The Oxford Handbook of Credit Derivatives
Series: Oxford Handbooks;
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Product details:
- Publisher OUP Oxford
- Date of Publication 17 January 2013
- ISBN 9780199669486
- Binding Paperback
- No. of pages704 pages
- Size 246x171 mm
- Weight 1238 g
- Language English
- Illustrations 134 Figures, 29 Tables 0
Categories
Short description:
Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation.
MoreLong description:
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. 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 practitioners, credit traders, and quantitative analysts
Review from previous edition If ever there was an area in quantitative finance that needed some penetrating light cast on it, it would be the arcane world of credit derivatives. This valuable collection of top-notch contributions from the foremost experts in the field does just that: it illuminates its subject with great clarity and breadth, and deserves to remain a standard reference for years to come. I commend the editors for their selection and organization of topics, and highly recommend this book
Table of Contents:
Part I: Introduction
Non-technical Introduction
Technical Introduction
Part II: Statistical Overview
Default Recovery Rates and LGD in Credit Risk Modelling and Practice
A Guide to Modelling Credit Term Structures
Statistical Data Mining Procedures in Generalized Cox Regressions
Part III: Single and Multi-name Theory
An Exposition of CDS Market Models
Single and Multi-name Credit Derivatives: Theory and Practice
Marshall-Olkin Copula Based Models
Contagion Models in Credit Risk
Markov Chain Models of Portfolio Credit Risk
Counterparty Risk in Credit Derivative Contracts
Credit Value Adjustment in the Extended Structural Default Model
Part IV: Beyond Normality
A New Philosophy of the Market
An EVT Primer for Credit Risk
Saddlepoint Methods in Portfolio Theory
Part V: Securitzation
Quantitative Aspects of the Collapse of the Parallel Banking System
Home Price Derivatives and Modelling
A Valuation Model for ABS CDOs
