risk-management of credit derivatives. Itis both a detailed introduction to credit derivative modelling anda reference for those who are already practitioners. This book is up-to-date as it covers many of the importantdevelopments which have occurred in the credit derivatives marketin the past 4-5 years. These include the arrival of the CDSportfolio indices and all of the products based on these indices.In terms of models, this book covers the challenge of modellingsingle-tranche CDOs in the presence of the correlation skew, aswell as the pricing and risk of more recent products such asconstant maturity CDS, portfolio swaptions, CDO squareds, creditCPPI and credit CPDOs.

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