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The definitive guide to CDOs : market, application, valuation and hedging

Author: Gunter Meissner
Publisher: London : Risk Books, ©2008.
Edition/Format:   Print book : EnglishView all editions and formats

Suitable for those trying to understand the mechanics of Collateralised debt obligations (CDOs), this work provides an analysis concerning the CDO sector including: a comprehensive overview of the  Read more...


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Genre/Form: Aufsatzsammlung
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Gunter Meissner
ISBN: 9781906348014 1906348014
OCLC Number: 246904134
Description: xxxvii, 638 pages : illustrations ; 24 cm
Contents: Section 1: The CDO Market and Application1 The Evolution of CDOs - From the Bistro to CDO2Brenda Boultwood; Gunter Meissner2 The Application of CDOsGunter MeissnerSection 2: Basic Properties of CDO Valuation3 An Overview on Copula Function Methods in Credit Portfolio ModellingDavid Li4 The Underlying Dynamics of Credit CorrelationsArthur Berd; Robert Engle; Artem Voronov5 Dynamic Conditioning and Credit Correlation BasketsClaudio Albanese, Alicia Vidler6 Approaches to Generate the Loss Distribution Peter Grundke; Thomas Moosbrucker7 Modeling non-normal CDO returns with the Omega FunctionRanjan Bhaduri, Gunter MeissnerSection 3: CDO Valuation Approaches 8 The market standard model for valuing CDOs, the OFGC (one-factor Gaussian copula model) - Benefits and LimitationsGunter Meissner9 From implied correlation to base correlationJon Gregory10 Factor Models for CDO PricingLeif Andersen and Victor L. Piterbarg11 Levy Processes for the Valuation of CDO TranchesThomas Moosbrucker12 Markov Models for CDOsErik Schlogl13 CDOs-Squared: Time for an Autopsy?Michiko Whetten14 Constant Proportion Debt Obligation - An IntroductionMartin Hellmich, Stefan Kassberger15 A comparative analysis of CDO pricing modelsX. Burtschell; Jon Gregory; Jean-Paul Laurent16 CDO Valuation: Fact and FictionRobert A. Jarrow; Li Li, Mark Mesler, Donald R. van DeventerSection 4: Hedging of CDOs17 Hedging issues for CDOsAreski Cousin and Jean-Paul Laurent18 Hedging CDOs in the one-factor Gaussian copula frameworkGunter Meissne; Richard Hector, Thomas RasmussenSection 5: Rating approaches, Regulatory issues, and Model validation 19 A Comparative Analysis of Fitch's, Moody's, and Standard & Poor's CDO Rating ApproachesGunter Meissner, Tim Garnier, Tobias Laute20 The Treatment of CDOs in Basel IIMartin Brodka & Linda Urban21 Counterparty credit risk of CDO tranches under Basel II'sNiall Whelan 22 Model Validation and CDOs - An Overview of Requirements and MethodsGeorge NealSection 6: The Future of CDOs23 CDOs - Risks, Challenges and Market OutlookDavid M. Rowe; Cyril DeretzIndex
Responsibility: edited by Gunter Meissner.


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