This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and meas

Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.

Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-grow

Updated coverage of structured credit products with in-depth coverage of the latest developments Structured credit products are one of today's fastest growing i

A cutting-edge text on credit portfolio management Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and manag