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The Oxford Handbook of Credit Derivatives


  • Lipton, Alexander
    (Managing Director, Co-Head of the Quantitative Group, Bank of America Merrill Lynch, London and Visiting Professor of Mathematics, Imperial College, London, UK)

  • Rennie, Andrew
    (Consulting Partner, Apollinax LLP, London, UK)


From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts Contributors to this volume - Edward I. Altman, New York University, USA Elie Ayache, ITO 33, Paris, France Alexander Batchvarov, Bank of America, Merrill Lynch, UK Arthur M. Berd, Capital Fund Management, Paris, France and New York, USA Tomasz R. Bielecki, Illinois Institute of Technology, USA Valerie Chavez-Demoulin, Swiss Federal Institute of Technology, Lausanne, Switzerland Stephane Crepey, Evry University, France Mark H. A. Davis, Imperial College London, UK Youssef Elouerkhaoui, Citigroup, London, UK Paul Embrechts, ETH Zurich, Switzerland Jon Gregory, Consultant, Ockham Financial Training, UK Alexander Herbertsson, University of Gothenburg, Sweden Vladimir Kamotski, Bank of America Merrill Lynch, London, UK Alexander Levin, Andrew Davidson & Co., Inc. New York, USA Alexander Lipton, Bank of America, Merrill Lynch, UK Julian Manzano, Bank of America, Merrill Lynch, UK Richard J. Martin, AHL, Man Group PLC., London, UK Umberto Pesavento, Bank of America Merrill Lynch, London, UK Andrew Rennie, Apollinax LLP, London, UK Lutz Schloegl, Nomura International, London, UK Artur Sepp, Bank of America Merrill Lynch in London, UK David Shelton, Bank of America Merrill Lynch in London, UK Gillian Tett, Financial Times, London, UK Zhen Wei, Bank of America Merrill Lynch in London, UK

Suggested Citation

  • Lipton, Alexander & Rennie, Andrew (ed.), 2013. "The Oxford Handbook of Credit Derivatives," OUP Catalogue, Oxford University Press, number 9780199669486.
  • Handle: RePEc:oxp:obooks:9780199669486

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