The Art of Credit Derivatives PDF ePub eBook

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The Art of Credit Derivatives free pdf Looks at how some aspects of quantitative modelling led to the credit crisis. This book shows how a mind-shift is needed within the quant community to move from simple modelers to a more hands on mindset where the modeller understands trading implicitly.

About Joao Garcia

Joao Garcia is the Head of the Credit Modelling team at the Treasury and Financial Markets of Dexia Group in Brussels. His current work includes credit derivatives, securitization and structured products, correlation mapping of credit portfolios in indices, developing strategies and trading signals for credit derivatives indices and pricing distressed credit instruments. Prior to this he worked for four years on the construction of a grid system for strategic credit portfolio management of the whole Dexia Group. The aim of the system was to mange large portfolios of securitization notes. Additionally he has experience on methodologies to rate and price cash flow, CDOs, to allocate credit economic capital and to price exotic interest rate derivatives. he is an Electronic Eng. from Instituto Tecnologico de Aeronautica (ITA, Brazil), with a M.Sc. in Physics (UFPe, Brazil) and a Ph.D. in Physics (UA, Belgium). Serge Goossens is a senior quantitative analyst working on credit derivatives and correlation modelling in the Front Office of Dexia Bank. He has a vast experience with credit derivative instruments, both rating and pricing for hedging and trading. He has also focused on mark to model of hard to value distressed assets and on restructuring the capital structure of large portfolios. From his previous positions he has extensive expertise in parallel large scale numerical simulation of complex systems, ranging from computational fluid dynamics to electronics,. Serge holds a M.Sc. in Engineering and a Ph.D. from the faculty of Engineering of the K.U.Leuven and a Master of Financial and Actuarial Engineering degree obtained from the Leuven School of business and Economics. He has published a number of papers and he has presented at conferences world-wide.

Details Book

Author : Joao Garcia
Publisher : John Wiley
Data Published : 04 December 2009
ISBN : 0470747358
EAN : 9780470747353
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 250 pages
Age + : 15 years
Language : English
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