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date: 18 July 2019

(p. vi) (p. vii) Contents

(p. vi) (p. vii) Contents

  1. PART I INTRODUCTION

    1. 1. Non‐Technical Introduction 3

      Gillian Tett

    2. 2. Technical Introduction 17

      Andrew Rennie and Alexander Lipton

  2. PART II STATISTICAL OVERVIEW

    1. 3. Default Recovery Rates and LGD in Credit Risk Modelling and Practice 39

      Edward I. Altman

    2. 4. A Guide to Modelling Credit Term Structures 66

      Arthur M. Berd

    3. 5. Statistical Data Mining Procedures in Generalized Cox Regressions 123

      Zhen Wei

  3. PART III SINGLE AND MULTI‐NAME THEORY

    1. 6. An Exposition of CDS Market Models 159

      Lutz Schloegl

    2. 7. Single‐ and Multi‐Name Credit Derivatives: Theory and Practice 196

      Alexander Lipton and David Shelton

    3. 8. Marshall‐Olkin Copula‐Based Models 257

      Youssef Elouerkhaoui

    4. (p. viii) 9. Contagion Models in Credit Risk 285

      Mark H. A. Davis

    5. 10. Markov Chain Models of Portfolio Credit Risk 327

      Tomasz R. Bielecki, Stéphane Crépey and Alexander Herbertsson

    6. 11. Counterparty Risk in Credit Derivative Contracts 383

      Jon Gregory

    7. 12. Credit Value Adjustment in the Extended Structural Default Model 406

      Alexander Lipton and Artur Sepp

  4. PART IV BEYOND NORMALITY

    1. 13. A New Philosophy of the Market 467

      Élie Ayache

    2. 14. An EVT primer for credit risk 500

      Valérie Chavez‐Demoulin and Paul Embrechts

    3. 15. Saddlepoint Methods in Portfolio Theory 533

      Richard J. Martin

  5. PART V SECURITIZATION

    1. 16. Quantitative Aspects of the Collapse of the Parallel Banking System 573

      Alexander Batchvarov

    2. 17. Home Price Derivatives and Modelling 604

      Alexander Levin

    3. 18. A Valuation Model for ABS CDOs 631

      Julian Manzano, Vladimir Kamotski, Umberto Pesavento and Alexander Lipton

  6. Name Index 657

  7. Subject Index 663