Modelling Single-name and Multi-name Credit Derivatives
“This book provides a unique, in-depth and comprehensive analysis of the modelling issues faced by credit modellers in the credit derivatives market.”—Frank J. Fabozzi, PhD, CFA, Professor in the Practice of Finance, Yale School of ManagementDominic O'Kane's many years of practical experience in credit derivative markets are evident everywhere in this well-rounded, lucid, and informative book. The author does an admirable job of covering both basic and advanced topics, throughout emphasizing substance over technicalities. The product coverage of the text is extensive, with virtually all practically relevant credit derivatives carefully described and analyzed. Both beginners and seasoned pros can learn from O’Kane’s insights and his book deserves a wide readership. Highly recommended.”—Leif Andersen, Head of Quantitative Research, Banc of America Securities