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The Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie.

Contributor(s): Material type: TextTextSeries: Oxford handbooks in financePublisher: Oxford ; New York : Oxford University Press, 2011Description: 1 online resource (xxvi, 677 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9780191648243 (electronic bk.)
  • 0191648248 (electronic bk.)
Other title:
  • Credit derivatives
Subject(s): Genre/Form: Additional physical formats: Print version:: Oxford handbook of credit derivativesDDC classification:
  • 332.6457015118 22
LOC classification:
  • HG6024.A3 O94 2011eb
Online resources:
Contents:
pt. I INTRODUCTION -- 1.Non-Technical Introduction / Gillian Tett -- 2.Technical Introduction / Alexander Lipton -- pt. 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 -- pt. 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 / 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 / Alexander Herbertsson -- 11.Counterparty Risk in Credit Derivative Contracts / Jon Gregory -- 12.Credit Value Adjustment in the Extended Structural Default Model / Artur Sepp -- pt. IV BEYOND NORMALITY -- 13.A New Philosophy of the Market / Elie Ayache -- 14.An EVT primer for credit risk / Paul Embrechts -- 15.Saddlepoint Methods in Portfolio Theory / Richard J. Martin -- pt. V SECURITIZATION -- 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 / Alexander Lipton.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Business Available
Total holds: 0

Includes bibliographical references and indexes.

pt. I INTRODUCTION -- 1.Non-Technical Introduction / Gillian Tett -- 2.Technical Introduction / Alexander Lipton -- pt. 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 -- pt. 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 / 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 / Alexander Herbertsson -- 11.Counterparty Risk in Credit Derivative Contracts / Jon Gregory -- 12.Credit Value Adjustment in the Extended Structural Default Model / Artur Sepp -- pt. IV BEYOND NORMALITY -- 13.A New Philosophy of the Market / Elie Ayache -- 14.An EVT primer for credit risk / Paul Embrechts -- 15.Saddlepoint Methods in Portfolio Theory / Richard J. Martin -- pt. V SECURITIZATION -- 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 / Alexander Lipton.

Description based on print version record.

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