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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.
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