Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Pricing And Hedging Synthetic Cdo Tranche Spread Risks
Download Pricing And Hedging Synthetic Cdo Tranche Spread Risks full books in PDF, epub, and Kindle. Read online Pricing And Hedging Synthetic Cdo Tranche Spread Risks ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Pricing and Hedging Synthetic CDO Tranche Spread Risks by : Michael Sherris
Download or read book Pricing and Hedging Synthetic CDO Tranche Spread Risks written by Michael Sherris and published by . This book was released on 2009 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent credit crisis has focussed attention on the models used for pricing and assessing risk of structured credit transactions including bespoke CDO's. There are many models that have been proposed for pricing bespoke CDO's including the base correlation mapping methods with the market standard Gaussian copula model as well as the implied copula models. Methods commonly used in the market for hedging and pricing bespoke CDO's make explicit assumptions for the relationship between default probability and default correlation and calibrate the model to current CDO prices only. The ability of a model to hedge CDO tranche spread risks using a credit index is closely related to it's ability to price CDOs on bespoke portfolios. This paper examines the measurement and hedging of synthetic CDO tranche spread risks based on market spread data following the sub-prime crisis. A range of methods proposed for pricing bespoke CDOs are examined to assess their ability to hedge the credit spread risk. The methods assessed are calibrated to the traded CDO index spread and then compared based on the mean absolute pricing errors over a time period including the sub-prime crisis. Standard pricing methods and variations used to price bespoke CDOs generally perform poorly in hedging credit spread risk. Past data can be used to improve the performance of the methods. The results of this analysis also raise concerns with the accuracy of quot;mark-to-modelquot; valuations of bespoke CDOs using standard market methods.
Book Synopsis The Handbook of Structured Finance, Chapter 8 - A Practical Guide to CDO Trading Risk Management by : Arnaud de Servigny
Download or read book The Handbook of Structured Finance, Chapter 8 - A Practical Guide to CDO Trading Risk Management written by Arnaud de Servigny and published by McGraw Hill Professional. This book was released on 2007-01-22 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from the book The Handbook of Structured Finance, a complete guide to the major issues facing investors in the structured finance market. Comprehensive and accessible, it provides the latest techniques for measuring and managing risk, finding optimum pricing, and taking advantage of leverage and market incompleteness, as well as models for debt and equity modeling.
Book Synopsis Structured Finance and Collateralized Debt Obligations by : Janet M. Tavakoli
Download or read book Structured Finance and Collateralized Debt Obligations written by Janet M. Tavakoli and published by John Wiley & Sons. This book was released on 2008-09-22 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date look at the exploding CDO and structured credit products market In this fully updated Second Edition, financial expert Janet Tavakoli provides readers with a comprehensive look at the CDO and structured credit products market amid recent developments. In addition to a detailed overview of the market, this book presents key issues in valuing structured financial products and important quality control issues. Tavakoli shares her experiences in this field, as she examines important securitization topics, including the huge increase in CDO arbitrage created by synthetics, the tranches most at risk from new technology, dumping securitizations on bank balance sheets, the abuse of offshore vehicles by companies, the role of hedge funds, critical issues with subprime, Alt-A, and prime mortgage securitizations, and securitizations made possible by new securitization techniques and the Euro. While providing an overview of the market and its dynamic growth, Tavakoli takes the time to explore the types of products now offered, new hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs.
Download or read book Synthetic CDOs written by Craig Mounfield and published by Cambridge University Press. This book was released on 2009 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.
Book Synopsis Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers by : Greg N. Gregoriou
Download or read book Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2008-07-31 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world’s leading financial thinkers share their insights into the latest developments in credit derivatives In The Credit Derivatives Handbook, some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds. You will come away with the knowledge and insight needed to measure and value risk, as well as the ability to put credit derivatives to work. Over fifteen contributors provide in-depth analyses of subjects in their respective areas of expertise, such as: Key products, applications, and typical trades, hedging and credit structuring Pricing of credit default swaps and synthetic CDOs Design of synthetic CDOs Copula models, with illustrative examples Credit derivatives in investment portfolios Opportunities for structuring credit derivatives in accordance with Islamic finance Comprehensive in scope but executed in meticulous detail, The Credit Derivatives Handbook provides a complete, global perspective of what the editors consider “one of the most important financial innovations of recent times.”
