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Author:   Alexander Lipton
Publisher:   Risk Books
Imprint:   Risk Books
ISBN:  

9781904339649

ISBN 10:   1904339646
Pages:   342
Publication Date:   30 June 2008
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Preface About the Editor About the Authors Introduction Alexander Lipton Merrill Lynch PART I DEFAULTS OF INDIVIDUAL OBLIGORS The Price of Credit Philippe Khuong-Huu; Vladimir Finkelstein; Bruce Broder Alphadyne Asset Management; Horton Point LLC; JP Morgan Equity to Credit Pricing George Pan Saba Principal Strategies Assets with Jumps Alexander Lipton Merrill Lynch A Measure of Survival Philipp Schonbucher Goldman Sachs Hybrid Equity-Credit Modelling Marc Atlan and Boris Leblanc BNP Paribas PART II DEFAULTS IN LARGE PORTFOLIOS Reconcilable Differences H. Ugur Koyluoglu; Andrew Hickman Oliver,Wyman & Company; QVT Financial Copulas and Credit Models Rudiger Frey; Alexander McNeil; Mark Nyfeler University of Leipzig; Heriot-Watt University; UBS Loan Portfolio Value Oldrich Vasicek Moody's KMV Random Tranches Michael Gordy; David Jones US Federal Reserve Board An Indirect View from the Saddle Richard J. Martin; Roland Ordovas Credit Suisse; Grupo Santander PART III DEFAULTS IN MEDIUM AND SMALL PORTFOLIOS Pricing Default Baskets Wolfgang Schmidt; Ian Ward Frankfurt School of Finance and Management; Imperial College Long or Short in CDOs Hans Boscher; Ian Ward Deutsche Bank; Imperial College Calculating Portfolio Loss Sandro Merino and Mark Nyfeler UBS I Will Survive Jean-Paul Laurent; Jon Gregory ISFAActuarial School, University of Lyon and BNP Paribas; Super Senior Consulting All Your Hedges in One Basket Leif Andersen; Jakob Sidenius; Susanta Basu Banc of America Securities; JP Morgan; Och-Ziff Capital Management Dynamic Frailties and Credit Portfolio Modelling Martin Delloye; Jean-David Fermanian; Mohammed Sbai Dexia; BNP Paribas; CERMICS Gamma Process Dynamic Modelling of Credit Martin Baxter Nomura Factor Models for Credit Correlation Stewart Inglis and Alexander Lipton Merrill Lynch Index

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Author Information

Alex Lipton is a Managing Director and Global Head of Credit Analytics at Merrill Lynch, and a Visiting Professor of Mathematics at Imperial College London. Prior to his current role, he was a Managing Director and Head of Credit Analytics at Citadel Investment Group in Chicago; he has also worked at Credit Suisse, Deutsche Bank and Bankers Trust. Previously, Alex was a Full Professor of Mathematics at the University of Illinois at Chicago and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Lomonosov Moscow State University. His current interests include credit correlation and related topics, quantitative aspects of securitization, as well as technical trading strategies. In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of two more. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. Alex has given dozens of invited lectures at leading universities worldwide.

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