Credit risk models, derivatives, and management
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Boca Raton, Fla. [u.a.]
CRC Press
2008
|
| Schriftenreihe: | Chapman & Hall/CRC financial mathematics series
A Chapman & Hall book |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
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MARC
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| 245 | 1 | 0 | |a Credit risk |b models, derivatives, and management |c ed. by Niklas Wagner |
| 264 | 1 | |a Boca Raton, Fla. [u.a.] |b CRC Press |c 2008 | |
| 300 | |a XXIV, 574 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 490 | 0 | |a Chapman & Hall/CRC financial mathematics series | |
| 490 | 0 | |a A Chapman & Hall book | |
| 650 | 4 | |a Gestion du risque - Modèles mathématiques | |
| 650 | 7 | |a Gestion du risque - Modèles mathématiques |2 ram | |
| 650 | 4 | |a Instruments dérivés de crédit - Modèles mathématiques | |
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Datensatz im Suchindex
| DE-BY-TUM_call_number | 0102 WIR 160f 2008 B 1818 |
|---|---|
| DE-BY-TUM_katkey | 1635537 |
| DE-BY-TUM_location | 01 |
| DE-BY-TUM_media_number | 040010093986 |
| DE-BY-UBR_call_number | 40/QK 320 W134 |
| DE-BY-UBR_katkey | 4266600 |
| DE-BY-UBR_location | 40 |
| DE-BY-UBR_media_number | 069037186545 |
| _version_ | 1822738509552680960 |
| adam_text | Contents
Preface
ix
Editor xix
Contributors
xxi
Part I A VIEW ON CREDIT DERIVATIVES
Chapter
1 ■
Single Name Credit Default Swap Valuation:
A Review
3
Anouk G.P.
Claes
and Marc J.K.
De
Ceuster
Chapter
2 ■
Valuation of Credit Derivatives with Counterparty Risk
_______
2A_
Volker Läger,
Andreas Oehler, Marco Rummer, and
Dirk Schiefer
Chapter
3 ■
Integrated Credit Portfolio Management: A Preview
_________39
Jochen Felsenheimer
and Philip Gisdakis
Chapter
4 ■
Credit Default Swaps and an Application to the
____________
Art Market: A Proposal
________________________________________
53_
Rachel AJ. Campbell and Christian Wiehenkamp
Part II CREDIT RISK, SPREADS, AND SPREAD DETERMINANTS
Chapter
5 ■
Credit Default Swaps and Equity Prices: The ¡Traxx
__________
CDS Index Market
____________________________________69
Hans
Byström
VI
Chapter
6 ■
The Determinants of Credit Default Swap Prices:
___________
An Industry-Based Investigation
____________________________85
Danielle
Sougné, Cédric Heuchenne,
and Georges
Hübner
Chapter
7 ■
Credit Spread Dynamics: Evidence from Latin America
_______97
Kannan Thuraisamy,
Gerry Gannon, and Jonathan A. Batten
Chapter
8 ■
Accounting Data Transparency and Credit Spreads:
___________
Clinical Studies
__________________________________________115
Umberto
Cherubini
Chapter
9 ■
Anticipating Credit Events Using Credit Default Swaps:
___________
An Application to Sovereign Debt Crises
___________________139
Jorge Antonio Chan-Lau
Part III CREDIT RISK MODELING AND PRICING
Chapter
10 ■
Investigating the Role of Systematic and Firm-Specific
Factors in Default Risk: Lessons from Empirically
____________
Evaluating Credit Risk Models
___________________________157
Gurdip Bakshi, Dilip Madan, and Frank Xiaoling Zhang
Chapter
11 ■
Pricing CDX Credit Default Swaps with CreditGrades
____________
and Trinomial Trees
____________________________________181
Christian Stewart and
Niklas
Wagner
Chapter
12 ■
Pricing CDX Credit Default Swaps Using
____________
the Hull-White Model
__________________________________197
Bastian Hofberger
and
Niklas
Wagner
Part IV DEFAULT RISK, RECOVERY RISK, AND RATING
Chapter
13 ■
The Link between Default and Recovery Rates:
____________
Theory, Empirical Evidence, and Implications
_____________211
Edward I.
Altman,
Brooks Brady, Andrea
Resti,
and Andrea Sironi
Chapter
14 ■
Business and Financial Indicators: What Are the
____________
Determinants of Default Probability Changes?
_____________
235_
Fabien
Couderc, Olivier Renault, and Olivier Scaillet
■
vìi
Chapter
15 ■
Managing
Credit Risk for Retail Low-Default Portfolios
269
Gabriele Sabato
Chapter
1
б
■
Tests on the Accuracy of Basel
11_______________________289
Simone
У
arotto
Part V CREDIT RISK DEPENDENCE AND DEPENDENT DEFAULTS
Chapter
17»
Correlation Risk: What the Market Is Telling Us
___________
and Does It Make Sense?
