The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices ...
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The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.
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Add this copy of Credit Correlation: Life After Copulas to cart. $14.25, very good condition, Sold by Suffolk Books rated 4.0 out of 5 stars, ships from center moriches, NY, UNITED STATES, published 2008 by World Scientific Publishing Comp.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. Clean from markings In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 550grams, ISBN: 9789812709493.
Add this copy of Credit Correlation: Life After Copulas to cart. $79.77, new condition, Sold by discount_scientific_books rated 3.0 out of 5 stars, ships from Sterling Heights, MI, UNITED STATES, published 2008 by World Scientific Publishing Company.
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Add this copy of Credit Correlation: Life After Copulas to cart. $105.13, new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2008 by World Scientific Publishing Company.
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New. Sewn binding. Paper over boards. 176 p. Contains: Tables, black & white, Figures. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Credit Correlation: Life After Copulas to cart. $105.13, like new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2008 by World Scientific Publishing Company.
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Fine. Sewn binding. Paper over boards. 176 p. Contains: Tables, black & white, Figures. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
