The Oxford Handbook of Credit Derivatives

by Alexander Lipton and Andrew Rennie

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 0199669481
• ISBN13: 9780199669486
• Release Date: January 2013
• Publisher: Oxford University Press, USA
• Length: 704 Pages
• Weight: 2.55 lbs.
• Dimensions: 1.6" x 6.7" x 9.6"