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Overview
This comprehensive text provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes. The book: emphasizes fixed income instruments rather than loans, where stochastic future exposures are modelled accurately; examines loans, credit derivatives, interest rate derivatives with risky counterparties and convertible bonds; provides a thorough analysis of the pricing and hedging of basket credit derivatives and other credit contingent products; adapts credit derivative modelling techniques in order to price and hedge the credit component in fixed income derivatives; provides a practical discusssion of market frictions that impact credit trading; illustrates complex theoretical issues with a high number of examples, tables and figures that have been designed with the practitioner in mind; and discusses proofs and technicalities in the appendix of each chapter.
| ISBN-13 | 9781899332731 |
|---|---|
| ISBN-10 | 1899332731 |
| Weight | 2.14 Pounds |
| Dimensions | 6.10 x 1.18 x 9.25 In |
| List Price | $194.00 |
| Format | Hardcover |
|---|---|
| Pages | 422 pages |
| Publisher | Risk Publications |
| Published On | 2001-01-05 |
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