04196cam a22003135a 45000010009000000050017000090080041000260200018000670400043000850820028001282450095001562460023002512600046002743000035003204900032003555040053003875051061004405200952015015200900024535200162033536500077035156510010035926530037036027000040036397000029036799420008037089990017037169520149037331779497320160215121923.0130628s2013    enka   frbf  f001 0 eng d  a9780199669486  aDLCbengcDLCdDLCdEG-ScBUEdEG-ScBUE04a332.6457015118bOXF22204aThe Oxford handbook of credit derivatives /cedited by Alexander Lipton and Andrew Rennie.30aCredit derivatives  aOxford :bOxford University Press,c2013.  axxvi, 677 p. :bill. ;c24 cm.0 aOxford handbooks in finance  aIncludes bibliographical references and indexes.0 aPART I: INTRODUCTION -- 1. Non-technical Introduction -- 2. Technical Introduction -- PART II: STATISTICAL OVERVIEW -- 3. Default Recovery Rates and LGD in Credit Risk Modelling and Practice -- 4. A Guide to Modelling Credit Term Structures -- 5. Statistical Data Mining Procedures in Generalized Cox Regressions -- PART III: SINGLE AND MULTI-NAME THEORY -- 6. An Exposition of CDS Market Models -- 7. Single and Multi-name Credit Derivatives: Theory and Practice -- 8. Marshall-Olkin Copula Based Models -- 9. Contagion Models in Credit Risk -- 10. Markov Chain Models of Portfolio Credit Risk -- 11. Counterparty Risk in Credit Derivative Contracts -- 12. Credit Value Adjustment in the Extended Structural Default Model -- PART IV: BEYOND NORMALITY -- 13. A New Philosophy of the Market -- 14. An EVT Primer for Credit Risk -- 15. Saddlepoint Methods in Portfolio Theory -- PART V: SECURITZATION -- 16. Quantitative Aspects of the Collapse of the Parallel Banking System -- 17. Home Price Derivatives and Modelling -- 18. A Valuation Model for ABS CDOs.8 aFrom 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.8 aOne 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.8 aThis book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts. 0aCredit derivativesxMathematical modelsvHandbooks, manuals, etc.2BUEsh  2BUEsh  bBUSADMcAugust2015cFebruary20161 aLipton, Alexander, eeditor.9393471 aRennie, Andrew,eeditor.  2ddc  c20626d20598  00102ddc40708BaccahaMAINbMAINc1STd2015-08-19ePurchaseg717.00h21758l0o332.6457015118 OXFp000039773r2025-07-15 00:00:00v896.25yBB