Table Of Contents:
Preface vii
About the Editor ix
About the Authors xi
Introduction xxi

Alexander Lipton

PART I DEFAULTS OF INDIVIDUAL OBLIGORS 1(84)

The Price of Credit 3(14)

Philippe Khuong-Huu

Vladimir Finkelstein

Bruce Broder

Equity to Credit Pricing 17(12)

George Pan

Assets with Jumps 29(16)

Alexander Lipton

A Measure of Survival 45(22)

Philipp Schonbucher

Hybrid Equity-Credit Modelling 67(18)

Marc Atlan

Boris Leblanc

PART II DEFAULTS IN LARGE PORTFOLIOS 85(74)

Reconcilable Differences 87(16)

H. Ugur Koyluoglu

Andrew Hickman

Copulas and Credit Models 103(12)

Rudiger Frey

Alexander McNeil

Mark Nyfeler

Loan Portfolio Value 115(10)

Oldrich Vasicek

Random Tranches 125(18)

Michael Gordy

David Jones

An Indirect View from the Saddle 143(16)

Richard J. Martin

Roland Ordovas

PART III DEFAULTS IN MEDIUM AND SMALL PORTFOLIOS 159(136)

Pricing Default Baskets 161(14)

Wolfgang Schmidt

Ian Ward

Long or Short in CDOs 175(18)

Hans Boscher

Ian Ward

Calculating Portfolio Loss 193(18)

Sandro Merino

Mark Nyfeler

I Will Survive 211(16)

Jean-Paul Laurent

Jon Gregory

All Your Hedges in One Basket 227(22)

Leif Andersen

Jakob Sidenius

Susanta Basu

Dynamic Frailties and Credit Portfolio Modelling 249(18)

Martin Delloye

Jean-David Fermanian

Mohammed Sbai

Gamma Process Dynamic Modelling of Credit 267(12)

Martin Baxter

Factor Models for Credit Correlation 279(16)

Stewart Inglis

Alexander Lipton
Index 295