ISBN 9781119963967,Credit Securitisations And Derivatives

Credit Securitisations And Derivatives


Daniel Rosch


John Wiley



John Wiley

Publication Year 2013

ISBN 9781119963967

ISBN-10 1119963966

Hard Back

Number of Pages 464 Pages
Language (English)

Business & management

A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management Credit Securitisations and Derivatives is a onestop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.