Structured Credit Portfolio Analysis Baskets and CDOs

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.