Credit Risk Modelling : Theory & Practice
Credit Risk Modelling : Theory & Practice Edited and introduced by Alexander Lipton, the leading expert in the field of credit modelling, this collection of technical papers on this complex area of financial engineering is the first book in the new Cutting Edge series.
Contributions gathered from 32 authors!
Including some of the most well known names in the field: Oldrich Vasicek, who received a Lifetime Achievement Award from Risk, and Leif Andersen, Michael Gordy, Alexander Lipton, Richard Martin, and Philip Schönbucher all of whom have received Quant of the Year Awards from Risk.
The book is divided into three main sections: defaults of individual obligors, defaults in large portfolios, and defaults in medium and small portfolios.
In conclusion this book will be of great interest to practitioners and academics alike.
About 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.