Fixed Income Securities and Derivatives Handbook: Analysis and Valuation
Автор:Moorad Choudhry Год: 2005 Издание:Bloomberg Press Страниц: 384 ISBN: 1576601641 Written by professionals for professionals, Credit Derivative Strategies is an in-depth, comprehensive guide to investing with credit derivatives. Emphasizing real-world applications, the contributors cover three broad topics: - investment strategies currently used by institutional investors and hedge funds, including ways to find opportunities in relative value, distressed debt, and synthetic collateralized debt obligations (CDOs). - risk management strategies designed to construct and optimize portfolios containing complex credit derivatives, including up-to-date techniques for evaluating event risk. - pricing and valuation of credit default swaps, CDOs, and other products, including variations of time-to-default copula models. These investment, risk management, and pricing strategies will keep experienced derivatives traders ahead of the curve. A special section describing the mechanics of twenty-two credit products will orient those new to the rapidly...
