Credit Risk
eBook - PDF

Credit Risk

Models, Derivatives, and Management

  1. 600 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Credit Risk

Models, Derivatives, and Management

About this book

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 sectio

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Yes, you can access Credit Risk by Niklas Wagner in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Chapman and Hall/CRC
Year
2008
Print ISBN
9781584889946
eBook ISBN
9781584889953
Edition
1
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Front cover
  2. Contents
  3. Preface
  4. Editor
  5. Contributors
  6. Part I: A View on Credit Derivatives
  7. Chapter 1. Single Name Credit Default Swap Valuation: A Review
  8. Chapter 2. Valuation of Credit Derivatives with Counterparty Risk
  9. Chapter 3. Integrated Credit Portfolio Management: A Preview
  10. Chapter 4. Credit Default Swaps and an Application to the Art Market: A Proposal
  11. Part II: Credit Risk, Spreads, and Spread Determinants
  12. Chapter 5. Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market
  13. Chapter 6. The Determinants of Credit Default Swap Prices: An Industry-Based Investigation
  14. Chapter 7. Credit Spread Dynamics: Evidence from Latin America
  15. Chapter 8. Accounting Data Transarency and Credit Spreads: Cinical Studies
  16. Chapter 9. Anticipating Credit Events Using Credit Default Swaps: An Application to Soverign Debt Crises
  17. Part III: Credit Risk Modeling and Pricing
  18. Chapter 10. Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models
  19. Chapter 11. Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees
  20. Chapter 12. Pricing CDX Credit Default Swaps Using the Hull-White Model
  21. Part IV: Default Risk, Recovery Risk, and Rating
  22. Chapter 13. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications
  23. Chapter 14. Business and Financial Indicators: What Are the Determinants of Default Probablility Changes?
  24. Chapter 15. Managing Credit RIsk for Retail Low-Default Portfolios*
  25. Chapter 16. Tests on the Accuracy of Basel II
  26. Part V: Credit Risk Dependence and Dependent Defaults
  27. Chapter 17. Correlation Risk: What the Market Is Telling Us and Does It Make Sence?*
  28. Chapter 18. Copula-Based Default Dependence Modeling: Where Do We Stand?
  29. Chapteer 19. Correlated Default Processes: A Criterion-Based Copula Approach
  30. Chapter 20. Systematic Credit Risk: CDX Index Correlation and Extreme Dependence
  31. Part VI: Options, Portfolios, and Pricing Loss Distribution Tranches
  32. Chapter 21. CDS Options through Candidate Market Models and the CDS-Calibrated CIR++ Stochastic Intensity Model
  33. Chapter 22. Arbitrage Pricing of Credit Derivatives*
  34. Chapter 23. An Empiriacl Anaylsis of CDO Data
  35. Chapter 24. Prcing Trached Credit Products with Generalized Multifactor Models
  36. Chapter 25. CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing
  37. Chapter 26. Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach
  38. About the Contributors
  39. Index
  40. Back cover