Credit Derivatives Pricing Models: Models, Pricing and Implementation (Anglais) Relié – 16 mai 2003
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Descriptions du produit
Présentation de l'éditeur
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.
Quatrième de couverture
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
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Commentaires client les plus utiles sur Amazon.com (beta)
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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