skip to content
Credit Correlation : Life After Copulas. Preview this item
ClosePreview this item
Checking...

Credit Correlation : Life After Copulas.

Author: Alexander Lipton; Andrew Rennie
Publisher: Singapore : World Scientific Publishing Company, 2007.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from 1 trillion to 20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Alexander Lipton; Andrew Rennie
ISBN: 9789812709509 9812709509
OCLC Number: 879025125
Description: 1 online resource (178 pages)

Abstract:

The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from 1 trillion to 20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments suc.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.

Similar Items

Related Subjects:(1)

Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/879025125> # Credit Correlation : Life After Copulas.
    a schema:Book, schema:CreativeWork, schema:MediaObject ;
    library:oclcnum "879025125" ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/802577352#Place/singapore> ; # Singapore
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/si> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/802577352#Topic/credit_derivatives> ; # Credit derivatives
    schema:about <http://dewey.info/class/332.632/> ;
    schema:bookFormat schema:EBook ;
    schema:contributor <http://experiment.worldcat.org/entity/work/data/802577352#Person/rennie_andrew> ; # Andrew Rennie
    schema:creator <http://experiment.worldcat.org/entity/work/data/802577352#Person/lipton_alexander> ; # Alexander Lipton
    schema:datePublished "2007" ;
    schema:description "The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from 1 trillion to 20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments suc."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/802577352> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isSimilarTo <http://worldcat.org/entity/work/data/802577352#CreativeWork/> ;
    schema:name "Credit Correlation : Life After Copulas."@en ;
    schema:productID "879025125" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/879025125#PublicationEvent/singapore_world_scientific_publishing_company_2007> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/802577352#Agent/world_scientific_publishing_company> ; # World Scientific Publishing Company
    schema:url <https://ebookcentral.proquest.com/lib/ucm/detail.action?docID=1681339> ;
    schema:url <http://ebookcentral.proquest.com/lib/ucm/detail.action?docID=1681339> ;
    schema:url <https://ebookcentral.proquest.com/lib/ben/detail.action?docID=1681339> ;
    schema:url <http://ebookcentral.proquest.com/lib/columbia/detail.action?docID=1681339> ;
    schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=1681339> ;
    schema:url <https://ebookcentral.proquest.com/lib/columbia/detail.action?docID=1681339> ;
    schema:workExample <http://worldcat.org/isbn/9789812709509> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/879025125> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/802577352#Agent/world_scientific_publishing_company> # World Scientific Publishing Company
    a bgn:Agent ;
    schema:name "World Scientific Publishing Company" ;
    .

<http://experiment.worldcat.org/entity/work/data/802577352#Person/lipton_alexander> # Alexander Lipton
    a schema:Person ;
    schema:familyName "Lipton" ;
    schema:givenName "Alexander" ;
    schema:name "Alexander Lipton" ;
    .

<http://experiment.worldcat.org/entity/work/data/802577352#Person/rennie_andrew> # Andrew Rennie
    a schema:Person ;
    schema:familyName "Rennie" ;
    schema:givenName "Andrew" ;
    schema:name "Andrew Rennie" ;
    .

<http://experiment.worldcat.org/entity/work/data/802577352#Topic/credit_derivatives> # Credit derivatives
    a schema:Intangible ;
    schema:name "Credit derivatives"@en ;
    .

<http://worldcat.org/entity/work/data/802577352#CreativeWork/>
    a schema:CreativeWork ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/879025125> ; # Credit Correlation : Life After Copulas.
    .

<http://worldcat.org/isbn/9789812709509>
    a schema:ProductModel ;
    schema:isbn "9812709509" ;
    schema:isbn "9789812709509" ;
    .

<https://ebookcentral.proquest.com/lib/ben/detail.action?docID=1681339>
    rdfs:comment "(access limited to Benedictine University patrons)" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.