Adjoint credit risk management

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CLICK HERE TO VIEW THE PDF The aftermath of the recent financial crisis has seen a dramatic shift in the credit derivatives markets, with a conspicuous reduction in demand for complex, capital-intensive products, such as bespoke collateralised debt obligations (CDOs), and a renewed focus on simpler and more liquid derivatives, like credit default indexes and swaptions (Curien 2006; Pengelly 2010).