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Table of Contents
Part I: Introduction
1. Non-technical Introduction, Gillian Tett
2. Technical Introduction, Alexander Lipton & Andrew Rennie
Part II: Statistical Overview
3. Default Recovery Rates and LGD in Credit Risk Modelling and Practice, Edward I. Altman
4. A Guide to Modelling Credit Term Structures, Arthur M. Berd
5. Statistical Data Mining Procedures in Generalized Cox Regressions, Zhen Wei
Part III: Single and Multi-name Theory
6. An Exposition of CDS Market Models, Lutz Schloegl
7. Single and Multi-name Credit Derivatives: Theory and Practice, Alexander Lipton and David Shelton
8. Marshall-Olkin Copula Based Models, Youssef Elouerkhaoui
9. Contagion Models in Credit Risk, Mark H. A. Davis
10. Markov Chain Models of Portfolio Credit Risk, Tomasz R. Bielecki, Stephane Crepey and Alexander Herbertsson
11. Counterparty Risk in Credit Derivative Contracts, Jon Gregory
12. Credit Value Adjustment in the Extended Structural Default Model, Alexander Lipton and Artur Sepp
Part IV: Beyond Normality
13. A New Philosophy of the Market, Elie Ayache
14. An EVT Primer for Credit Risk, Valerie Chavez-Demoulin and Paul Embrechts
15. Saddlepoint Methods in Portfolio Theory, Richard J. Martin
Part V: Securitzation
16. Quantitative Aspects of the Collapse of the Parallel Banking System, Alexander Batchvarov
17. Home Price Derivatives and Modelling, Alexander Levin
18. A Valuation Model for ABS CDOs, Julian Manzano, Vladimir Kamotski, Umberto Pesavento and Alexander Lipton