The Oxford handbook of credit derivativesAlexander Lipton

The Oxford handbook of credit derivatives

Name: The Oxford handbook of credit derivatives
ISBN: 9780199546787

Alexander Lipton · 2011

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About the book

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.