Structured Credit Portfolio Analysis, Baskets
Publisher:TF-CHPMN (2006-09-29) | ISBN-10: 1584886471 | PDF | 6.3 Mb | 376 pages
Written from the perspective of practitioners who apply mathematical concepts to structured credit products, this critically acclaimed work starts with a brief wrap-up on basic concepts of credit risk modeling and then quickly moves on to more advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches. The text is written in a self-contained style so readers with a basic understanding of probability will have no difficulties following. In addition, many examples and calculations have been included to keep the discussion close to business applications. Echoing other reviews, Contingency Analysis says, "the book is a goldmine…. There is no other resource like it."