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Zusatztext This book provides a wide-ranging survey of the state-of-the-art of credit derivatives. Including contributions from leading practitioners, academics and commentators it describes the theory and practice of these instruments which have reshaped the financial industry in recent years and which have been at the centre of the credit crisis and subsequent banking crises. The material is treated in a technically sophisticated way and covers statistical issues, modelling of single and multi-name credits, counterparty risk, tail risk and securitization. An ideal primer and reference work which gives a comprehensive overview. Informationen zum Autor Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago. He has also worked at Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of three. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences worldwide.Andrew Rennie has spent sixteen years in finance, specialising in derivatives pricing and risk management. He has worked at UBS, Rabobank International, and Merrill Lynch, where he managed all quantitative and modelling activity in derivatives across fixed income, credit, foreign exchange, commodities, and equities globally. He retired from Merrill Lynch in 2009 to advise on pricing and risk issues to governments, regulators, banks, and hedge funds. He graduated with a First in Mathematics from Cambridge University and published papers in Mathematical Chemistry on the properties of one-dimensional inclusion compounds. He co-authored a textbook on derivative pricing- Financial Calculus- and has also co-edited Credit Correlation - Life after Copulas. Klappentext 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. Zusammenfassung 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. Inhaltsverzeichnis Part I: Introduction 1: Gillian Tett: Non-technical Introduction 2: Alexander Lipton and Andrew Rennie: Technical Introduction Part II: Statistical Overview 3: Edward I. Altman: Default Recovery Rates and LGD in Credit Risk Modelling and Practice 4: Arthur M. Berd: A Guide to Modelling Credit Term Structures 5: Zhen Wei: Statistical Data Mining Procedures in Generalized Cox Regressions Part III: Single and Multi-name Theory 6: Lutz Schloegl: An Exposition of CDS Market Models 7: Alexander Lipton and David Shelton: Single and Multi-name Credit Derivatives: Theory and Practice 8: Youssef Elouerkhaoui: Marshall-Olkin Copula Based Models 9: Mark H. A. Davis: Contagion Models in Credit Risk 10: Tomasz R. Bielecki, Stephane Crepey and Alexander Herbertsson: Markov Chain Models of Portfolio Credit Risk 11: Jon Gregory: Counterparty Risk in Credit Derivative Contracts 12: Alexander Lipton and Artur Sepp: Credit Value ...
