Synthetic CDOs by C. C. Mounfield
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Synthetic CDOs
By C. C. Mounfield

Synthetic CDOs

Modelling, Valuation and Risk Management

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Format: Hardback

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Synthetic CDOs by C. C. Mounfield

Book Description

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.

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Book Details

ISBN: 9780521897884
ISBN-10: 0521897882
Format: Hardback
(247mm x 174mm x 21mm)
Pages: 386
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 18-Dec-2008
Country of Publication: United Kingdom

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Author Biography - C. C. Mounfield

C. C. Mounfield is a Director in the Model Validation team of Barclays Capital working on credit derivative models.

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