Oxford Handbook of Credit Derivatives

Erscheinungsjahr 2013
ISBN: 978-0-19-966948-6
Verlag: Oxford University Press (UK)

Buch, Englisch, 704 Seiten, Format (B × H): 170 mm x 244 mm, Gewicht: 1193 g

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. 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

Autoren/Hrsg.

Lipton, Alexander

Rennie, Andrew

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik

Inhaltsverzeichnis

- Part I: Introduction

- 1: Gillian Tett: Non-technical Introduction

- 2: Alexander Lipton and 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 is the patron of the 14-10 Club at the Royal Institution. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of four. 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 nineteen 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.