Product Description

The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long and short positions in credit risks. Based on a steadily growing market, there is a high demand for concepts and techniques applicable to the evaluation of structured credit products. Written from the perspective of practitioners who apply mathematical concepts to structured credit products, Structured Credit Portfolio Analysis, Baskets & CDOs starts with a brief wrap-up on basic concepts of credit risk modeling and then quickly moves on to more advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches. The text is written in a self-contained style so readers with a basic understanding of probability will have no difficulties following it. In addition, many examples and calculations have been included to keep the discussion close to business applications. Practitioners as well as academics will find ideas and tools in the book that they can use for their daily work.

Product Details

• Amazon Sales Rank: #762512 in Books
• Published on: 2006-09-29
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 376 pages

Review
For anyone who is interested in how CDOs or other instruments linked to baskets of credits are modeled, this book is essential reading. ....the book is a goldmine. If you are interested in how correlation products are modeled in practice, I can't imagine you not reading it. There is no other resource like it… the book is unique. Read it.
--Glyn A. Holton, Contingency Analysis

For anyone who is interested in how CDOs or other instruments linked to baskets of credits are modeled, this book is essential reading. ....the book is a goldmine. If you are interested in how correlation products are modeled in practice, I cant imagine you not reading it. There is no other resource like it… the book is unique. Read it.
--Glyn A. Holton, Contingency Analysis

Customer Reviews

Disappointing
I had to return this book. There are other books on credit derivatives and CDOs that are much better. This book deals with an important subject but in a very poor way.

Structured Credit Portfolio Analysis, Baskets and CDOs
Excellent book on structured credit. However, the authors could have placed more explicit numerical examples. Perhaps a new version could be updated with more explicit numerical examples?
Good book to read cover to cover.