INTRODUCTION v
Chapter 1
Overview of the Structured Credit Markets by
Alexander Batchvarov 1
Chapter 2
Univariate Risk Assessment by Arnaud de Servigny and
Sven Sandow 29
Chapter 3
Univariate Credit Risk Pricing by Arnaud de Servigny and
Philippe Henrotte 91
Chapter 4
Modeling Credit Dependency by Arnaud de Servigny 137
Chapter 5
Rating Migration and Assset Correlation by
Astrid Van Landschoot and Norbert Jobst 217
Chapter 6
CDO Pricing by Arnaud de Servigny 239
Chapter 7
An Introduction to the CDO Risk Management by
Norbert Jobst 295
Chapter 8
A Practical Guide to CDO Trading Risk Management by
Andrea Petrelli, Jun Zhang, Norbert Jobst, and
Vivek Kapoor 339
Chapter 9
Cash and Synthetic CDOs by Olivier Renault 373
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Chapter 10
The CDO Methodologies Developed by Standard
and Poor’s 397
Chapter 11
Recent and Not So Recent Developments in Synthetic
CDOs by Norbert Jobst 465
Chapter 12
Residential Mortgage-Backed Securities by Varqa Khadem and
Francis Parisi 543
Chapter 13
Covered Bonds by Arnaud de Servigny and
Aymeric Chauve 593
Chapter 14
An Overview of Structured Investment Vehicles and Other
Special Purpose Companies by Cristina Polizu 621
Chapter 15
Securitizations in Basel II by William Perraudin 675
Chapter 16
Secritization in the Context of Basel II by
Arnaud de Servigny 697
BIOGRAPHIES 759
INDEX 765