Structured Credit Products [Hardback]Pricing, Rating, Risk Management and Basel IIby William Perraudin (Editor)
In stock, usually dispatched within 24 hours Description of Structured Credit ProductsComprising chapters written by leading industry participants, regulators and academics active within the market, this sophisticated and time-saving text enables you to fully understand the pricing, rating and regulation of structured products. And to bring you fully up-to-date, the book concludes with a highly topical and definitive analysis of the very latest Basel proposals as they relate to structured exposures:- Will help you make sense of the rapidly expanding market with in-depth guidance on the various new and novel types of structure - Specifically commissioned to benefit any practitioner working within the structured products market, including investors, asset managers, banks, regulators and those involved in credit derivatives - Particularly timely, the volume has been published to coincide with the results of the long-running development of the Basel Committee's proposals for securitisation exposures - ensuring you benefit from the most current and relevant insight and analysis - Each of the book's four main sections - pricing, rating, risk management and regulation - are written by the top experts in the field who provide a high level of expertise, to explain very specific areas within the market in greater detail than has previously been published Title Information
Write a review of this book Customer Reviews from AmazonContents of Structured Credit ProductsSection 1: Pricing1. A Survey of Dependency Modelling: Copulas, Tail Dependence and Estimation Rüdiger Kiesel; Rafael Schmidt University of Ulm; LSE 2. Pricing European Structured Product Securities Alexander Batchvarov Merrill Lynch 3. On Correlation in Intensity Models David Lando Copenhagen Business School Section 2: Rating 4. Rating Transitions in Global Structured Finance Jian Hu Moody's Investors Service 5. Credit Risk Analysis and Structured Finance Ratings: Qualitative and Quantitative Methods Kai Gilkes, Nobert Jobst Standard and Poor's 6. CDOs and Correlation Analysis Richard V. Hrvatin, Matthias Neugebauer Fitch 7. The Impact of Credit Rating Changes on the Pricing of Asset-Backed Securities John Ammer, Nathanael Clinton Federal Reserve Board Section 3: Risk Management 8. A Survey of CDOs and Their Use in Bank Balance Sheet Management Domenico Picone Royal Bank of Scotland 9. Asymptotic Model of Economic Capital for Securitisations Michael Pykhtin KeyCorp 10. A Comparative Analysis of CDO Risk Models Olivier Renault; Tom Dewyspelaere, João B.C. Garcia Standard and Poor's; Dexia Group 11. Patterns of Risk Diversification in a Securitisation Jeroen de Smet, Viktor Tchistiakov ING Group 12. How Risky are Structured Exposures Compared with Corporate Bonds? William Perraudin; Astrid Van Landschoot Imperial College and Bank of England; National Bank of Belgium Section 4: Basel II 13. Model Foundations for the Supervisory Formula Approach Michael Gordy Federal Reserve Board 14. Capital for Structured Products Vlad Peretyatkin; William Perraudin Birkbeck College; Imperial College and Bank of England 15. An Empirical Test of Basel Risk Weights Applied to Securitisation Alexander Batchvarov; Domenico Picone; Peter-Paul Hoogbruin; Jeroen de Smet; Viktor Tchistiakov Merrill Lynch; Royal Bank of Scotland; ING Group 16. The IRBA treatment of Purchased Receivables Ruediger Gebhard BaFin |
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