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Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance landscape, readers are introduced tothe basic modelling concepts necessary to model and value simple credit derivatives. The modelling, valuation and risk management of synthetic CDOs are described and a detailed picture of the behaviour of these complex instruments is built up. The final chapters introduce more advanced topics such as portfolio management of synthetic CDOs and hedging techniques. Detailing the latest models and techniques, this is essential reading for quantitative analysts, traders and risk managers working in investment banks, hedge funds and other financial institutions, and for graduates intending to enter the industry. It is also ideal for academics who need to keep informed with current best practice in the credit derivatives industry.

Mathematical Sciences --- General and Others --- Collateralized debt obligations. --- Finance. --- Funding --- Funds --- Economics --- Currency question --- CDOs (Collateralized debt obligations) --- Credit derivatives

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This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regime.

Asset-backed financing. --- Collateralized debt obligations. --- Credit -- Mathematical models. --- Investment analysis. --- Finance --- Business & Economics --- Investment & Speculation --- Finance - General --- Banking --- Credit --- Mathematical models. --- CDOs (Collateralized debt obligations) --- Finance. --- Applied mathematics. --- Engineering mathematics. --- Economics, Mathematical. --- Finance, general. --- Quantitative Finance. --- Applications of Mathematics. --- Credit derivatives --- Mathematics. --- Math --- Science --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Engineering --- Engineering analysis --- Mathematical analysis --- Mathematical economics --- Econometrics --- Mathematics --- Methodology --- Social sciences --- Financial Economics. --- Mathematics in Business, Economics and Finance.