Book Synopsis The Handbook of Structured Finance, Chapter 7 - An Introduction to the CDO Risk Management by : Arnaud de Servigny
Download or read book The Handbook of Structured Finance, Chapter 7 - An Introduction to the CDO Risk Management written by Arnaud de Servigny and published by McGraw Hill Professional. This book was released on 2007-01-22 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from the book The Handbook of Structured Finance, a complete guide to the major issues facing investors in the structured finance market. Comprehensive and accessible, it provides the latest techniques for measuring and managing risk, finding optimum pricing, and taking advantage of leverage and market incompleteness, as well as models for debt and equity modeling.
Book Synopsis Understanding the Risk of Synthetic CDOs by : Michael S. Gibson
Download or read book Understanding the Risk of Synthetic CDOs written by Michael S. Gibson and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach by : Alexander Herbertsson
Download or read book Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach written by Alexander Herbertsson and published by . This book was released on 2007 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Handbook of Structured Finance, Chapter 9 - Cash and Synthetic CDOs by : Arnaud de Servigny
Download or read book The Handbook of Structured Finance, Chapter 9 - Cash and Synthetic CDOs written by Arnaud de Servigny and published by McGraw Hill Professional. This book was released on 2007-01-22 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from the book The Handbook of Structured Finance, a complete guide to the major issues facing investors in the structured finance market. Comprehensive and accessible, it provides the latest techniques for measuring and managing risk, finding optimum pricing, and taking advantage of leverage and market incompleteness, as well as models for debt and equity modeling.
Book Synopsis Credit Derivative Strategies by : Rohan Douglas
Download or read book Credit Derivative Strategies written by Rohan Douglas and published by John Wiley and Sons. This book was released on 2010-05-13 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the decade since the credit derivatives market started, financial professionals have become increasingly sophisticated. Most books on the subject have not kept pace. Credit Derivative Strategies closes the gap with state-of-the-art techniques for picking credit hedge funds, analyzing event risk, identifying relative value opportunities and managing CDOs. The credit crisis has many people in the financial industry rethinking how to manage their credit risk and exposure. It is now more important than ever for participants in the financial markets -- whether they are trading or not -- to understand these credit products given their increasing impact. The contributors to this book are practicing professionals who honed their craft at some of the industry's most successful companies including: Merrill Lynch, Credit Suisse First Boston, Kenmar Global Investment Management, and Citigroup.
Book Synopsis Increasing computational speed in pricing single tranche CDOs by : Jens Bender
Download or read book Increasing computational speed in pricing single tranche CDOs written by Jens Bender and published by GRIN Verlag. This book was released on 2005-08-07 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 95%, Frankfurt School of Finance & Management, language: English, abstract: In recent years enormous write offs in bank’s credit portfolios stimulated the demand for products that allow for an active trading of credit risk within the field of capital management. Securitization is a tool to reduce credit risk embedded on balance sheets. Thereby various assets are pooled in a portfolio that serves as collateral for issued notes. These asset backed securities (ABS) were initially aimed to securitize mainly mortgage and consumer loans of financial institutions in the early 1980s (Tavakoli [50]). A collateralized debt obligation (CDO) is a type of ABS that was first set up to securitize junk bonds (below investment grade investments) in the late 1980s (Moore [41]). The growing demand for securitizing credit risk during the 1990s led to a tremendous rise in CDO issuance which was further stimulated by the introduction of synthetic CDOs whose portfolios consists of credit derivatives such as credit default swaps (CDS). In 2003 the CDO issuance volume was USD 94 billion, a rise of 27% compared to 2002.
Book Synopsis The Handbook of Structured Finance, Chapter 6 - CDO Pricing by : Arnaud de Servigny
Download or read book The Handbook of Structured Finance, Chapter 6 - CDO Pricing written by Arnaud de Servigny and published by McGraw Hill Professional. This book was released on 2007-01-22 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from the book The Handbook of Structured Finance, a complete guide to the major issues facing investors in the structured finance market. Comprehensive and accessible, it provides the latest techniques for measuring and managing risk, finding optimum pricing, and taking advantage of leverage and market incompleteness, as well as models for debt and equity modeling.
