Lipton rennie (39 Ergebnisse)

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Zustand: Good. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Clean from markings In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,550grams, ISBN:9789812709493. …

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Hardcover. Zustand: Brand New. illustrated edition. 176 pages. 10.25x7.00x0.75 inches. In Stock.

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Zustand: New. pp. xxvi + 677 Indices 1st Published.

Zustand: New. pp. xxvi + 677 Figures, Illus.

Gebunden. Zustand: New. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. This title presents both the t.

Zustand: Sehr gut. Zustand: Sehr gut | Seiten: 736 | Sprache: Englisch | Produktart: Bücher | Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation.…

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Zustand: New. pp. xxvi + 677.

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Zustand: New. Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Editor(s): Lipton, Alexander; Rennie, Andrew J. O. Series: Oxford Handbooks. Num Pages: 704 pages, 134 Figures, 29 Tables. BIC Classification: KF; KFFL; PBWH. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 250 x 180 x 45. Weight in Grams: 1358. . 2011. Illustrated. hardcover. . . . .…

Buch. Zustand: Neu. Neuware - The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.…

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Hardcover. Zustand: Like New. LIKE NEW. SHIPS FROM MULTIPLE LOCATIONS. book.

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Zustand: New. Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Editor(s): Lipton, Alexander; Rennie, Andrew J. O. Series: Oxford Handbooks. Num Pages: 704 pages, 134 Figures, 29 Tables. BIC Classification: KF; KFFL; PBWH. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 250 x 180 x 45. Weight in Grams: 1358. . 2011. Illustrated. hardcover. . . . . Books ship from the US and Ireland.…

Hardback. Zustand: New. From the late nineties, 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, 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, as well as a wide range of alternative approaches including multivariate extensions 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 - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are 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.…

Hardback. Zustand: New. From the late nineties, 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, 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, as well as a wide range of alternative approaches including multivariate extensions 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 - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are 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.…

Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and n.…