_____________________________317
Mineer Bhansali
Chapter
18 ■
Copula-Based Default Dependence Modeling:
___________
Where Do We Stand?
_______________________________327
Elisa
Luciano
Chapter
19 ■
Correlated Default Processes: A Criterion-Based
___________
Copula Approach
___________________________________347
Sanjiv
R.
Das and
Cary
Ceng
Chapter
20 ■
Systematic Credit Risk: CDX Index Correlation
___________
and Extreme Dependence
____________________________377
Soriane Aboura
and
Niklas
Wagner
Part VI OPTIONS, PORTFOLIOS, AND PRICING LOSS DISTRIBUTION
TRANCHES
Chapter
21 ■
CDS Options through Candidate Market Models
___________
and the
CDS-Calibrated CIR++
Stochastic Intensity Model
393
Damiano
Brigo
Chapter
22 ■
Arbitrage Pricing of Credit Derivatives
__________________427
Siu Lam Ho and Lixin Wu
Chapter
23 ■
An Empirical Analysis of CDO Data
____________________457
Vincent Leijdekker, Martijn van
der Voort,
and Ton
Vorst
viii
Chapter
24 ■
Pricing Tranched Credit Products with Generalized
___________
Multifactor Models
__________________________________485
Manuel Moreno, Juan I.
Peña,
and Pedro Serrano
Chapter
25 ■
CDO Prices and Risk Management: A Comparative
___________
Study of Alternative Approaches for iTraxx Pricing
________511
Jean-Michel Bourdoux, Georges
Hübner,
and Jean-Roch
Sibille
Chapter
26 ■
Numerical Pricing of Collateral Debt Obligations:
___________
A Monte Carlo Approach
_____________________________527
Manuel Moreno and Pedro Serrano
About the Contributors
551
Index
565
Credit
Risk
Models, Derivatives, and Management
Credit Risk: Models, Derivatives, and Management is the most comprehensive
available volume of authoritative readings on credit risk modeling.
Niklas
Wagner has
given
usa
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
The recent U.S.
subprime
mortgage loan crisis, collateralized debt obligation (CDO)-
related credit problems, several bankruptcies of low-grade lending institutions, and the
related financial problems of major financial institutions worldwide prove the ongoing
relevancy of thoughtful credit risk modeling and management. Experts expect overall
losses of about
$265
billion in the worldwide industry due to the continuing credit
crisis.
Featuring contributions from leading international academics and practitioners,
Credit Risk: Models, Derivatives, and Management illustrates how a risk management
system can be implemented through a set of suitable models and the derivation of
reliable empirical results. Using mathematical models and methodologies, it provides
the essential knowledge to properly manage credit risk.
Divided into six sections, the book
•
Explores the rapidly developing area of credit derivative products
•
Addresses the relationships between the
DJ
iTraxx index and the stock market
as well as credit default swap (CDS) spreads and macroeconomic factors
•
Investigates systematic and firm-specific default risk factors and compares CDS
pricing results from various models, including CreditGrades
•
Analyzes aggregate default rates, responses of hazard rates to changes in
economic variables, low-default portfolios, and tests on the accuracy of Basel II
•
Describes benchmark models of credit correlation, copula-based default
dependence concepts, common factor models, and the pricing of CDOs
•
Discusses recent cases of corporate bankruptcy, including Enron and
Worldcom
|
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| indexdate | 2024-12-23T20:57:02Z |
| institution | BVB |
| isbn | 1584889942 9781584889946 |
| language | English |
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| series2 | Chapman & Hall/CRC financial mathematics series A Chapman & Hall book |
| spellingShingle | Credit risk models, derivatives, and management Gestion du risque - Modèles mathématiques Gestion du risque - Modèles mathématiques ram Instruments dérivés de crédit - Modèles mathématiques Kreditderivat (DE-588)7660453-6 gnd Mathematische Methode (DE-588)4155620-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)7660453-6 (DE-588)4155620-3 (DE-588)4121590-4 (DE-588)4143413-4 |
| title | Credit risk models, derivatives, and management |
| title_auth | Credit risk models, derivatives, and management |
| title_exact_search | Credit risk models, derivatives, and management |
| title_full | Credit risk models, derivatives, and management ed. by Niklas Wagner |
| title_fullStr | Credit risk models, derivatives, and management ed. by Niklas Wagner |
| title_full_unstemmed | Credit risk models, derivatives, and management ed. by Niklas Wagner |
| title_short | Credit risk |
| title_sort | credit risk models derivatives and management |
| title_sub | models, derivatives, and management |
| topic | Gestion du risque - Modèles mathématiques Gestion du risque - Modèles mathématiques ram Instruments dérivés de crédit - Modèles mathématiques Kreditderivat (DE-588)7660453-6 gnd Mathematische Methode (DE-588)4155620-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Gestion du risque - Modèles mathématiques Instruments dérivés de crédit - Modèles mathématiques Kreditderivat Mathematische Methode Risikomanagement Aufsatzsammlung |
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