内容

目次

Acknowledgements; Dedication; Preface; 1. A primer on collateraliseddebt obligations; 2. The modelling of obligor default; 3. Valuation of creditdefault swaps; 4. Credit indices; 5. Valuation of default baskets; 6.Synthetic CDO valuation methodologies; 7. Phenomenology of the standardmarket model; 8. Risk quantification and sensitivities of synthetic CDOs; 9.Implied and base correlations; 10. Extensions of the standard market model;11. Exotic CDOs; 12. Correlation trading of synthetic CDO tranches; 13. Riskmanagement of a portfolio of synthetic CDOs; 14. Hedging simulation ofstructured credit products; A. Explanation of common notation; B. Simulatedannealing; References.