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From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts

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Oxford Handbook of Credit Derivatives - Oxford Handbooks ~ From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities .

The Oxford Handbook of Credit Derivatives / Alexander ~ The Oxford Handbook of Credit Derivatives Alexander Lipton , Andrew Rennie From the late nineties, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modeling analysing the credit risk embedded in these contracts.

The Oxford Handbook of Credit Derivatives - Google Books ~ From the late nineties, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities .

The Oxford Handbook of Credit Derivatives - Paperback ~ From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities .

The Oxford Handbook Of Credit Derivatives Oxford Handbooks ~ the oxford handbook of credit derivatives oxford handbooks in finance Oct 09, 2020 Posted By Arthur Hailey Publishing TEXT ID 269505bb Online PDF Ebook Epub Library finance by unknown reprint edition 2013 books ca the oxford handbook of credit derivatives oxford handbooks english edition ebook alexander lipton andrew

The Oxford Handbook of Credit Derivatives - Hardcover ~ From the late nineties, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modeling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modeling, covering statistical analysis and techniques, modeling of default of both single and multiple entities .

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: The Oxford Handbook of Credit Derivatives ~ This handbook provides valuable insights to practitioners, regulators and scholars involved with credit derivatives credit risk management and will doubtlessly become a reference on this topic. - Rama Cont, Associate Professor, Columbia University, New York. This book provides a wide-ranging survey of the state-of-the-art of credit derivatives.

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