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This book offers a comprehensive overview of mathematical modeling in credit risk, covering statistical techniques, default modeling, counterparty risk, and securitization. It discusses both Gaussian and non-Gaussian approaches, including the Gaussian copula and alternatives. Aimed at students and professionals in finance, it balances theory with practical applications.
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Oxford Handbook of Credit Derivatives, Andrew Rennie, Alexander Lipton
- Language
- Released
- 2011
- product-detail.submit-box.info.binding
- (Hardcover)
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- Title
- Oxford Handbook of Credit Derivatives
- Language
- English
- Authors
- Andrew Rennie, Alexander Lipton
- Publisher
- Oxford University Press
- Released
- 2011
- Format
- Hardcover
- ISBN13
- 9780199546787
- Category
- Business and Economics
- Description
- This book offers a comprehensive overview of mathematical modeling in credit risk, covering statistical techniques, default modeling, counterparty risk, and securitization. It discusses both Gaussian and non-Gaussian approaches, including the Gaussian copula and alternatives. Aimed at students and professionals in finance, it balances theory with practical applications.