.5.1 Principle of Maximum Entropy; 5.5.2 Problem Formulation; 5.5.3 Dual Problem; 5.5.4 Regularization; 5.5.5 Minimum Relative Entropy; 5.6 Concluding Remarks; References; 6 Correlation Skew: A Black-Scholes Approach; 6.1 Introduction; 6.2 Building a Black-Scholes Model; 6.3 Stochastic CEV Model; 6.4 Calibration Example
  • 6.5 Skew Dynamics6.6 Risk Management; References; 7 An Introduction to the Marshall-Olkin Copula; 7.1 Introduction; 7.2 Genesis of the Marshall-Olkin Model; 7.2.1 Construction of Correlation; 7.2.2 Copula Function; 7.2.3 Numerical Implementation; 7.3 Calibration; 7.3.1 Background Radiation; 7.3.2 The Expanding Universe; 7.3.3 The Big Bang State; 7.3.4 Correlation Regimes; 7.4 Marshall-Olkin Vs Gaussian Copula; 7.4.1 Multimodal Default Distribution; 7.4.2 Correlation Term Structure; 7.4.3 Correlation Skew; 7.5 Conclusion; Notes; References; 8 Numerical Tools: Basket Expansions
Dimensions
unknown
Extent
1 online resource (466 p.)
File format
unknown
Form of item
online
Isbn
9783319609720
Isbn Type
(hbk)
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)1012883584
  • on1012883584

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