Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie (Record no. 230772)
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fixed length control field | 02573nam a2200229Ia 4500 |
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control field | 20220511163034.0 |
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fixed length control field | 200208s9999 xx 000 0 und d |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 9780199546787 |
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 332.3 OXF |
100 ## - MAIN ENTRY--PERSONAL NAME | |
Personal name | Lipton, Alexander(ed.) |
245 #0 - TITLE STATEMENT | |
Title | Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie |
260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
Place of publication, distribution, etc. | New Delhi |
260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
Name of publisher, distributor, etc. | OUP |
260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
Date of publication, distribution, etc. | 2011 |
300 ## - PHYSICAL DESCRIPTION | |
Extent | 677 p. |
365 ## - TRADE PRICE | |
Price amount | 9000 |
365 ## - TRADE PRICE | |
Unit of pricing | RS |
520 ## - SUMMARY, ETC. | |
Summary, etc. | 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.<br/><br/>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. |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name entry element | Credit |
700 ## - ADDED ENTRY--PERSONAL NAME | |
Personal name | Rennie, Andrew (ed.) |
942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Koha item type | Books |
Source of classification or shelving scheme | Dewey Decimal Classification |
Withdrawn status | Lost status | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Cost, normal purchase price | Total checkouts | Full call number | Barcode | Date last seen | Cost, replacement price | Price effective from | Koha item type |
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Not Missing | Not Damaged | Gandhi Smriti Library | Gandhi Smriti Library | 2020-02-08 | 9000.00 | 332.3 OXF | 147590 | 2020-02-08 | 9000.00 | 2020-02-08 | Books |