Oxford Handbook of Credit Derivatives, The 0071544216 Melissa King and Elizabeth Davidson

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Oxford Handbook of Credit Derivatives, The 0071544216 Melissa King and Elizabeth DavidsonFrom the late nineties, 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