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5.0 out of 5 stars Good monography on multiname credit derivatives, 21 Mar. 2011
This review is from: Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models (The Wiley Finance Series) (Paperback)
This book covers interesting aspects related to synthetic CDOs and credit indeces pricing. The target public consists in junior practitioners who wish to learn about this kind of derivatives and senior practitioners searching for a good reference.
The first part contains a detailed explanation of traditional pre-crisis models, namely Gaussian copula models and implied correlations, with discussions and practical examples highlighting their problems. The last part proposes a new version of the authors GPL model.
Models are explained in rigorous way, highlighting every hypothesis, and pointing out strengths and limitations showing, whenever possible, numerical examples.
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