The Oxford handbook of credit derivatives [electronic resource] / edited by Alexander Lipton and Andrew Rennie

Contributor(s): Material type: TextTextSeries: Publication details: Oxford : Oxford University Press, 2012Description: 1 online resourceSubject(s): DDC classification:
  • 332.6457 LIP 22
Online resources: Summary: This handbook 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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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Book Book Calcutta 332.6457 LIP (Browse shelf(Opens below)) Available IIMC-E260
Total holds: 0

This handbook 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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