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Credit Risk: Models, Derivatives, and Management: Chapman and Hall/CRC Financial Mathematics Series

Editat de Niklas Wagner
en Limba Engleză Hardback – 28 mai 2008
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sections, the book
•          Explores the rapidly developing area of credit derivative products, including iTraxx Futures, iTraxx Default Swaptions, and constant proportion debt obligations
•          Addresses the relationships between the DJ iTraxx credit default swap (CDS) index and the stock market as well as CDS spreads and macroeconomic factors
•          Investigates systematic and firm-specific default risk factors, compares CDS pricing results from the CreditGrades industry benchmark to a trinomial tree approach, and applies the Hull–White intensity-based model to the pricing of names from the CDX index
•          Analyzes aggregate default and recovery rates on corporate bond defaults over a twenty-year period, the responses of hazard rates to changes in a set of economic variables, low-default portfolios, and tests on the accuracy of the Basel II framework
•          Describes benchmark models of implied credit correlation risk, copula-based default dependence concepts, the fit of various copula models, and a common factor model of systematic credit risk
•          Studies the pricing of options on single-name CDSs, the pricing of credit derivatives, collateralized debt obligation (CDO) price data, the pricing of CDO tranches, applications of Gaussian and Student’s t copula functions, and the pricing of CDOs
Using mathematical models and methodologies, this volume provides the essential knowledge to properly manage credit risk and make sound financial decisions.
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Specificații

ISBN-13: 9781584889946
ISBN-10: 1584889942
Pagini: 598
Ilustrații: 94 b/w images, 128 tables and 361 equations
Dimensiuni: 178 x 254 x 38 mm
Greutate: 1.27 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series


Public țintă

Professional and Professional Practice & Development

Cuprins

Preface. A View on Credit Derivatives.Credit Risk, Spreads, and Spread Determinants.Credit Risk Modeling and Pricing.Default Risk, Recovery Risk, and Rating.Credit Risk Dependence and Dependent Defaults.Options, Portfolios, and Pricing Loss Distribution Tranches. Index.

Recenzii

Credit Risk: Models, Derivatives, and Management is the most comprehensive available volume of authoritative readings on credit risk modeling. Niklas Wagner has given us a package of 26 chapters by well-recognized authors, treating all major aspects of the subject, from the behavior of default probabilities, recovery, and correlation to the pricing of a wide range of single-name and multi-name credit products. Every practitioner covering the topic will appreciate access to this collection.”
—Darrell Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School of Business, Stanford University, California, USA
"Well-recognized academics and industry experts offer their perspectives on current advances in credit risk modeling, pricing, and management . . . contains a nice mixture of theoretical and empirical contributions. In view of the current U.S. subprime mortgage loan crisis, CDO-based credit problems and several bankruptcies of financial institutions, this book is highly topical and offers valuable tools to both academics and practitioners alike."
– Giacomo Bonanno, in Zentralblatt Math, 2009

Descriere

This volume illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. It focuses on new products and their applications in the financial services industry and addresses the growing market of credit derivatives. The expert contributors examine issues specific to certain geographic areas, such as Latin America, Argentina, and the United States, and discuss recent cases of corporate bankruptcy, including Tyco, Worldcom, Enron, and Parmalat. The book also covers default and recovery risks, credit ratings, and applications within the Basel II framework.