Credit Risk
Modelling Single-name and Multi-name Credit Derivatives

Authors: Dominic O'Kane
Editions: Wiley Finance
Pages: 514 pages
Date: July 2008
Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. This book covers many of the important developments which occurred in the credit derivatives market between 2001 and 2008. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.

About the Author:

Dominic O'Kane is a specialist in credit modelling, derivative pricing and risk-management. He spent over 12 years working in the finance industry first at Salomon Brothers and then Lehman Brothers. When he left in 2006 he was head of quantitative research and led the team of over 20 Ph.D. researchers. He has taught at the London Business School and the University of Oxford. He wrote Modelling Single-Name and Multi-name Credit Derivatives (published in 2008 by Wiley Finance) and has contributed to several major industry texts including the Handbook of Fixed Income Securities. He also publishes in international finance journals. He has a doctorate in theoretical physics from the University of Oxford.

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