Modelling Single-name and Multi-name Credit Derivatives (The Wiley Finance Series) |  | Author: Dominic O'Kane
Publisher: Wiley
Category: Book
List Price: $140.00
Buy New: $74.99
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Rating:  3 reviews
Sales Rank: 56753
Media: Hardcover
Pages: 514
Number Of Items: 1
Shipping Weight (lbs): 2.5
Dimensions (in): 9.8 x 6.9 x 1.3
ISBN: 0470519282
Dewey Decimal Number: 332.6457
EAN: 9780470519288
ASIN: 0470519282
Publication Date: August 25, 2008
Availability: Usually ships in 1-2 business days
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Product Description
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 is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. 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.
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| Customer Reviews:
 The best all around book on credit derivatives so far March 1, 2010
A. Vorobyev
The book strikes a perfect balance between theory and practice, and is the most comprehensive guide of the field written so far. Highly recommend to anyone who wants to get understanding of the credit products for trading or modeling.
Review of O'Kane's Modeling Credit Derivatives June 7, 2010
T. K. Hin (KL, Malaysia)
The author's(O'Kane) exposition of the subject matter is lucid and very well structured.
There is a good balance between theory and the practical aspects in the subject matter.
Usually, there is a divergence between theory and practice, but O'Kane addresses these divergences well i.e. MTM,risk management & hedging of CDS contracts (and its variations)
O'Kane successully simplifies the complex into the simple with clear, concise language in a structured, logical manner without bombarding the reader with complicated mathematical proof/ambiguous logical arguments i.e. why a one-factor latent variable model is insufficient to model the correlation structure of an n-name portfolio etc..
I believe the dilligent reader can eventually develop his/her own intuition and can understand the logic behind the structure of the equations
Before graduating to the current literature of credit derivatives, this book provides a very strong foundation to build upon.
Personally, I prefer O'Kane's pedagogical style/treatment of the subject matter (credit derivatives) over Hull/White's treatment in their classic "Options, Futures and Other Derivatives"
This book has given me a better, clearer and more structured understanding of credit derivatives in general.
Hopefully O'Kane can write a book along similar lines for the other asset classes ie interest rate/fx.
 Best Book on Credit Derivatives September 10, 2009
ccw (NYC)
This is the most complete and mathmatically rigorous treatment of any of the dozens of books out there on credit derivatives. The math is graduate level, but doesn't inhibit a determined read for the underlying concepts. Only quibble is that the author sometimes gets lost in the academic treatment of various correlation models and loses a reader more focused on practical market applications. Overall, this should be required reading for anyone interested in credit derivatives.
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