Structured Products and Credit Derivatives: A step-by-step algorithmic approach to pricing, without  - Joshi, Ninad

Structured Products and Credit Derivatives: A step-by-step algorithmic approach to pricing, without

Ninad Joshi

Yayınevi: Lambert Academic Publishing LAP

Yayın tarihi: 09/2010

ISBN: 9783843356558

İngilizce | 116 Sayfa | 150 mm x 220 mm

Tür: İşletme-Pazarlama

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The market for mortgage-related securities is the largest sector of the United States fixed income market. The introduction of structured products like CDOs has provided the financial institutions with an efficient way to transfer credit risk on the underlying risky assets, thus obtaining much desired regulatory capital relief. Credit Default Swaps are by far the most popular credit derivative and have become particularly important, especially now with the declining credit qualities of major companies. In the current credit crisis, the performance of structured products has been quite poor. But after this crisis is over, these securities are expected to experience resurgence, since they are a highly efficient way to lay off portfolio credit risk. This book explains how these products work and outlines procedures (including the Gaussian copula for CDO and CDS) to value them using an intuitive step-by-step algorithmic approach, leaving out the complex underlying math. It provides numerical examples and several charts and graphs for easy understanding and will be most useful for those aiming to understand the working and valuation of structured products and credit derivatives.

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