Modelling Single-name and Multi-name Credit Derivatives and over 2 million other books are available for Amazon Kindle . Learn more


or
Sign in to turn on 1-Click ordering.
Trade in Yours
For a £26.00 Gift Card
Trade in
More Buying Choices
Have one to sell? Sell yours here
Sorry, this item is not available in
Image not available for
Colour:
Image not available

 
Start reading Modelling Single-name and Multi-name Credit Derivatives on your Kindle in under a minute.

Don't have a Kindle? Get your Kindle here, or download a FREE Kindle Reading App.

Modelling Single-Name and Multi-Name Credit Derivatives (The Wiley Finance Series) [Hardcover]

Dominic O'Kane
5.0 out of 5 stars  See all reviews (1 customer review)
RRP: £80.00
Price: £45.65 & FREE Delivery in the UK. Details
You Save: £34.35 (43%)
o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o
Only 7 left in stock (more on the way).
Dispatched from and sold by Amazon. Gift-wrap available.
Want it tomorrow, 31 Aug.? Choose Express delivery at checkout. Details

Formats

Amazon Price New from Used from
Kindle Edition £43.37  
Hardcover £45.65  
Trade In this Item for up to £26.00
Trade in Modelling Single-Name and Multi-Name Credit Derivatives (The Wiley Finance Series) for an Amazon Gift Card of up to £26.00, which you can then spend on millions of items across the site. Trade-in values may vary (terms apply). Learn more

Frequently Bought Together

Modelling Single-Name and Multi-Name Credit Derivatives (The Wiley Finance Series) + Credit Derivatives Pricing Models: Models, Pricing and Implementation (The Wiley Finance Series) + Credit Risk Modeling Using Excel and VBA (The Wiley Finance Series)
Price For All Three: £160.58

Buy the selected items together


Product details

  • Hardcover: 514 pages
  • Publisher: John Wiley & Sons; 1 edition (4 July 2008)
  • Language: English
  • ISBN-10: 0470519282
  • ISBN-13: 978-0470519288
  • Product Dimensions: 24.4 x 17 x 3.3 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Bestsellers Rank: 227,345 in Books (See Top 100 in Books)
  • See Complete Table of Contents

More About the Author

Discover books, learn about writers, and more.

Product Description

Book Description

Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners.

This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.

"This book provides a unique, in-depth and comprehensive analysis of the modelling issues faced by credit modellers in the credit derivatives market."

Frank J. Fabozzi, Ph.D., CFA, Professor in the Practice of Finance, Yale School of Management.

"Dominic O'Kane's many years of practical experience in credit derivative markets are evident everywhere in this well-rounded, lucid, and informative book. The author does an admirable job of covering both basic and advanced topics, throughout emphasizing substance over technicalities. The product coverage of the text is extensive, with virtually all practically relevant credit derivatives carefully described and analyzed. Both beginners and seasoned pros can learn from O'Kane's insights and his book deserves a wide readership. Highly recommended."

Leif Andersen, Head of Quantitative Research, Banc of America Securities.

"This book achieves a perfect balance between academic rigor and practical application. There are plentiful references to in-depth (and current!) academic research woven with clear and implementable expositions of methodology. Furthermore, there are illustrative discussions of the market context throughout - quite important given credit derivatives - extraordinary evolution. A dozen years at Solomon/Lehman coupled with years lecturing have made Dominic O'Kane the perfect author for this book.

Greg M. Gupton, Managing Director, Fitch Solutions & DefaultRisk.com

"This book presents a clear,readable treatment about credit derivative pricing models. It addresses many of the important practical issues that arise in pricing and hedging these derivatives. This is a valuable book to any practitioner or researcher in credit risk and is an excellent contribution to the area."

Stuart M. Turnbull, Bauer Chaired Professor, Bauer College of Business, University of Houston.

From the Back Cover

Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners.
This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.
Divided into two parts, part one of this book covers single-name credit derivatives. Reflecting its importance as the building block for most other credit derivatives, the mechanics of the credit default swap (CDS) are covered in considerable detail. A chapter is then devoted to the risk-management of CDS. The pricing and risk-management of forward starting CDS, the option on a CDS and constant maturity CDS are then covered.
Part two of the book covers multi-name products and begins with the CDS index. The mechanics and pricing of the CDS index are set out in detail. A chapter on the pricing of options on the CDS index follows. Much of part two of the book is then devoted to the pricing and risk-management of single tranche CDOs. After discussing the Gaussian copula model and the numerical challenge of building the portfolio loss distribution, several chapters are devoted to the subject of modelling the correlation skew. This includes a detailed discussion of base correlation, copula-based skew models and dynamic correlation modelling.
Practical and accessible, Modelling Single-name and Multi-name Credit Derivatives does not assume any previous knowledge of credit derivatives. Products are explained in detail as are the requirements of any pricing model. While the book is undoubtedly mathematical, the emphasis is on building intuition, especially regarding the risk sensitivities of the product. Issues such as model requirements, model calibration and stability are addressed. Attention is paid to the need for optimising the computationally efficiency of the implementation, and detailed algorithms are presented which are simple for the reader to convert into their preferred programming language.

Inside This Book (Learn More)
Browse Sample Pages
Front Cover | Copyright | Table of Contents | Excerpt | Index
Search inside this book:


Customer Reviews

4 star
0
3 star
0
2 star
0
1 star
0
5.0 out of 5 stars
5.0 out of 5 stars
Most Helpful Customer Reviews
2 of 2 people found the following review helpful
5.0 out of 5 stars Comprehensive and Balanced Introduction 27 Aug 2008
Format:Hardcover
It is not often you find a book which successfully bridges mathematics and finance, with the graceful consideration of the practitioner's issues in implementation. This is Hull for credit derivatives.

