Title
The Oxford Handbook of Credit Derivatives (Oxford Handbooks in Finance),Used
Delivery time: 8-12 business days (International)
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 nonGaussian modelling, and securitisation. Both reducedform and firmvalue 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 firmvalue and reduced form models, and continuoustime Markov chains. One important case of multiple entities modelling counterparty risk in credit derivatives is further explored in two dedicated chapters. Alternative nonGaussian approaches to modelling are also discussed, including extremevalue theory and saddlepoint approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for assetbacked 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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We provide a 2-year limited warranty, from the date of purchase for all our products.
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This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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