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Credit Correlation: Life After Copulas

Engelsk Hardback

Credit Correlation: Life After Copulas

Engelsk Hardback
Tjek vores konkurrenters priser
The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.
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The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.
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Se mere i:
Produktdetaljer
Sprog: Engelsk
Sider: 176
ISBN-13: 9789812709493
Indbinding: Hardback
Udgave:
ISBN-10: 9812709495
Kategori: Kredit og kreditinstitutioner
Udg. Dato: 2 jan 2008
Længde: 18mm
Bredde: 252mm
Højde: 167mm
Forlag: World Scientific Publishing Co Pte Ltd
Oplagsdato: 2 jan 2008
Forfatter(e):
Forfatter(e)

Kategori Kredit og kreditinstitutioner

ISBN-13 9789812709493

Sprog Engelsk

Indbinding Hardback

Sider 176

Udgave

Længde 18mm

Bredde 252mm

Højde 167mm

Udg. Dato 2 jan 2008

Oplagsdato 2 jan 2008

Forlag World Scientific Publishing Co Pte Ltd

Kategori sammenhænge