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The Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie

Additional Titles
Credit derivatives
Published
Oxford ; New York : Oxford University Press, 2011.
Physical Description
1 online resource (xxvi, 677 pages) : illustrations
Additional Creators
Lipton, Alexander and Rennie, Andrew, 1968-
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Series
Contents
Non-Technical Introduction / Gillian Tett -- Technical Introduction / Alexander Lipton -- Default Recovery Rates and LGD in Credit Risk Modelling and Practice / Edward I. Altman -- A Guide to Modelling Credit Term Structures / Arthur M. Berd -- Statistical Data Mining Procedures in Generalized Cox Regressions / Zhen Wei -- An Exposition of CDS Market Models / Lutz Schloegl -- Single- and Multi-Name Credit Derivatives: Theory and Practice / David Shelton -- Marshall-Olkin Copula-Based Models / Youssef Elouerkhaoui -- Contagion Models in Credit Risk / Mark H.A. Davis -- Markov Chain Models of Portfolio Credit Risk / Alexander Herbertsson -- Counterparty Risk in Credit Derivative Contracts / Jon Gregory -- Credit Value Adjustment in the Extended Structural Default Model / Artur Sepp -- A New Philosophy of the Market / Elie Ayache -- An EVT primer for credit risk / Paul Embrechts -- Saddlepoint Methods in Portfolio Theory / Richard J. Martin -- Quantitative Aspects of the Collapse of the Parallel Banking System / Alexander Batchvarov -- Home Price Derivatives and Modelling / Alexander Levin -- A Valuation Model for ABS CDOs / Alexander Lipton.
Summary
This handbook provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques modelling of default of both single and multiple entities counterparty risk, Gaussian and non-Gaussian modelling, and securitisation.
Subject(s)
ISBN
9780191648243 (electronic bk.)
0191648248 (electronic bk.)
9780191743580 (ebook)
0191743585 (ebook)
9780199546787
0199546789
Bibliography Note
Includes bibliographical references and indexes.
View MARC record | catkey: 43192324