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

Format:

Book

Contributor:

Lipton, Alexander.

Rennie, Andrew, 1968-

Series:

Oxford handbooks in finance.

Oxford handbooks in finance

Language:

English

Subjects (All):

Credit derivatives--Mathematical models.

Credit derivatives.

Physical Description:

1 online resource (xxvi, 677 pages) : illustrations

Other Title:

Credit derivatives

Place of Publication:

Oxford : Oxford University Press, 2011.

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.

Contents:

Introduction: Non-technical introduction / Gillian Tett

Technical introduction / Andrew Rennie and Alexander Lipton.

Statistical overview: Default recovery rates and LGD In credit risk modelling and practice / Edward I. Altman

A guide to modelling credit term structures / Alexander Lipton and Andrew Rennie

Statistical data mining procedures in generalized Cox regressions / Zhen Wei.

Single and multi-name theory: An exposition of CDS market models / Lutz Schloegl

Single- and multi-name credit derivatives : theory and practice / Alexander Lipton and 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 / Tomasz R. Bielelcki, Stéphane Crépey, and Alexander Herbertsson

Counterparty risk in credit derivative contracts / Jon Gregory

Credit value adjustment in the extended structural default model / Alexander Lipton and Andrew Rennie.

Beyond normality: A new philosophy of the market / Élie Ayache

An EVT primer for credit risk / Valérie Chavez-Demoulin and Paul Embrechts

Saddlepoint methods in portfolio theory / Alexander Lipton and Andrew Rennie.

Securitization: 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 / Julian Manzano, Vladimir Kamotski, Umberto Pesavento, and Alexander Lipton.

Notes:

Includes bibliographical references and index.

Description based on print version record.

Description based on publisher supplied metadata and other sources.

ISBN:

9780191743580

0191743585

9780191648243

0191648248

OCLC:

1024285697