MARC details
| 000 -LEADER |
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| fixed length control field |
04035cam a22003015a 4500 |
| 001 - CONTROL NUMBER |
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| control field |
17794973 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20160215121923.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
130628s2013 enka frbf f001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780199669486 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Transcribing agency |
DLC |
| Modifying agency |
DLC |
| -- |
EG-ScBUE |
| -- |
EG-ScBUE |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.6457015118 |
| Item number |
OXF |
| Edition number |
22 |
| 245 04 - TITLE STATEMENT |
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| Title |
The Oxford handbook of credit derivatives / |
| Statement of responsibility, etc |
edited by Alexander Lipton and Andrew Rennie. |
| 246 30 - VARYING FORM OF TITLE |
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| Title proper/short title |
Credit derivatives |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Oxford : |
| Name of publisher, distributor, etc |
Oxford University Press, |
| Date of publication, distribution, etc |
2013. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xxvi, 677 p. : |
| Other physical details |
ill. ; |
| Dimensions |
24 cm. |
| 490 0# - SERIES STATEMENT |
|---|
| Series statement |
Oxford handbooks in finance |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references and indexes. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
PART I: INTRODUCTION -- 1. Non-technical Introduction -- 2. Technical Introduction -- PART II: STATISTICAL OVERVIEW -- 3. Default Recovery Rates and LGD in Credit Risk Modelling and Practice -- 4. A Guide to Modelling Credit Term Structures -- 5. Statistical Data Mining Procedures in Generalized Cox Regressions -- PART III: SINGLE AND MULTI-NAME THEORY -- 6. An Exposition of CDS Market Models -- 7. Single and Multi-name Credit Derivatives: Theory and Practice -- 8. Marshall-Olkin Copula Based Models -- 9. Contagion Models in Credit Risk -- 10. Markov Chain Models of Portfolio Credit Risk -- 11. Counterparty Risk in Credit Derivative Contracts -- 12. Credit Value Adjustment in the Extended Structural Default Model -- PART IV: BEYOND NORMALITY -- 13. A New Philosophy of the Market -- 14. An EVT Primer for Credit Risk -- 15. Saddlepoint Methods in Portfolio Theory -- PART V: SECURITZATION -- 16. Quantitative Aspects of the Collapse of the Parallel Banking System -- 17. Home Price Derivatives and Modelling -- 18. A Valuation Model for ABS CDOs. |
| 520 8# - SUMMARY, ETC. |
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| Summary, etc |
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. |
| 520 8# - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 520 8# - SUMMARY, ETC. |
|---|
| Summary, etc |
This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Credit derivatives |
| General subdivision |
Mathematical models |
| Form subdivision |
Handbooks, manuals, etc. |
| Source of heading or term |
BUEsh |
| 651 ## - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME |
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| Source of heading or term |
BUEsh |
| 653 ## - INDEX TERM--UNCONTROLLED |
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| Resource For college |
BAEPS, Business Administration |
| Arrived date list |
August2015 |
| -- |
February2016 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Lipton, Alexander, |
| Relator term |
editor. |
| 9 (RLIN) |
39347 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Rennie, Andrew, |
| Relator term |
editor. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |