Credit Correlation: Life After Copulas

Name: Credit Correlation: Life After Copulas
Brand: World Scientific Publishing Company
SKU: 9789812709493
Price: 13554.0 INR
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by Alexander Lipton , Andrew Rennie

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ISBN13: 9789812709493
Binding: Hardcover
Subject: N/A
Publisher: World Scientific Publishing Company
Publisher Imprint: World Scientific Publishing Company
Publication Date: February 1, 2008
Pages: 176
Original Price: GBP 95.0
Language: English
Edition: N/A
Item Weight: 477 grams
BISAC Subject(s): Banks & Banking

About The Book

The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.

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