Description:
Review from previous edition: "If ever there was an area in quantitative finance that needed some penetrating light cast on it, it would be the arcane world of credit derivatives. This valuable collection of top-notch contributions from the foremost experts in the field does just that: it illuminates its subject with great clarity and breadth, and deserves to remain a standard reference for years to come. I commend the editors for their selection and organization of topics, and highly recommend this book" --Leif Andersen, Co-head of Global Quant Group, Bank of America Merrill Lynch
"Alex Lipton and Andrew Rennie, seasoned and well-respected experts in the field, have done an excellent job of gathering contributions from some of the best experts in the field to provide a comprehensive overview of existing frameworks and directions of research in credit risk modeling. This handbook provides valuable insights to practitioners, regulators and scholars involved with credit derivatives credit risk management and will doubtlessly become a reference on this topic." --Rama Cont, Associate Professor, Columbia University, New York
"This book provides a wide-ranging survey of the state-of-the-art of credit derivatives. Including contributions from leading practitioners, academics and commentators it describes the theory and practice of these instruments which have reshaped the financial industry in recent years and which have been at the centre of the credit crisis and subsequent banking crises. The material is treated in a technically sophisticated way and covers statistical issues, modelling of single and multi-name credits, counterparty risk, tail risk and securitization. An ideal primer and reference work which gives a comprehensive overview." --Martin Baxter, Nomura International, London
"Most chapters in the handbook are rigorously written with comprehensive literature reviews and self-contained technical details. With a big picture of the recent credit crisis, this handbook aims to provide an up-to-date quantitative perspective and a detailed toolbox for modelling credit derivatives. The editors and contributors have achieved their goal. This handbook should be on the shelf of every serious researcher and practitioner for reference on credit derivative modelling. I recommend this book without hesitation." --Long Kang, Journal of Applied Statistics.
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