by Alexander Lipton (Editor), Andrew Rennie (Editor)
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.
Format: Paperback
Pages: 704
Edition: Reprint
Publisher: OUP Oxford
Published: 17 Jan 2013
ISBN 10: 0199669481
ISBN 13: 9780199669486
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