The Oxford Handbook of Credit Derivatives
The Oxford Handbook of Credit Derivatives
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.
Cite
Abstract
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 their 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 articles. 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. This book provides 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.
-
Front Matter
-
Part I Introduction
-
Part II Statistical Overview
-
Part 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
Alexander Lipton andDavid 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
Tomasz R. Bielelcki and others
-
11
Counterparty Risk in Credit Derivative Contracts
Jon Gregory
-
12
Credit Value Adjustment in the Extended Structural Default Model
Alexander Lipton andAndrew Rennie
-
6
An Exposition Of CDS Market Models
-
Part IV Beyond Normality
-
Part V Securitization
-
End Matter
Sign in
Personal account
- Sign in with email/username & password
- Get email alerts
- Save searches
- Purchase content
- Activate your purchase/trial code
- Add your ORCID iD
Purchase
Our books are available by subscription or purchase to libraries and institutions.
Purchasing informationMonth: | Total Views: |
---|---|
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 5 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 3 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 1 |
October 2022 | 3 |
October 2022 | 1 |
October 2022 | 1 |
November 2022 | 1 |
November 2022 | 2 |
November 2022 | 1 |
November 2022 | 3 |
November 2022 | 1 |
November 2022 | 1 |
November 2022 | 1 |
November 2022 | 2 |
November 2022 | 1 |
November 2022 | 2 |
November 2022 | 1 |
November 2022 | 2 |
December 2022 | 4 |
December 2022 | 3 |
December 2022 | 2 |
December 2022 | 3 |
December 2022 | 2 |
December 2022 | 3 |
December 2022 | 2 |
December 2022 | 4 |
December 2022 | 2 |
December 2022 | 2 |
December 2022 | 3 |
December 2022 | 2 |
December 2022 | 6 |
December 2022 | 2 |
December 2022 | 4 |
December 2022 | 4 |
December 2022 | 3 |
December 2022 | 4 |
December 2022 | 2 |
December 2022 | 2 |
December 2022 | 2 |
December 2022 | 4 |
December 2022 | 5 |
December 2022 | 5 |
December 2022 | 2 |
January 2023 | 2 |
January 2023 | 2 |
January 2023 | 2 |
January 2023 | 2 |
January 2023 | 2 |
January 2023 | 14 |
January 2023 | 2 |
January 2023 | 7 |
January 2023 | 2 |
January 2023 | 2 |
January 2023 | 2 |
January 2023 | 4 |
January 2023 | 5 |
January 2023 | 2 |
January 2023 | 3 |
January 2023 | 3 |
January 2023 | 2 |
January 2023 | 3 |
January 2023 | 3 |
January 2023 | 3 |
January 2023 | 3 |
January 2023 | 2 |
January 2023 | 3 |
January 2023 | 2 |
January 2023 | 3 |
February 2023 | 4 |
February 2023 | 1 |
February 2023 | 1 |
February 2023 | 2 |
March 2023 | 1 |
March 2023 | 1 |
March 2023 | 2 |
March 2023 | 1 |
April 2023 | 5 |
April 2023 | 1 |
April 2023 | 1 |
April 2023 | 2 |
April 2023 | 3 |
April 2023 | 1 |
April 2023 | 1 |
May 2023 | 1 |
May 2023 | 5 |
May 2023 | 4 |
May 2023 | 2 |
May 2023 | 2 |
May 2023 | 2 |
June 2023 | 1 |
June 2023 | 2 |
June 2023 | 2 |
June 2023 | 4 |
June 2023 | 1 |
June 2023 | 3 |
June 2023 | 4 |
June 2023 | 3 |
June 2023 | 1 |
July 2023 | 4 |
July 2023 | 2 |
July 2023 | 6 |
July 2023 | 1 |
July 2023 | 1 |
July 2023 | 1 |
August 2023 | 2 |
August 2023 | 5 |
August 2023 | 2 |
August 2023 | 2 |
August 2023 | 2 |
August 2023 | 4 |
August 2023 | 4 |
August 2023 | 2 |
September 2023 | 1 |
September 2023 | 3 |
September 2023 | 1 |
September 2023 | 1 |
September 2023 | 1 |
October 2023 | 3 |
October 2023 | 1 |
October 2023 | 2 |
October 2023 | 4 |
October 2023 | 2 |
October 2023 | 1 |
October 2023 | 3 |
October 2023 | 3 |
November 2023 | 2 |
November 2023 | 1 |
November 2023 | 3 |
November 2023 | 1 |
December 2023 | 1 |
December 2023 | 2 |
December 2023 | 5 |
December 2023 | 4 |
December 2023 | 3 |
December 2023 | 2 |
December 2023 | 4 |
December 2023 | 2 |
December 2023 | 2 |
December 2023 | 6 |
December 2023 | 4 |
December 2023 | 4 |
January 2024 | 3 |
January 2024 | 1 |
January 2024 | 1 |
January 2024 | 3 |
January 2024 | 1 |
January 2024 | 3 |
January 2024 | 2 |
January 2024 | 2 |
January 2024 | 2 |
January 2024 | 3 |
February 2024 | 1 |
February 2024 | 4 |
February 2024 | 1 |
February 2024 | 1 |
February 2024 | 1 |
February 2024 | 1 |
March 2024 | 2 |
March 2024 | 1 |
March 2024 | 1 |
March 2024 | 7 |
March 2024 | 1 |
March 2024 | 1 |
March 2024 | 1 |
April 2024 | 4 |
April 2024 | 5 |
April 2024 | 4 |
April 2024 | 4 |
April 2024 | 5 |
April 2024 | 5 |
April 2024 | 3 |
April 2024 | 1 |
April 2024 | 4 |
April 2024 | 6 |
April 2024 | 4 |
April 2024 | 2 |
April 2024 | 6 |