Book Synopsis Collateralized Debt Obligations and Structured Finance by : Janet M. Tavakoli
Download or read book Collateralized Debt Obligations and Structured Finance written by Janet M. Tavakoli and published by John Wiley & Sons. This book was released on 2004-03-29 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most cutting-edge read on CDO and credit market structures Collateralized Debt Obligations and Structured Finance provides a state-of-the-art look at the exploding CDO and structured credit products market. Financial expert Janet Tavakoli examines securitization topics never before seen in print, including the huge increase in the CDO arbitrage created by synthetics; the tranches most at risk from this new technology; dumping securitizations on bank balance sheets; the abuse of offshore vehicles by companies such as Enron; and securitizations made possible by new securitization techniques and the introduction of the Euro. This valuable guide comprehensively covers one of the fastest growing markets on Wall Street, predicting where new bank regulations and other developments may lead to product growth or product extinction. While providing an overview of the market and its dynamic growth, Collateralized Debt Obligations and Structured Finance explores the types of products offered, hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs. Janet M. Tavakoli, MBA (Chicago, IL), has over eighteen years of experience trading, structuring, and marketing derivatives and structured products with major financial institutions in New York and London. She is also the author of Credit Derivatives and Synthetic Structures, now in its Second Edition (0-471-41266-X).
Book Synopsis The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions by : Li L. Ong
Download or read book The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions written by Li L. Ong and published by International Monetary Fund. This book was released on 2006-06 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still-limited liquidity means that its rapid expansion may actually pose problems for financial sector stability in the event of a major negative shock to credit markets. This paper attempts to quantify the exposure of major U.K. financial groups to credit derivatives, by applying a vector autoregression (VAR) model to publicly available market prices. Our results indicate that use of credit derivatives does not pose a substantial threat to financial sector stability in the United Kingdom. Exposures across major financial institutions appear sufficiently diversified to limit the impact of any shock to the market, while major insurance companies are largely exposed to the "safer" senior tranches.
Book Synopsis Hedging Tranched Index Products by : Julien P. Houdain
Download or read book Hedging Tranched Index Products written by Julien P. Houdain and published by . This book was released on 2006 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Synthetic CDOs have been the principal growth engine for the credit derivatives market over the last few years. The appearance of credit indices has helped the development of a more transparent and efficient market in correlation. This increase in volumes makes it necessary to use models of increasing diversity and complexity in order to model credit variables. Tranched index products are exposed to spread movements, defaults, correlation and recovery uncertainties. Hedging these risks requires an understanding of the sensitivities of the different tranches in the capital structure to these sources of risk. The dynamic hedging of index tranches presents dealers with two main challenges. First, the dealer must calculate the hedge positions (delta or hedge ratio) of the index or individual CDS or other index tranches. These deltas or hedge ratios are model-dependent, which leaves dealers with model risk. Second, the value of an index tranche depends on the correlation assumption used to price and hedge it. Since default correlation is unobservable, a dealer is exposed to the risk that his correlation assumption is wrong (correlation risk). In this paper, index tranches' properties and several hedging strategies are discussed. Next, the model risk and correlation risk are analyzed through the study of the efficiency of several factor-based copula models (like the Gaussian, the double-t and the double-NIG using implied correlation and a particular NIG one-factor model using historical correlation) versus historical data in terms of hedging capabilities. We comment on each model's underlying theoretical approach and then describe and analyze their computational complexity. We show that there is significant model and correlation risk in the credit derivatives market due to the discrepancies between models in terms of hedging results and to the frequent change in the tranches' behavior.
Book Synopsis Correlation Risk Modeling and Management by : Gunter Meissner
Download or read book Correlation Risk Modeling and Management written by Gunter Meissner and published by John Wiley & Sons. This book was released on 2013-12-19 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
Book Synopsis Modelling Single-name and Multi-name Credit Derivatives by : Dominic O'Kane
Download or read book Modelling Single-name and Multi-name Credit Derivatives written by Dominic O'Kane and published by John Wiley & Sons. This book was released on 2011-03-08 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
