Credit Risk

Credit Risk : Models, Derivatives, and Management

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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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Product details

  • Electronic book text | 600 pages
  • Taylor & Francis Ltd
  • Chapman & Hall/CRC
  • London, United Kingdom
  • 361 equations; 128 Tables, black and white; 94 Illustrations, black and white
  • 1584889950
  • 9781584889953

Table of contents

Preface A View on Credit Derivatives Single Name Credit Default Swap Valuation: An Introductory Review Anouk G.P. Claes and Marc J.K. De Ceuster Valuation of Credit Derivatives with Counterparty Risk Volker Lager, Andreas Oehler, Marco Rummer, and Dirk Schiefer Integrated Credit Portfolio Management: A Preview Jochen Felsenheimer and Philip Gisdakis Credit Default Swaps and an Application to the Art Market: A Proposal Rachel A.J. Campbell and Christian Wiehenkamp Credit Risk, Spreads, and Spread Determinants Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market Hans Bystroem The Determinants of CDS Prices: An Industry-Based Investigation Danielle Sougne, Cedric Heuchenne, and Georges Hubner Credit Spread Dynamics: Evidence from Latin America Kannan Thuraisamy, Gerry Gannon, and Jonathan A. Batten Accounting Data Transparency and Credit Spreads: Clinical Studies Umberto Cherubini Anticipating Credit Events Using Credit Default Swaps: An Application to Sovereign Debt Crises Jorge Antonio Chan-Lau Credit Risk Modeling and Pricing Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models Gurdip Bakshi, Dilip Madan, and Frank Xiaoling Zhang Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees Christian Stewart and Niklas Wagner Pricing CDX Credit Default Swaps Using the Hull-White Model Bastian Hofberger and Niklas Wagner Default Risk, Recovery Risk, and Rating The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications Edward I. Altman, Brooks Brady, Andrea Resti, and Andrea Sironi Business and Financial Indicators: What Are the Determinants of Default Probability Changes? Fabien Couderc, Olivier Renault, and Olivier Scaillet Managing Credit Risk for Retail Low-Default Portfolios Gabriele Sabato Tests on the Accuracy of Basel II Simone Varotto Credit Risk Dependence and Dependent Defaults Correlation Risk: What the Market Is Telling Us and Does It Make Sense? Vineer Bhansali Copula-Based Default Dependence Modeling: Where Do We Stand? Elisa Luciano Correlated Default Processes: A Criterion-Based Copula Approach Sanjiv R. Das and Gary Geng Systematic Credit Risk: CDX Index Correlation and Extreme Dependence Sofiane Aboura and Niklas Wagner Options, Portfolios, and Pricing Loss Distribution Tranches CDS Options through Candidate Market Models and the CDS-Calibrated CIR++ Stochastic Intensity Model Damiano Brigo Arbitrage Pricing of Credit Derivatives Siu Lam Ho and Lixin Wu An Empirical Analysis of CDO Data Vincent Leijdekker, Martijn van der Voort, and Ton Vorst Pricing Tranched Credit Products with Generalized Multifactor Models Manuel Moreno, Juan I. Pena, and Pedro Serrano CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for Pricing iTraxx Jean-Michel Bourdoux, Georges Hubner, and Jean-Roch Sibille Numerical Pricing of CDOs: A Monte Carlo Approach Manuel Moreno and Pedro Serrano Index
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