Description
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. Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago. He has also worked at Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of three. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences worldwide. Part I: Introduction; 1: Gillian Tett: Non-technical Introduction; 2: Alexander Lipton & Andrew Rennie: Technical Introduction; Part II: Statistical Overview; 3: Edward I. Altman: Default Recovery Rates and LGD in Credit Risk Modelling and Practice; 4: Arthur M. Berd: A Guide to Modelling Credit Term Structures; 5: Zhen Wei: Statistical Data Mining Procedures in Generalized Cox Regressions; Part III: Single and Multi-name Theory; 6: Lutz Schloegl: An Exposition of CDS Market Models; 7: Alexander Lipton and David Shelton: Single and Multi-name Credit Derivatives: Theory and Practice; 8: Youssef Elouerkhaoui: Marshall-Olkin Copula Based Models; 9: Mark H. A. Davis: Contagion Models in Credit Risk; 10: Tomasz R. Bielecki, Stephane Crepey and Alexander Herbertsson: Markov Chain Models of Portfolio Credit Risk; 11: Jon Gregory: Counterparty Risk in Credit Derivative Contracts; 12: Alexander Lipton and Artur Sepp: Credit Value Adjustment in the Extended Structural Default Model; Part IV: Beyond Normality; 13: Elie Ayache: A New Philosophy of the Market; 14: Valerie Chavez-Demoulin and Paul Embrechts: An EVT Primer for Credit Risk; 15: Richard J. Martin: Saddlepoint Methods in Portfolio Theory; Part V: Securitzation; 16: Alexander Batchvarov: Quantitative Aspects of the Collapse of the Parallel Banking System; 17: Alexander Levin: Home Price Derivatives and Modelling; 18: Julian Manzano, Vladimir Kamotski, Umberto Pesavento and Alexander Lipton: A Valuation Model for ABS CDOs
