Further Advances in Measurement and Management
Edited By Various
Focuses on uncertain credit exposure and the range of challenges facing institutions wishing to achieve optimal credit risk management.
SPECIFICATIONS
Book Size: A4
Pages: 280pp
ISBN-10: 1-899332-48-0
ISBN-13: 978-1-899332-48-9
Binding: Hardback
Format: Book
SUMMARY
- Completely revised and updated edition
- New writing examines a range of issues including uncertain credit exposures, risk migration and aggregation and credit risk as part of the entire risk management strategy
- Includes three main sections: management and measurement; simulation and state variables; and portfolio diversification and hedging
- Analyses credit risk as part of the entire risk management strategy
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TABLE OF CONTENTS
Introduction
DAVID LANDO
Derivative Credit Risk: The Modelling Perspective
COLIN ALEXANDER
An Empirical Analysis of Corporate Rating Migration, Default and Recovery
SEAN KEENAN / LEA CARTY
Capital Allocation: A Capital Problem
JESSICA JAMES
Managing Default Risk in Portfolios of Derivatives
STEPHEN KEALHOFER
Simulating for the Long-Term
ALVIN KURUC / MICHAEL BRADLEY
Integrated Risk Management
JAMES LAM
The Value-at-Risk Approach to Credit Risk Measurement
DAVID LAWRENCE
Measuring Credit Risk and Required Capital
DOUGLAS LUCAS
Integrated Credit Risk Management
BOB MARK
Managing the Credit Risk of Credit Derivatives Portfolios
TOM MCNERNEY
Hedging Derivative Credit Risk
JOHAN BEUMEE / BIANCA HILBERINK / SAMIR PATEL / PETER WALSH
Credit Default Swaps: Transferring Corporate & Sovereign Credit Risk
MARY ROONEY
Aggregating Market-Driven Credit Exposures: A Multiple Risk Source Approach
DAVID M ROWE / MICHAEL MULHOLLAND NEW
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QUOTES
″The classic text on derivatives' credit risk. The focus is on derivatives in the capital markets. However, the issues and modelling solutions are applicable to all OTC derivatives markets, and especially the energy markets″
Glyn Holton, Contingency Analysis
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REVIEW
Reviewed by Glyn Holton, Contingency Analysis
Now in its second edition, this edited collection is the classic text on derivatives credit risk. There are many factors which make derivatives' credit risk different from that of traditional debt instruments. The most important of these is their uncertain credit exposures. Several chapters in the book explore this topic, including the seminal paper by David Lawrence's, which has been significantly expanded for the new edition. Other chapters discuss credit risk analysis, credit rating migration, credit risk aggregation, credit derivatives and credit risk in an overall risk management strategy. The focus of the discussions is on derivatives in the capital markets. However, the issues and modeling solutions are applicable to all OTC derivatives markets, and especially the energy markets.
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CONTRIBUTORS
DAVID LANDO, COLIN ALEXANDER, SEAN KEENAN, LEA CARTY, JESSICA JAMES, STEPHEN KEALHOFER, ALVIN KURUC, MICHAEL BRADLEY, JAMES LAM, DAVID LAWRENCE, DOUGLAS LUCAS, BOB MARK, TOM MCNERNEY, JOHAN BEUMEE, BIANCA HILBERINK, SAMIR PATEL, PETER WALSH, MARY ROONEY, DAVID M ROWE, MICHAEL MULHOLLAND
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CUSTOMERS WHO BOUGHT THIS TITLE ALSO BOUGHT:
Credit Derivatives - Edited By Jon Gregory
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Credit Risk Modelling - Edited By Michael Gordy
Liquidity Black Holes - Edited By Avinash Persaud
Credit - By Angelo Arvanitis and Jon Gregory
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