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...

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Main Author: Lipton, Alexander
Other Authors: Rennie, Andrew
Format: eBook
Language:English
Published: Oxford Oxford University Press 2011, 2011
Series:Oxford handbooks in finance / Oxford handbooks in finance
Subjects:
Online Access:
Collection: Oxford Handbook Online - Collection details see MPG.ReNa
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
Physical Description:1 online resource (xxvi, 677 p.) ill
ISBN:9780191743580