Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie (Record no. 230772)

MARC details
000 -LEADER
fixed length control field 02573nam a2200229Ia 4500
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20220511163034.0
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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
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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
Holdings
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
  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

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