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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