Credit Risk
eBook - ePub

Credit Risk

Models, Derivatives, and Management

  1. English
  2. ePUB (mobile friendly)
  3. Available on iOS & Android
eBook - ePub

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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Information

Publisher
Chapman and Hall/CRC
Year
2008
Topic
Business
eBook ISBN
9781040171288
Subtopic
Investments & Securities
Index
Business

Table of contents

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

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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 & Investments & Securities. We have over 1.5 million books available in our catalogue for you to explore.