The Oxford Handbook of Credit Derivatives

The Oxford Handbook of Credit Derivatives

by 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 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

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Overview

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 practicioners, credit

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Product Details

ISBN-13:
9780199546787
Publisher:
Oxford University Press, USA
Publication date:
03/22/2011
Series:
Oxford Handbooks Series
Pages:
736
Product dimensions:
6.80(w) x 9.80(h) x 1.90(d)

Table of Contents

Part I: Introduction
1. Non-technical Introduction, Gillian Tett
2. Technical Introduction, Alexander Lipton & Andrew Rennie
Part II: Statistical Overview
3. Default Recovery Rates and LGD in Credit Risk Modelling and Practice, Edward I. Altman
4. A Guide to Modelling Credit Term Structures, Arthur M. Berd
5. Statistical Data Mining Procedures in Generalized Cox Regressions, Zhen Wei
Part III: Single and Multi-name Theory
6. An Exposition of CDS Market Models, Lutz Schloegl
7. Single and Multi-name Credit Derivatives: Theory and Practice, Alexander Lipton and David Shelton
8. Marshall-Olkin Copula Based Models, Youssef Elouerkhaoui
9. Contagion Models in Credit Risk, Mark H. A. Davis
10. Markov Chain Models of Portfolio Credit Risk, Tomasz R. Bielecki, Stephane Crepey and Alexander Herbertsson
11. Counterparty Risk in Credit Derivative Contracts, Jon Gregory
12. Credit Value Adjustment in the Extended Structural Default Model, Alexander Lipton and Artur Sepp
Part IV: Beyond Normality
13. A New Philosophy of the Market, Elie Ayache
14. An EVT Primer for Credit Risk, Valerie Chavez-Demoulin and Paul Embrechts
15. Saddlepoint Methods in Portfolio Theory, Richard J. Martin
Part V: Securitzation
16. Quantitative Aspects of the Collapse of the Parallel Banking System, Alexander Batchvarov
17. Home Price Derivatives and Modelling, Alexander Levin
18. A Valuation Model for ABS CDOs, Julian Manzano, Vladimir Kamotski, Umberto Pesavento and Alexander Lipton

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