Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago. He has also worked at Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He is the patron of the 14-10 Club at the Royal Institution. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of four. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences worldwide. Andrew Rennie has spent nineteen years in finance, specialising in derivatives pricing and risk management. He has worked at UBS, Rabobank International, and Merrill Lynch, where he managed all quantitative and modelling activity in derivatives across fixed income, credit, foreign exchange, commodities, and equities globally. He retired from Merrill Lynch in 2009 to advise on pricing and risk issues to governments, regulators, banks, and hedge funds. He graduated with a First in Mathematics from Cambridge University and published papers in Mathematical Chemistry on the properties of one-dimensional inclusion compounds. He co-authored a textbook on derivative pricing- Financial Calculus- and has also co-edited Credit Correlation - Life after Copulas.

• PART I: INTRODUCTION; PART II: STATISTICAL OVERVIEW; PART III: SINGLE AND MULTI-NAME THEORY; PART IV: BEYOND NORMALITY; PART V: SECURITZATION

Review from previous edition If ever there was an area in quantitative finance that needed some penetrating light cast on it, it would be the arcane world of credit derivatives. This valuable collection of top-notch contributions from the foremost experts in the field does just that: it illuminates its subject with great clarity and breadth, and deserves to remain a standard reference for years to come. I commend the editors for their selection and organization of topics, and highly recommend this book

Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago. He has also worked at Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He is the patron of the 14-10 Club at the Royal Institution. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of four. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences worldwide. Andrew Rennie has spent nineteen years in finance, specialising in derivatives pricing and risk management. He has worked at UBS, Rabobank International, and Merrill Lynch, where he managed all quantitative and modelling activity in derivatives across fixed income, credit, foreign exchange, commodities, and equities globally. He retired from Merrill Lynch in 2009 to advise on pricing and risk issues to governments, regulators, banks, and hedge funds. He graduated with a First in Mathematics from Cambridge University and published papers in Mathematical Chemistry on the properties of one-dimensional inclusion compounds. He co-authored a textbook on derivative pricing- Financial Calculus- and has also co-edited Credit Correlation - Life after Copulas.

• PART I: INTRODUCTION; PART II: STATISTICAL OVERVIEW; PART III: SINGLE AND MULTI-NAME THEORY; PART IV: BEYOND NORMALITY; PART V: SECURITZATION

Review from previous edition If ever there was an area in quantitative finance that needed some penetrating light cast on it, it would be the arcane world of credit derivatives. This valuable collection of top-notch contributions from the foremost experts in the field does just that: it illuminates its subject with great clarity and breadth, and deserves to remain a standard reference for years to come. I commend the editors for their selection and organization of topics, and highly recommend this book

Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago. He has also worked at Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He is the patron of the 14-10 Club at the Royal Institution. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of four. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences worldwide. Andrew Rennie has spent nineteen years in finance, specialising in derivatives pricing and risk management. He has worked at UBS, Rabobank International, and Merrill Lynch, where he managed all quantitative and modelling activity in derivatives across fixed income, credit, foreign exchange, commodities, and equities globally. He retired from Merrill Lynch in 2009 to advise on pricing and risk issues to governments, regulators, banks, and hedge funds. He graduated with a First in Mathematics from Cambridge University and published papers in Mathematical Chemistry on the properties of one-dimensional inclusion compounds. He co-authored a textbook on derivative pricing- Financial Calculus- and has also co-edited Credit Correlation - Life after Copulas.

• PART I: INTRODUCTION; PART II: STATISTICAL OVERVIEW; PART III: SINGLE AND MULTI-NAME THEORY; PART IV: BEYOND NORMALITY; PART V: SECURITZATION

Review from previous edition If ever there was an area in quantitative finance that needed some penetrating light cast on it, it would be the arcane world of credit derivatives. This valuable collection of top-notch contributions from the foremost experts in the field does just that: it illuminates its subject with great clarity and breadth, and deserves to remain a standard reference for years to come. I commend the editors for their selection and organization of topics, and highly recommend this book