Article

Technical Introduction

Andrew Rennie and Alexander Lipton

in The Oxford Handbook of Credit Derivatives

Published in print January 2011 | ISBN: 9780199546787
Published online September 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780199546787.013.0002

Series: Oxford Handbooks in Finance

 Technical Introduction

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This article begins with a brief discussion of how the current global credit crisis differs from previous ones, specifically in the form of the underlying relationship between borrowers and lenders, and then sets out the purpose of the book, which is to provide an overview of the complex and relatively novel area of mathematical modelling. Given the fact that mathematics entering into the analysis of credit risk was contemporaneous with unprecedented growth in the credit markets and thus preceded the crash, it is not surprising that many view mathematics as the cause of the crisis. It is argued that, despite the inevitable shortcomings of each mathematical model used, mathematics was not the cause of the current difficulties.

Keywords: credit risk; mathematical modelling; credit crisis

Article.  9485 words. 

Subjects: Economics ; Financial Markets ; Econometric and Statistical Methods and Methodology: General

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