April 2024 | 5 |
April 2024 | 3 |
April 2024 | 1 |
April 2024 | 5 |
May 2024 | 6 |
May 2024 | 1 |
May 2024 | 1 |
May 2024 | 1 |
May 2024 | 2 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 3 |
June 2024 | 1 |
June 2024 | 2 |
June 2024 | 2 |
June 2024 | 3 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 1 |
June 2024 | 2 |
June 2024 | 1 |
June 2024 | 1 |
July 2024 | 1 |
July 2024 | 1 |
July 2024 | 2 |
July 2024 | 2 |
July 2024 | 1 |
July 2024 | 6 |
July 2024 | 1 |
July 2024 | 1 |
July 2024 | 2 |
July 2024 | 3 |
July 2024 | 2 |
July 2024 | 2 |
July 2024 | 7 |
July 2024 | 1 |
July 2024 | 1 |
July 2024 | 1 |
July 2024 | 1 |
August 2024 | 2 |
August 2024 | 2 |
August 2024 | 1 |
August 2024 | 1 |
August 2024 | 1 |
August 2024 | 2 |
September 2024 | 4 |
September 2024 | 3 |
September 2024 | 4 |
September 2024 | 3 |
September 2024 | 2 |
September 2024 | 3 |
September 2024 | 3 |
September 2024 | 3 |
September 2024 | 1 |
September 2024 | 3 |
September 2024 | 3 |
September 2024 | 3 |
September 2024 | 4 |
September 2024 | 2 |
September 2024 | 3 |
September 2024 | 5 |
September 2024 | 3 |
September 2024 | 3 |
September 2024 | 3 |
September 2024 | 3 |
September 2024 | 3 |
September 2024 | 5 |
September 2024 | 8 |
September 2024 | 5 |
September 2024 | 5 |
October 2024 | 1 |
October 2024 | 1 |
October 2024 | 1 |
October 2024 | 3 |
October 2024 | 1 |
October 2024 | 2 |
November 2024 | 6 |
November 2024 | 1 |
November 2024 | 2 |
December 2024 | 1 |
December 2024 | 1 |
December 2024 | 3 |
December 2024 | 2 |
December 2024 | 1 |
December 2024 | 1 |
December 2024 | 2 |
January 2025 | 1 |
January 2025 | 2 |
January 2025 | 3 |
February 2025 | 1 |
February 2025 | 4 |
February 2025 | 1 |
February 2025 | 2 |
February 2025 | 1 |
February 2025 | 1 |
February 2025 | 2 |
March 2025 | 2 |
March 2025 | 3 |
March 2025 | 2 |
March 2025 | 7 |
March 2025 | 2 |
March 2025 | 6 |
March 2025 | 2 |
March 2025 | 2 |
March 2025 | 2 |
March 2025 | 1 |
March 2025 | 3 |
March 2025 | 2 |
March 2025 | 2 |
March 2025 | 3 |
March 2025 | 2 |
March 2025 | 1 |
March 2025 | 5 |
March 2025 | 1 |
March 2025 | 4 |
April 2025 | 3 |
April 2025 | 1 |
April 2025 | 1 |
April 2025 | 2 |
April 2025 | 2 |
April 2025 | 2 |
April 2025 | 1 |
April 2025 | 2 |
April 2025 | 3 |
May 2025 | 1 |
May 2025 | 2 |
Get help with access
Institutional access
Access to content on Oxford Academic is often provided through institutional subscriptions and purchases. If you are a member of an institution with an active account, you may be able to access content in one of the following ways:
IP based access
Typically, access is provided across an institutional network to a range of IP addresses. This authentication occurs automatically, and it is not possible to sign out of an IP authenticated account.
Sign in through your institution
Choose this option to get remote access when outside your institution. Shibboleth/Open Athens technology is used to provide single sign-on between your institution’s website and Oxford Academic.
If your institution is not listed or you cannot sign in to your institution’s website, please contact your librarian or administrator.
Sign in with a library card
Enter your library card number to sign in. If you cannot sign in, please contact your librarian.
Society Members
Society member access to a journal is achieved in one of the following ways:
Sign in through society site
Many societies offer single sign-on between the society website and Oxford Academic. If you see ‘Sign in through society site’ in the sign in pane within a journal:
If you do not have a society account or have forgotten your username or password, please contact your society.
Sign in using a personal account
Some societies use Oxford Academic personal accounts to provide access to their members. See below.
Personal account
A personal account can be used to get email alerts, save searches, purchase content, and activate subscriptions.
Some societies use Oxford Academic personal accounts to provide access to their members.
Viewing your signed in accounts
Click the account icon in the top right to:
Signed in but can't access content
Oxford Academic is home to a wide variety of products. The institutional subscription may not cover the content that you are trying to access. If you believe you should have access to that content, please contact your librarian.
Institutional account management
For librarians and administrators, your personal account also provides access to institutional account management. Here you will find options to view and activate subscriptions, manage institutional settings and access options, access usage statistics, and more.