Oxford Handbook of Credit Derivatives

Erscheinungsjahr 2011
ISBN: 978-0-19-954678-7
Verlag: OUP Oxford

Buch, Englisch, 704 Seiten, Format (B × H): 175 mm x 250 mm, Gewicht: 1373 g

Reihe: Oxford Handbooks

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.

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.

Zielgruppe

Graduates and researchers in statistics, economics, business, management science, banking, and finance, and practitioners, quantitative analysts, and credit traders.

Autoren/Hrsg.

Lipton, Alexander

Rennie, Andrew

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik

Inhaltsverzeichnis

Part I: Introduction
1: Gillian Tett: Non-technical Introduction
2: Alexander Lipton & 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 Adjustment in the Extended Structural Default Model
Part IV: Beyond Normality
13: Elie Ayache: A New Philosophy of the Market
14: Valerie Chavez-Demoulin and Paul Embrechts: An EVT Primer for Credit Risk
15: Richard J. Martin: Saddlepoint Methods in Portfolio Theory
Part V: Securitzation
16: Alexander Batchvarov: Quantitative Aspects of the Collapse of the Parallel Banking System
17: Alexander Levin: Home Price Derivatives and Modelling
18: Julian Manzano, Vladimir Kamotski, Umberto Pesavento and Alexander Lipton: A Valuation Model for ABS CDOs

Über Autor(innen)

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.