Credit Risk: Models, Derivatives, and Management

Dempster, M.A.H. (Series edited by)/ Cont, Rama (Series edited by)/ Wagner, Niklas (Edited by)

ISBN 10: 1584889942 / ISBN 13: 9781584889946

Edité par Chapman & Hall, 2008

1st edition. 600 pages. 10.24x7.28x1.38 inches. In Stock. N° de réf. du vendeur __1584889942

Synopsis :

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.

À propos de l?auteur: Niklas Wagner

Détails bibliographiques

Titre : Credit Risk: Models, Derivatives, and ...
Éditeur : Chapman & Hall
Date d'édition : 2008
Reliure : Hardcover
Etat : Brand New