Mathematics, Finance and Risk: Series Number 7 Synthetic CDOs: Modelling, Valuation and Risk Management

Mathematics, Finance and Risk: Series Number 7 Synthetic CDOs: Modelling, Valuation and Risk Management

By: C. C. Mounfield (author)Hardback

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Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance landscape, readers are introduced tothe basic modelling concepts necessary to model and value simple credit derivatives. The modelling, valuation and risk management of synthetic CDOs are described and a detailed picture of the behaviour of these complex instruments is built up. The final chapters introduce more advanced topics such as portfolio management of synthetic CDOs and hedging techniques. Detailing the latest models and techniques, this is essential reading for quantitative analysts, traders and risk managers working in investment banks, hedge funds and other financial institutions, and for graduates intending to enter the industry. It is also ideal for academics who need to keep informed with current best practice in the credit derivatives industry.

About Author

C. C. Mounfield is a Director in the Model Validation team of Barclays Capital working on credit derivative models.


Acknowledgements; Dedication; Preface; 1. A primer on collateralised debt obligations; 2. The modelling of obligor default; 3. Valuation of credit default swaps; 4. Credit indices; 5. Valuation of default baskets; 6. Synthetic CDO valuation methodologies; 7. Phenomenology of the standard market model; 8. Risk quantification and sensitivities of synthetic CDOs; 9. Implied and base correlations; 10. Extensions of the standard market model; 11. Exotic CDOs; 12. Correlation trading of synthetic CDO tranches; 13. Risk management of a portfolio of synthetic CDOs; 14. Hedging simulation of structured credit products; A. Explanation of common notation; B. Simulated annealing; References.

Product Details

  • ISBN13: 9780521897884
  • Format: Hardback
  • Number Of Pages: 386
  • ID: 9780521897884
  • weight: 910
  • ISBN10: 0521897882

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