The math flows very well alongside a narrative which summarizes the story with terse reasoning. The math is not burdened with notation and is instead linked nicely with financial concepts. This is all reinforced with examples which bring out subtleties of pricing and market conventions. The author makes copious references to further reading, but does not make detours which would detract from explanatory cohesion.

The book can not be all things to all people, however, so some veterans to structured credit may find the treatment a bit beneath their level of expertise. The most appropriate audience would be graduates of math-finance courses who need a thorough introduction to structured credit as it is practiced in banks.
Comment | 
Was this review helpful to you?
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 4.7 out of 5 stars  6 reviews
5 of 5 people found the following review helpful
5.0 out of 5 stars Review of O'Kane's Modeling Credit Derivatives 7 Jun 2010
By T. K. Hin - Published on Amazon.com
Format:Hardcover|Verified Purchase
The author's(O'Kane) exposition of the subject matter is lucid and very well structured.
There is a good balance between theory and the practical aspects in the subject matter.
Usually, there is a divergence between theory and practice, but O'Kane addresses these divergences well i.e. MTM,risk management & hedging of CDS contracts (and its variations)
O'Kane successully simplifies the complex into the simple with clear, concise language in a structured, logical manner without bombarding the reader with complicated mathematical proof/ambiguous logical arguments i.e. why a one-factor latent variable model is insufficient to model the correlation structure of an n-name portfolio etc..
I believe the dilligent reader can eventually develop his/her own intuition and can understand the logic behind the structure of the equations

Before graduating to the current literature of credit derivatives, this book provides a very strong foundation to build upon.

Personally, I prefer O'Kane's pedagogical style/treatment of the subject matter (credit derivatives) over Hull/White's treatment in their classic "Options, Futures and Other Derivatives"
This book has given me a better, clearer and more structured understanding of credit derivatives in general.
Hopefully O'Kane can write a book along similar lines for the other asset classes ie interest rate/fx.
4 of 4 people found the following review helpful
5.0 out of 5 stars Fills a large gap in the market 3 Jan 2012
By The Blue Man - Published on Amazon.com
Format:Hardcover
Despite the huge size of the credit derivatives market, there is a dearth of books about Credit Default Swaps (CDS) and related products. Most of those that exist either are not very detailed or not very clearly written, or both.

O'Kane's book remedies this situation. The book starts with a helpful discussion of fixed income products in general and then proceeds to outline techniques for pricing CDS, CDS Swaptions and Credit Correlation products.

In my view, the author writes very clearly. Some of the most helpful features of the book are:
1. Derivation of key results in detail.
2. Frequent use of examples (although it would be possible to improve the discussion and presentation of some of the examples).
3. Inclusion of detailed product information (e.g. upfront CDS payments, CDS payments between coupon dates etc).
4. Provision of both accurate prices and useful approximations, with associated discussion of when each should be used.
5. Provision of algorithms used to calibrate market inputs (e.g. CDS curves), although some more detailed examples (possibly online rather than in the book itself) would have been helpful here.

I have also read several of the author's published articles with Lehman Brothers. The book is much better than these, in my view, as it is written more clearly and pedagogically (e.g. it does not skip intermediate results as much as the articles).

Someone with no prior experience with credit derivatives should be able to learn a great deal from this book. However, the book is fairly comprehensive; therefore, even those with experience with such products will likely be able to gain from the author's knowledge of theoretical concepts and practical market-driven issues.
4 of 4 people found the following review helpful
5.0 out of 5 stars The best all around book on credit derivatives so far 1 Mar 2010
By A. Vorobyev - Published on Amazon.com
Format:Hardcover|Verified Purchase
The book strikes a perfect balance between theory and practice, and is the most comprehensive guide of the field written so far. Highly recommend to anyone who wants to get understanding of the credit products for trading or modeling.
3 of 3 people found the following review helpful
4.0 out of 5 stars Best Book on Credit Derivatives 10 Sep 2009
By ccw - Published on Amazon.com
Format:Hardcover
This is the most complete and mathmatically rigorous treatment of any of the dozens of books out there on credit derivatives. The math is graduate level, but doesn't inhibit a determined read for the underlying concepts. Only quibble is that the author sometimes gets lost in the academic treatment of various correlation models and loses a reader more focused on practical market applications. Overall, this should be required reading for anyone interested in credit derivatives.
1 of 1 people found the following review helpful
5.0 out of 5 stars Best book on CDS 26 Aug 2011
By C. Ang - Published on Amazon.com
Format:Hardcover
It's hard to find a book on CDSs that is both clearly-written and comprehensive. This is the only book that I have found that actually does both of these. It is clear that O'Kane has a lot of experience dealing with CDSs, and you can actually learn how to apply the techniques he discusses in the text. As the name suggests, this book is separated into single-name and multi-name CDSs. There is a comprehensive discussion of each. This is timely as the growth of the multi-name CDS market has grown to match the single-name CDS market. Hopefully, there would an updated edition of this book that discusses developments in the CDS market post-2008.
Were these reviews helpful?   Let us know
Search Customer Reviews
Only search this product's reviews

Customer Discussions

This product's forum
Discussion Replies Latest Post
No discussions yet

Ask questions, Share opinions, Gain insight
Start a new discussion
Topic:
First post:
Prompts for sign-in
 

Search Customer Discussions
Search all Amazon discussions
   


Look for similar items by category


Feedback