Credit Derivatives : Shinning A Light On The Arcane World Of Credit Derivatives. From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling.
Covering statistical analysis and techniques, modelling of default of both single and multiple entities. Moreover, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation.
Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling. The now notorious Gaussian copula is discussed with analysis of its shortcomings. In addition, as well as a wide range of alternative approaches including multivariate extensions. Furthermore, to both firm-value and reduced form models, and continuous-time Markov chains.
One important case of multiple entities modelling – counterparty risk in credit derivatives. We further explore in two dedicated chapters.
Alternative non-Gaussian approaches to modelling we also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered. Including house price modelling and pricing models for asset-backed CDOs.
The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation.
Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts.
Credit Derivatives : Shinning A Light On The Arcane World Of Credit Derivatives Written by Alexander Lipton
Alex Lipton is a Managing Director and Global Head of Credit Analytics at Merrill Lynch. In addition a Visiting Professor of Mathematics at Imperial College London. Prior to his current role. Alexander 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. Furthermore, 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 received the first Quant of the Year Award by Risk Magazine. Alex is the author of two books. Firstly, Magnetohydrodynamics and Spectral Theory. Secondly, Mathematical Methods for Foreign Exchange. Furthermore, is 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.