- Focuses on new merchandise and their functions within the monetary companies trade
- Addresses essential credit score danger points, together with the rising market of credit score derivatives
- Examines points particular to sure geographic areas, similar to Latin America, Argentina, and the United States
- Discusses latest circumstances of company chapter, together with Tyco, Worldcom, Enron, and Parmalat
- Covers default and restoration dangers, credit score rankings, and functions throughout the Basel II framework
- Uses quite a few fashions, similar to single-name credit score danger, Black-type, stochastic depth, generalized multifactor, and Monte Carlo, to elucidate charges, danger, and pricing
Featuring contributions from main worldwide lecturers and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a danger administration system might be carried out by way of an understanding of portfolio credit score dangers, a set of appropriate fashions, and the derivation of dependable empirical outcomes.
Divided into six sections, the ebook
- Explores the quickly creating space of credit score by-product merchandise, together with iTraxx Futures, iTraxx Default Swaptions, and fixed proportion debt obligations
- Addresses the relationships between the DJ iTraxx credit score default swap (CDS) index and the stock market in addition to CDS spreads and macroeconomic components
- Investigates systematic and firm-specific default danger components, compares CDS pricing outcomes from the CreditGrades trade benchmark to a trinomial tree strategy, and applies the Hull–White intensity-based mannequin to the pricing of names from the CDX index
- Analyzes mixture default and restoration charges on company bond defaults over a twenty-year interval, the responses of hazard charges to modifications in a set of financial variables, low-default portfolios, and assessments on the accuracy of the Basel II framework
- Describes benchmark fashions of implied credit score correlation danger, copula-based default dependence ideas, the match of assorted copula fashions, and a standard issue mannequin of systematic credit score danger
- Studies the pricing of choices on single-name CDSs, the pricing of credit score derivatives, collateralized debt obligation (CDO) value information, the pricing of CDO tranches, functions of Gaussian and Student’s t copula features, and the pricing of CDOs
Using mathematical fashions and methodologies, this quantity supplies the important data to correctly handle credit score danger and make sound monetary selections.