The Oxford handbook of credit derivatives /:
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 secu...
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford ; New York :
Oxford University Press,
2011.
|
| Schriftenreihe: | Oxford handbooks in finance.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xxvi, 677 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and indexes. |
| ISBN: | 9780191648243 0191648248 9780191743580 0191743585 |
Internformat
MARC
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| 505 | 0 | 0 | |t Non-Technical Introduction / |r Gillian Tett -- |t Technical Introduction / |r Alexander Lipton -- |t Default Recovery Rates and LGD in Credit Risk Modelling and Practice / |r Edward I. Altman -- |t A Guide to Modelling Credit Term Structures / |r Arthur M. Berd -- |t Statistical Data Mining Procedures in Generalized Cox Regressions / |r Zhen Wei -- |t An Exposition of CDS Market Models / |r Lutz Schloegl -- |t Single- and Multi-Name Credit Derivatives: Theory and Practice / |r David Shelton -- |t Marshall-Olkin Copula-Based Models / |r Youssef Elouerkhaoui -- |t Contagion Models in Credit Risk / |r Mark H.A. Davis -- |t Markov Chain Models of Portfolio Credit Risk / |r Alexander Herbertsson -- |t Counterparty Risk in Credit Derivative Contracts / |r Jon Gregory -- |t Credit Value Adjustment in the Extended Structural Default Model / |r Artur Sepp -- |t A New Philosophy of the Market / |r Elie Ayache -- |t An EVT primer for credit risk / |r Paul Embrechts -- |t Saddlepoint Methods in Portfolio Theory / |r Richard J. Martin -- |t Quantitative Aspects of the Collapse of the Parallel Banking System / |r Alexander Batchvarov -- |t Home Price Derivatives and Modelling / |r Alexander Levin -- |t A Valuation Model for ABS CDOs / |r Alexander Lipton. |
| 588 | 0 | |a Print version record. | |
| 520 | 8 | |a 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. | |
| 650 | 0 | |a Credit derivatives |x Mathematical models. | |
| 650 | 6 | |a Instruments dérivés de crédit |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 700 | 1 | |a Lipton, Alexander, |e editor. |0 http://id.loc.gov/authorities/names/no2002012467 | |
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| adam_text | |
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| author2 | Lipton, Alexander Rennie, Andrew, 1968- |
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| author_GND | http://id.loc.gov/authorities/names/no2002012467 http://id.loc.gov/authorities/names/n96053100 |
| author_additional | Gillian Tett -- Alexander Lipton -- Edward I. Altman -- Arthur M. Berd -- Zhen Wei -- Lutz Schloegl -- David Shelton -- Youssef Elouerkhaoui -- Mark H.A. Davis -- Alexander Herbertsson -- Jon Gregory -- Artur Sepp -- Elie Ayache -- Paul Embrechts -- Richard J. Martin -- Alexander Batchvarov -- Alexander Levin -- Alexander Lipton. |
| author_facet | Lipton, Alexander Rennie, Andrew, 1968- |
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| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
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| collection | ZDB-4-EBU |
| contents | Non-Technical Introduction / Technical Introduction / Default Recovery Rates and LGD in Credit Risk Modelling and Practice / A Guide to Modelling Credit Term Structures / Statistical Data Mining Procedures in Generalized Cox Regressions / An Exposition of CDS Market Models / Single- and Multi-Name Credit Derivatives: Theory and Practice / Marshall-Olkin Copula-Based Models / Contagion Models in Credit Risk / Markov Chain Models of Portfolio Credit Risk / Counterparty Risk in Credit Derivative Contracts / Credit Value Adjustment in the Extended Structural Default Model / A New Philosophy of the Market / An EVT primer for credit risk / Saddlepoint Methods in Portfolio Theory / Quantitative Aspects of the Collapse of the Parallel Banking System / Home Price Derivatives and Modelling / A Valuation Model for ABS CDOs / |
| ctrlnum | (OCoLC)861693019 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn861693019 |
| illustrated | Illustrated |
| indexdate | 2024-07-16T15:03:58Z |
| institution | BVB |
| isbn | 9780191648243 0191648248 9780191743580 0191743585 |
| language | English |
| oclc_num | 861693019 |
| open_access_boolean | |
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| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xxvi, 677 pages) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 2011 |
| publishDateSearch | 2011 |
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| publisher | Oxford University Press, |
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| series | Oxford handbooks in finance. |
| series2 | Oxford handbooks in finance |
