Credit Securitizations and Derivatives: Challenges for the Global Markets

Credit Securitizations and Derivatives: Challenges for the Global Markets

Editor(s): Daniel Rösch, Harald Scheule

Published Online: 29 AUG 2013 08:40AM EST

Print ISBN: 9781119963967

Online ISBN: 9781118818503

DOI: 10.1002/9781118818503

About this Book

A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management

Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.

Table of contents

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  1. Part I: Introduction

  2. Part II: Credit Portfolio Risk Measurement

  3. Part III: Credit Portfolio Risk Securitization and Tranching

    1. Chapter 10

      Global Structured Finance Rating (pages 187–206)

      Henrik Jönsson, Francesca Di Girolamo, Wim Schoutens and Francesca Campolongo

  4. Part IV: Credit Derivatives

    1. Chapter 15

      CDS Industrial Sector Indices, Credit and Liquidity Risk (pages 307–323)

      Monica Billio, Massimiliano Caporin, Loriana Pelizzon and Domenico Sartore

  5. Part V: Regulation

    1. Chapter 18

      Regulating OTC Derivatives (pages 357–401)

      Viral V. Acharya, Or Shachar and Marti Subrahmanyam

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    1. You have free access to this content

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