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Product Identifiers
PublisherOxford University Press, Incorporated
ISBN-100199546789
ISBN-139780199546787
eBay Product ID (ePID)99630820
Product Key Features
Number of Pages736 Pages
Publication NameOxford Handbook of Credit Derivatives
LanguageEnglish
Publication Year2011
SubjectInvestments & Securities / Derivatives, General
TypeTextbook
Subject AreaMathematics, Business & Economics
AuthorAndrew Rennie
SeriesOxford Handbooks Ser.
FormatHardcover
Dimensions
Item Height1.7 in
Item Weight105.8 Oz
Item Length7 in
Item Width9.8 in
Additional Product Features
Intended AudienceScholarly & Professional
LCCN2013-370618
Dewey Edition22
ReviewsAlex Lipton and Andrew Rennie, seasoned and well-respected experts in the field, have done an excellent job of gathering contributions from some of the best experts in the field to provide a comprehensive overview of existing frameworks and directions of research in credit risk modeling. 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., If ever there was an area in quantitative finance that needed some penetrating light cast on it, it would be the arcane world of credit derivatives. This valuable collection of top-notch contributions from the foremost experts in the field does just that: it illuminates its subject with great clarity and breadth, and deserves to remain a standard reference for years to come. I commend the editors for their selection and organization of topics, and highly recommend this book., This book provides a wide-ranging survey of the state-of-the-art of credit derivatives. Including contributions from leading practitioners, academics and commentators it describes the theory and practice of these instruments which have reshaped the financial industry in recent years and which have been at the centre of the credit crisis and subsequent banking crises. The material is treated in a technically sophisticated way and covers statistical issues, modelling of single andmulti-name credits, counterparty risk, tail risk and securitization. An ideal primer and reference work which gives a comprehensive overview., "This book provides a wide-ranging survey of the state-of-the-art of credit derivatives. Including contributions from leading practitioners, academics and commentators it describes the theory and practice of these instruments which have reshaped the financial industry in recent years and whichhave been at the centre of the credit crisis and subsequent banking crises. The material is treated in a technically sophisticated way and covers statistical issues, modelling of single and multi-name credits, counterparty risk, tail risk and securitization. An ideal primer and reference work whichgives a comprehensive overview." --Martin Baxter, Nomura International, London
TitleLeadingThe
IllustratedYes
Dewey Decimal332.6457015118
Table Of ContentPart I: Introduction1. Non-technical Introduction2. Technical IntroductionPart II: Statistical Overview3. Default Recovery Rates and LGD in Credit Risk Modelling and Practice4. A Guide to Modelling Credit Term Structures5. Statistical Data Mining Procedures in Generalized Cox RegressionsPart III: Single and Multi-name Theory6. An Exposition of CDS Market Models7. Single and Multi-name Credit Derivatives: Theory and Practice8. Marshall-Olkin Copula Based Models9. Contagion Models in Credit Risk10. Markov Chain Models of Portfolio Credit Risk11. Counterparty Risk in Credit Derivative Contracts12. Credit Value Adjustment in the Extended Structural Default ModelPart IV: Beyond Normality13. A New Philosophy of the Market14. An EVT Primer for Credit Risk15. Saddlepoint Methods in Portfolio TheoryPart V: Securitzation16. Quantitative Aspects of the Collapse of the Parallel Banking System17. Home Price Derivatives and Modelling18. A Valuation Model for ABS CDOs
SynopsisFrom 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, 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 practicioners, credit traders, and quantitative analysts., 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, 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., 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, 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., 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.
LC Classification NumberHG6024.A3
