Credit correlation : theory and practice /: theory and practice. (2017)

• Record Type: Book
• Further Information: Note: Youssef Elouerkhaoui.
• Authors: Elouerkhaoui, Youssef
• Contents: Introduction and Context Part I - Theoretical Tools 0. Credit Modelling Fundamentals - Filtrations, Point Processes and Intensities 1. Expectations in the Enlarged Filtration - The Generalized Dellacherie Formula 2. The Basics of Default Correlation Modelling 3. Default Correlation Calibration - Link between Copulas and Conditional Jump Diffusions Part II – Correlation Models: Practical Implementation 4. Correlation Demystified: A General Overview 5. An Introduction to the Marshall-Olkin Copula 6. Numerical Tools: Basket Asymptotic Expansions 7. CDO-Squared: Correlation of Correlation 8. Second Generation Models: From Flat Correlation to Correlation Skew 9. Third Generation Models: From Static to Dynamic Models 10. Pricing in a Dynamic Credit Model Part III – Advanced Topics: Pricing and Risk Management 11. Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics 12. Base Correlation Calibration with a Stochastic Recovery Model 13. Hedging in Incomplete Credit Markets: JTD vs CR01 Part IV – The Next Challenge 14. New Frontiers in Credit Modelling: the CVA Challenge.
• Publisher Details: Basingstoke, Hampshire : Palgrave Macmillan
• Publication Date: 2017
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.632; Credit derivatives
• Languages: English
• ISBNs: 9783319609737
• Related ISBNs: 9783319609720
• Notes: Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.