ISBN details
- ISBN 10: 0199546789
- ISBN 13: 9780199546787
Overview
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.Other Details
- Publisher: Oxford University Press
- Language: Eng
- Edition: 1
- Pages: 736
- Date Published: 2011
- Authors: Alexander Lipton, Andrew Rennie