The Oxford Handbook of Credit Derivatives (Hardcover)

From the contents: Part I: Introduction; 1: Gillian Tett: Non-technical Introduction; 2: Alexander Lipton & 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