Elsevier Butterworth-HeinemannLinacre House, Jordan Hill, Oxford OX2 8DP
200 Wheeler Road, Burlington, MA 01803
ISBN 0 7506 5667 0
Copyright © 2004, Andrew Kimber. All rights reserved
Book Description,
The last few years have seen enormous change within the credit markets posing considerable challenges to the author. Not least amongst these is to distinguish between long-term structures and short-term trends. In particular, we have recently seen concerted efforts to develop a secondary market in tranched products, together with any number of portfolio models to assess their risk characteristics. Rather the attempt has been to take a step back and to develop on themes common to all types of credit exposure. The convergence of the loan and traditional fixed income credit business, due in part to reasonable quantitative modelling, has made this a worthwhile exercise. Consequently, rather than elaborating upon disparate portfolio models the text focuses on underlying structural models and their application within the industry.
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The last few years have seen enormous change within the credit markets posing considerable challenges to the author. Not least amongst these is to distinguish between long-term structures and short-term trends. In particular, we have recently seen concerted efforts to develop a secondary market in tranched products, together with any number of portfolio models to assess their risk characteristics. Rather the attempt has been to take a step back and to develop on themes common to all types of credit exposure. The convergence of the loan and traditional fixed income credit business, due in part to reasonable quantitative modelling, has made this a worthwhile exercise. Consequently, rather than elaborating upon disparate portfolio models the text focuses on underlying structural models and their application within the industry.
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