| spelling | The Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie. Credit derivatives Oxford ; New York : Oxford University Press, 2011. 1 online resource (xxvi, 677 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Oxford handbooks in finance Includes bibliographical references and indexes. Non-Technical Introduction / Gillian Tett -- Technical Introduction / Alexander Lipton -- Default Recovery Rates and LGD in Credit Risk Modelling and Practice / Edward I. Altman -- A Guide to Modelling Credit Term Structures / Arthur M. Berd -- Statistical Data Mining Procedures in Generalized Cox Regressions / Zhen Wei -- An Exposition of CDS Market Models / Lutz Schloegl -- Single- and Multi-Name Credit Derivatives: Theory and Practice / David Shelton -- Marshall-Olkin Copula-Based Models / Youssef Elouerkhaoui -- Contagion Models in Credit Risk / Mark H.A. Davis -- Markov Chain Models of Portfolio Credit Risk / Alexander Herbertsson -- Counterparty Risk in Credit Derivative Contracts / Jon Gregory -- Credit Value Adjustment in the Extended Structural Default Model / Artur Sepp -- A New Philosophy of the Market / Elie Ayache -- An EVT primer for credit risk / Paul Embrechts -- Saddlepoint Methods in Portfolio Theory / Richard J. Martin -- Quantitative Aspects of the Collapse of the Parallel Banking System / Alexander Batchvarov -- Home Price Derivatives and Modelling / Alexander Levin -- A Valuation Model for ABS CDOs / Alexander Lipton. Print version record. 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. Credit derivatives Mathematical models. Instruments dérivés de crédit Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Lipton, Alexander, editor. http://id.loc.gov/authorities/names/no2002012467 Rennie, Andrew, 1968- editor. https://id.oclc.org/worldcat/entity/E39PCjHW9hYyb9wQXy4jv7MXkC http://id.loc.gov/authorities/names/n96053100 has work: The Oxford handbook of credit derivatives (Text) https://id.oclc.org/worldcat/entity/E39PCFVRPBfhRdcWXMd3yRw6Kd https://id.oclc.org/worldcat/ontology/hasWork Print version: Oxford handbook of credit derivatives 9780199546787 (DLC) 2010943329 (OCoLC)656767486 Oxford handbooks in finance. http://id.loc.gov/authorities/names/no2011060466 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=654552 Volltext |
| spellingShingle | The Oxford handbook of credit derivatives / Oxford handbooks in finance. Non-Technical Introduction / Technical Introduction / Default Recovery Rates and LGD in Credit Risk Modelling and Practice / A Guide to Modelling Credit Term Structures / Statistical Data Mining Procedures in Generalized Cox Regressions / An Exposition of CDS Market Models / Single- and Multi-Name Credit Derivatives: Theory and Practice / Marshall-Olkin Copula-Based Models / Contagion Models in Credit Risk / Markov Chain Models of Portfolio Credit Risk / Counterparty Risk in Credit Derivative Contracts / Credit Value Adjustment in the Extended Structural Default Model / A New Philosophy of the Market / An EVT primer for credit risk / Saddlepoint Methods in Portfolio Theory / Quantitative Aspects of the Collapse of the Parallel Banking System / Home Price Derivatives and Modelling / A Valuation Model for ABS CDOs / Credit derivatives Mathematical models. Instruments dérivés de crédit Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh |
| title | The Oxford handbook of credit derivatives / |
| title_alt | Credit derivatives Non-Technical Introduction / Technical Introduction / Default Recovery Rates and LGD in Credit Risk Modelling and Practice / A Guide to Modelling Credit Term Structures / Statistical Data Mining Procedures in Generalized Cox Regressions / An Exposition of CDS Market Models / Single- and Multi-Name Credit Derivatives: Theory and Practice / Marshall-Olkin Copula-Based Models / Contagion Models in Credit Risk / Markov Chain Models of Portfolio Credit Risk / Counterparty Risk in Credit Derivative Contracts / Credit Value Adjustment in the Extended Structural Default Model / A New Philosophy of the Market / An EVT primer for credit risk / Saddlepoint Methods in Portfolio Theory / Quantitative Aspects of the Collapse of the Parallel Banking System / Home Price Derivatives and Modelling / A Valuation Model for ABS CDOs / |
| title_auth | The Oxford handbook of credit derivatives / |
| title_exact_search | The Oxford handbook of credit derivatives / |
| title_full | The Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie. |
| title_fullStr | The Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie. |
| title_full_unstemmed | The Oxford handbook of credit derivatives / edited by Alexander Lipton and Andrew Rennie. |
| title_short | The Oxford handbook of credit derivatives / |
| title_sort | oxford handbook of credit derivatives |
| topic | Credit derivatives Mathematical models. Instruments dérivés de crédit Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh |
| topic_facet | Credit derivatives Mathematical models. Instruments dérivés de crédit Modèles mathématiques. BUSINESS & ECONOMICS Finance. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=654552 |
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