Böcker av Christian Bluhm

Written from the perspective of practitioners who apply mathematical concepts to structured credit products, Structured Credit Portfolio Analysis starts with a brief wrap-up on basic concepts of credit risk modeling and then quickly moves on to more advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches. This unique critically acclaimed volume is written in a self-contained style so readers with a basic understanding of probability will have no difficulty following it. In addition, many examples and calculations have been included to keep the discussion close to business applications.

Presents basic concepts of credit risk modeling. This book also presents advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches.