Rösch / Scheule Credit Securitisations and Derivatives

Challenges for the Global Markets
2. Auflage 2013
ISBN: 978-1-119-96604-3
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 464 Seiten, E-Book

Reihe: Wiley Finance Series

A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management
Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.

Autoren/Hrsg.

Rösch, Daniel

Scheule, Harald

Über Autor(innen)

Daniel Röschis Professor of Finance and Head of theInstitute of Banking and Finance at Leibniz UniversitätHannover. He received a PhD from the University of Regensburg. Hiswork covers a broad range in Banking, Asset Pricing and EmpiricalFinance. He has published numerous articles on Risk Management,Credit Risk, Banking, Quantitative Finance and FinancialEconometrics in leading international journals. He has beenconducting research projects with supervising authorities and isconsulting financial institutions on risk management issues.
Harald Scheule is Associate Professor of Finance at theUniversity of Technology, Sydney. His expertise is in the area ofbanking, Financial Risk Measurement and Management, Insurance,Prudential Regulation, Securities Evaluation and StructuredFinance. He is a regional director of the Global Association ofRisk Professionals. His research work has been accepted forpublication in a wide range of journals including the EuropeanFinancial Management, International Review of Finance, Journal ofBanking and Finance, Journal of Financial Research, Journal of theOperational Research Society and The European Journal ofFinance. He has worked with prudential regulators of financialinstitutions and undertaken consulting work for a wide range offinancial institutions and service providers in Australia, Europeand North America.