Full Product Details
Author: Alexander Lipton (Managing Director, Co-Head of the Quantitative Group, Bank of America Merrill Lynch, London and Visiting Professor of Mathematics, Imperial College, London, UK) ,
Andrew Rennie (Consulting Partner, Apollinax LLP, London, UK)
Publisher: Oxford University Press
Imprint: Oxford University Press
Dimensions:
Width: 17.10cm
, Height: 3.90cm
, Length: 24.60cm
Weight: 1.238kg
ISBN: 9780199669486
ISBN 10: 0199669481
Pages: 704
Publication Date: 17 January 2013
Audience:
College/higher education
,
Professional and scholarly
,
Postgraduate, Research & Scholarly
,
Postgraduate, Research & Scholarly
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
Review from previous edition If ever there was an area in quantitative finance that needed some penetrating light cast on it, it would be the arcane world of credit derivatives. This valuable collection of top-notch contributions from the foremost experts in the field does just that: it illuminates its subject with great clarity and breadth, and deserves to remain a standard reference for years to come. I commend the editors for their selection and organization of topics, and highly recommend this book Leif Andersen, Co-head of Global Quant Group, Bank of America Merrill Lynch Alex Lipton and Andrew Rennie, seasoned and well-respected experts in the field, have done an excellent job of gathering contributions from some of the best experts in the field to provide a comprehensive overview of existing frameworks and directions of research in credit risk modeling. This handbook provides valuable insights to practitioners, regulators and scholars involved with credit derivatives credit risk management and will doubtlessly become a reference on this topic. Rama Cont, Associate Professor, Columbia University, New York This book provides a wide-ranging survey of the state-of-the-art of credit derivatives. Including contributions from leading practitioners, academics and commentators it describes the theory and practice of these instruments which have reshaped the financial industry in recent years and which have been at the centre of the credit crisis and subsequent banking crises. The material is treated in a technically sophisticated way and covers statistical issues, modelling of single and multi-name credits, counterparty risk, tail risk and securitization. An ideal primer and reference work which gives a comprehensive overview. Martin Baxter, Nomura International, London Most chapters in the handbook are rigorously written with comprehensive literature reviews and self-contained technical details. With a big picture of the recent credit crisis, this handbook aims to provide an up-to-date quantitative perspective and a detailed toolbox for modelling credit derivatives. The editors and contributors have achieved their goal. This handbook should be on the shelf of every serious researcher and practitioner for reference on credit derivative modelling. I recommend this book without hesitation. Long Kang, Journal of Applied Statistics
Most chapters in the handbook are rigorously written with comprehensive literature reviews and self-contained technical details. With a big picture of the recent credit crisis, this handbook aims to provide an up-to-date quantitative perspective and a detailed toolbox for modelling credit derivatives. The editors and contributors have achieved their goal. This handbook should be on the shelf of every serious researcher and practitioner for reference on credit derivative modelling. I recommend this book without hesitation. * Long Kang, Journal of Applied Statistics * This book provides a wide-ranging survey of the state-of-the-art of credit derivatives. Including contributions from leading practitioners, academics and commentators it describes the theory and practice of these instruments which have reshaped the financial industry in recent years and which have been at the centre of the credit crisis and subsequent banking crises. The material is treated in a technically sophisticated way and covers statistical issues, modelling of single and multi-name credits, counterparty risk, tail risk and securitization. An ideal primer and reference work which gives a comprehensive overview. * Martin Baxter, Nomura International, London * Alex Lipton and Andrew Rennie, seasoned and well-respected experts in the field, have done an excellent job of gathering contributions from some of the best experts in the field to provide a comprehensive overview of existing frameworks and directions of research in credit risk modeling. This handbook provides valuable insights to practitioners, regulators and scholars involved with credit derivatives credit risk management and will doubtlessly become a reference on this topic. * Rama Cont, Associate Professor, Columbia University, New York * Review from previous edition If ever there was an area in quantitative finance that needed some penetrating light cast on it, it would be the arcane world of credit derivatives. This valuable collection of top-notch contributions from the foremost experts in the field does just that: it illuminates its subject with great clarity and breadth, and deserves to remain a standard reference for years to come. I commend the editors for their selection and organization of topics, and highly recommend this book * Leif Andersen, Co-head of Global Quant Group, Bank of America Merrill Lynch *
Author Information
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.
