Credit Correlation

Authored by noted expert on credit portfolios and correlation trading and frequent speaker on these topics at all the big quant conferences.

Tackles up-to-date credit and default correlation on the market.

Renewed interest in credit products, with leading investment house Blackrock leading the charge given challenging market conditions in other areas (e.g. bond trading).

Autorentext

Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit Quantitative Analysis at Citi. His group supports all modelling and product development activities for Credit Markets. This includes: Flow, Correlation, Options and Exotics, CDOs and Emerging Markets. He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for Structured Credit. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais Supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.

Youssef is author to numerous professional and academic research articles in mathematical finance for both professional and academic journals, contributed to the book 'Credit Correlation: Life After Copluas' (Lipton and Rennie) and is a regular speaker at all the major quantitative finance conferences, including Risk's Quant Europe, ICBI's Global Derivatives, and WBSs Fixed Income Conference .

Inhalt

Chapter 1 Credit Modelling Fundamentals - Filtrations, Point Processes and Intensities.- Chapter2 Expectations in the Enlarged Filtration - The Generalized Dellacherie Formula.- Chapter3 The Basics of Default Correlation Modelling.- Chapter4 Default Correlation Calibration - Link between Copulas and Conditional Jump Diffusions.- Chapter5 Correlation Demystified: A General Overview.- Chapter6 An Introduction to the Marshall-Olkin Copula.- Chapter7 Numerical Tools: Basket Asymptotic Expansions.- Chapter8 CDO-Squared: Correlation of Correlation.- Chapter9 Second Generation Models: From Flat Correlation to Correlation Skew.- Chapter10 Third Generation Models: From Static to Dynamic Models.- Chapter11 Pricing in a Dynamic Credit Model.- Chapter12 Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics.- Chapter13 Base Correlation Calibration with a Stochastic Recovery Model.- Chapter14 Hedging in Incomplete Credit Markets: JTD vs CR01.- Chapter15 New Frontiers in Credit Modelling: the CVA Challenge.