The Resource Credit correlation : theory and practice, Youssef Elouerkhaoui, (electronic book)
Credit correlation : theory and practice, Youssef Elouerkhaoui, (electronic book)
Resource Information
The item Credit correlation : theory and practice, Youssef Elouerkhaoui, (electronic book) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Credit correlation : theory and practice, Youssef Elouerkhaoui, (electronic book) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.
This item is available to borrow from 1 library branch.
 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 precrisis 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 ‘MarshallOlkin’ contagion framework, in the context of CVA; numerical implementation; and pricing, calibration and risk challenges. The explosive growth of credit derivatives markets in the earlytomid 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.  .
 Language
 eng
 Extent
 1 online resource (466 p.)
 Note

 Description based upon print version of record
 8.1 Introduction
 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 MarshallOlkin 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 ItÃ ́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 OneFactor 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 BlackScholes Approach; 6.1 Introduction; 6.2 Building a BlackScholes Model; 6.3 Stochastic CEV Model; 6.4 Calibration Example
 6.5 Skew Dynamics6.6 Risk Management; References; 7 An Introduction to the MarshallOlkin Copula; 7.1 Introduction; 7.2 Genesis of the MarshallOlkin 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 MarshallOlkin 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
 Isbn
 9783319609720
 Label
 Credit correlation : theory and practice
 Title
 Credit correlation
 Title remainder
 theory and practice
 Statement of responsibility
 Youssef Elouerkhaoui
 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 precrisis 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 ‘MarshallOlkin’ contagion framework, in the context of CVA; numerical implementation; and pricing, calibration and risk challenges. The explosive growth of credit derivatives markets in the earlytomid 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.  .
 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)
 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 MarshallOlkin 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 ItÃ ́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 OneFactor 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 BlackScholes Approach; 6.1 Introduction; 6.2 Building a BlackScholes Model; 6.3 Stochastic CEV Model; 6.4 Calibration Example
 6.5 Skew Dynamics6.6 Risk Management; References; 7 An Introduction to the MarshallOlkin Copula; 7.1 Introduction; 7.2 Genesis of the MarshallOlkin 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 MarshallOlkin 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)
 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 MarshallOlkin 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 ItÃ ́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 OneFactor 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 BlackScholes Approach; 6.1 Introduction; 6.2 Building a BlackScholes Model; 6.3 Stochastic CEV Model; 6.4 Calibration Example
 6.5 Skew Dynamics6.6 Risk Management; References; 7 An Introduction to the MarshallOlkin Copula; 7.1 Introduction; 7.2 Genesis of the MarshallOlkin 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 MarshallOlkin 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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