The Oxford handbook of credit derivatives [electronic resource] / edited by Alexander Lipton and Andrew Rennie.

Contributor(s):

Material type: Text

TextSeries: Oxford handbooks in financePublication details: Oxford : Oxford University Press, 2011.Description: 1 online resource (xxvi, 677 p.) : illISBN:

9780191743580 (ebook) :

Other title:

Credit derivatives

Subject(s):

Credit derivatives -- Mathematical models

Additional physical formats: Print version: No titleDDC classification:

332.6457015118 23

LOC classification:

HG6024.A3 O94 2011

Online resources:

Oxford handbooks online

Summary: This handbook 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.

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This handbook 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.

Description based on print version record.

Includes bibliographical references and index.

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The Oxford handbook of credit derivatives [electronic resource] / edited by Alexander Lipton and Andrew Rennie.