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Credit Derivatives Pricing Models: Models, Pricing and Implementation [Anglais] [Relié]

Philipp J. Schönbucher

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Description de l'ouvrage

16 mai 2003 The Wiley Finance Series (Livre 235)
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real–world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.

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Descriptions du produit

Quatrième de couverture

Since its inception, the market for credit derivatives has shown impressive growth and is expected to hit a volume of more than $4.8 trillion by 2004. Credit derivatives have begun to transform modern banking; they have become a standard instrument for the management of default risk; they are being used for risk management and hedging as well as for speculation, balance–sheet management and regulatory capital purposes. Despite their great usefulness, even established professionals often feel insecure when it comes to the quantitative analysis of the prices and risks of credit derivatives. Confronted with a bewildering variety of fundamentally different pricing approaches, it can be very challenging to understand their relative advantages and disadvantages and to choose the "correct" one for the problem at hand. In this book, the author carefully explains the different pricing models for credit derivatives in a very application–oriented way. Based on his wide experience in professional training for credit derivatives analysis, the models are developed with a view to their application to real pricing problems rather than just presenting the theory. Philipp Schönbucher is one of the most talented researchers of his generation. He has taken the Credit Derivatives world by storm. In this book he carefully explains the concepts and the mathematics behind all of the most important and popular credit risk models. Professor Schönbucher has filled an important gap on the quantitative finance bookshelf. –Paul Wilmott The reader is presented with a clear, concise and readable treatment of credit pricing models that will appeal to practitioners and academics. It provides a useful roadmap to the many daily challenges that face practitioners. It will become a standard reference. –Stuart M. Turnbull, Senior Vice President, Fixed Income Research, Lehman Brothers, NY "This is the most comprehensive, and also the clearest, book on the details of constructing credit risk models that I have read. Throughout, it is directly useful for general value–at–risk credit modelling as well as its stated focus of credit derivatives. Readability is greatly enhanced by its step–by–step organization across what has grown to be a large topic area and the focus of its single author, as opposed to a collection of disjointed papers. Alternative modelling frameworks are written in a common notation and the reader is given all the details needed for direct implementation. The author, Philipp Schönbucher, is clearly one of the top researchers in this area, even before the writing of this book." –Greg M Gupton, DefaultRisk.com "Philipp addresses a wide range of modelling issues in the fast growing market of credit derivatives. He covers a broad spectrum of topics starting with the simple everyday trading tools while gradually building up to the more complex mathematical models. It successfully bridges the gap between academia and practice in an elegant and easy style, making it a valuable book for a wide audience"  –Ebbe Rogge, Product Development Group, Financial Markets, ABN AMRO

Biographie de l'auteur

PHILIPP J. SCHÖNBUCHER is Assistant Professor for Risk Management in the Mathematics Department at ETH Zurich. He has been an active researcher in the areas of credit risk modelling and credit derivatives pricing for the past seven years. His contributions include models for the term structure of credit spreads and the dynamic copula–approach for portfolio credit risk. Through his activities in training and consulting on credit derivatives he has gained valuable insights into the usability, strengths and weaknesses of the different credit derivatives pricing models in a practical context. Dr. Schönbucher holds a M.Sc. in mathematics from Oxford University, and diploma and a Ph.D in economics from Bonn University.

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Dans ce livre (En savoir plus)
Première phrase
The market for credit derivatives is young, and the traded risks vary a lot in size, quality and structure. Lire la première page
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Couverture | Copyright | Table des matières | Extrait | Index | Quatrième de couverture
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Amazon.com: 3.2 étoiles sur 5  10 commentaires
12 internautes sur 14 ont trouvé ce commentaire utile 
3.0 étoiles sur 5 Amongst the best of a bad lot 9 juin 2004
Par Un client - Publié sur Amazon.com
Format:Relié|Achat vérifié
The state of theory is in such tremendous flux at present with a majority of research unpublished and a growing consensus that the state of the art is entirely inadequate. No book could possibly please industry researchers at this point, but Philipp contributes some ideas and clarification here and there and some leads which are valuable. He is perhaps a little dismissive and pessimistic when the theory wanders into hard mathematical problems, and to to a large extent his book ends where the fun stuff begins. Nontheless I would recommend, especially to those entering the field.
9 internautes sur 11 ont trouvé ce commentaire utile 
5.0 étoiles sur 5 Informative, Rigorous, Excellent 17 octobre 2003
Par Un client - Publié sur Amazon.com
Format:Relié|Achat vérifié
The book covers the basics of credit risk modeling and derivative pricing (both structural and intensity type of models), explained in a clear style with enough detail to enable implementation (a rarity in financial literature!). Basics of the theory of stochastic processes and risk-neutral pricing are also covered. Calibration methods for the models are clearly explained. Due to the limited scope, some topics are given only cursory coverage (Copula function methods, role of interest-rates models etc.), but even then, enough references are provided. A very useful, concisely written tome!
5 internautes sur 6 ont trouvé ce commentaire utile 
4.0 étoiles sur 5 Excellent intermediate book 19 octobre 2005
Par agis - Publié sur Amazon.com
Format:Relié
The book is a look at credit risk through the glasses of mathematics, and is not a beginner's book. It is a bit dry in the beginning, yet after that I discovered lots of valuable intuitive explanations. While it does require a certain level of probability knowledge, the author walks you through most necessary steps for the presented models. The book covers almost everything needed for an intermediate course on credit modelling. The lack of numerical implementation menthods took the last star.
6 internautes sur 8 ont trouvé ce commentaire utile 
4.0 étoiles sur 5 Very Detailed 25 juillet 2003
Par Un client - Publié sur Amazon.com
Format:Relié
A very useful text for those who need to understand how to implement a model. In finance, notation and concepts vary widely across different authors and it is often uncertain what the equations behind the model mean. It is helpful to be able to walk through Schonbucher's detailed explanations of assumptions and key ideas within each alternative model choice. His writing in this book is clearer than his earlier papers.
4.0 étoiles sur 5 Good Introduction to Credit Math 7 mai 2010
Par Yogishwar - Publié sur Amazon.com
Format:Relié|Achat vérifié
Overall this is a good book for an introduction to the mathematics behind credit derivatives. The mathematics exposition was extensive and fairly well written. However, the notation and definitions could use a glossary or better indexing.

Note, the text does not make any detailed mention of products actually trading on the street. On the other hand, one only needs to understand concepts for classes of similar products.

My real criticism is that the coverage of correlation and correlation products is lacking. Credit markets and correlation products in particular, have evolved quite a bit since this book was published A second volume or additional chapters on these topics are needed.
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