Credit Risk

Book description

• Contains practical and timely information on how to use the newest modelling and measurement tools for managing credit risk with specially commissioned chapters, evaluation and comment from leading practitioners and academics actively involved within the industry
• Utilises statistical evidence backed by astute commentary to provide a modern and relevant explanation on all the various elements of credit risk
• Subdivided into five main reference sections - each with introductions to illustrate their significance and explain the main points to be discussed -
• Risky Bonds in the Portfolio and Market Context
• Valuation of Risky Debt
• Default Probabilities, Recoveries and Credit Ratings
• Structured Credit Products
• Practitioners’ Tools to Managing Credit Risk
• Indispensable to those who are involved or must deal with credit risk at any level

Book details

ISBN

9781904339588

Publish date

1 Apr 2004

Format

Size

155mm x 235mm

Editor biography

David Shimko

David Shimko is Founder and President of Risk Capital Management Partners LLC, and is Senior Lecturer in finance at the Harvard Business School. He consults extensively with senior executives globally in the area of risk-based corporate finance, strategic risk management, credit risk management, risk policy and implementation. He also serves on the Board of Trustees of the Global Association of Risk Professionals and is active in the association.

Before founding RCM, David worked with Bankers Trust as Principal and Head of the Risk Management Advisory Group. Prior to Bankers Trust, he was Vice President and Head of Risk Management Research at J.P. Morgan Securities. He also managed Commodity Derivatives Research on J.P. Morgan’s trading desk.

David was Assistant Professor of Finance at the University of Southern California. He has published over 50 academic and trade articles on strategic issues and the practice of risk management, including the first edition of this text. He has written a technical textbook at the PhD level entitled Finance in Continuous Time: A Primer. He was the end-user columnist in Risk Magazine for 4 years.

David completed his PhD in Managerial Economics/Finance from Northwestern University in 1988, and his BA in Economics from Northwestern in 1982.

Table of contents

CONTENTS

Foreword

List of contributors

Introduction

David Shimko

Section 1: Risky Bonds In The Portfolio and Market Context

Introduction

David Shimko

1 Defaults and Returns in the High-Yield Bond Market: The Year 2003 in Review and Market Outlook

Edward I. Altman, Gonzalo Fanjul

2 Portfolio Credit Risk (I)

Thomas C. Wilson

3 Portfolio Credit Risk (II)

Thomas C. Wilson

Section 2: Valuation of Risky Debt

Introduction

David Shimko

4 On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

Robert C. Merton

5 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

Francis A. Longstaff, Eduardo S. Schwartz

6 Credit Risk Revisited

Michel Crouhy; Dan Galai; Robert M. Mark

7 Assessing the Probability of Bankruptcy

Stephen A. Hillegeist; Elizabeth K. Keating; Donald P. Cram; Kyle G. Lundstedt

Section 3: Default Probabilities, Recoveries and Credit Ratings

Introduction

David Shimko

8 ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations

Edward I. Altman; Robert G. Haldeman; P. Narayanan

9 What Do We Know About Loss Given Default?

Til Schuermann

10 Performance Evaluation for Credit Spread and Default Risk Models

Jorge R. Sobehart, Sean C. Keenan

11 Testing Rating Accuracy

Bernd Engelmann, Dirk Tasche

Section 4: Structured Credit Products

Introduction

David Shimko

12 Pricing Derivatives on Financial Securities Subject to Credit Risk

Robert A. Jarrow; Stuart M. Turnbull

13 Credit Swap Valuation

Darrell Duffie

14 Comparing the Dependence Structure of Equity and Asset Returns

Roy Mashal, Marco Naldi, Assaf Zeevi

15 An Introduction to CDO Modelling and Applications

Christian Bluhm; Ludger Overbeck

Section 5: Practitioners Tools for Managing Credit Risk

Introduction

David Shimko

16 Credit Risk Modelling and Valuation: An Introduction

Kay Giesecke

17 Contributions to Credit Risk

Alexandre Kurth; Dirk Tasche

18 Enhancing Credit Performance with Market-Implied Credit Measures and Default Swaps

Tim Backshall

19 Practical Usage of Credit Risk Models in Loan Portfolio and Counterparty Exposure Management: An Update

Robert A. Jarrow; Donald R. van Deventer

20 A Comparison of Stochastic Default Rate Models

Christopher C. Finger

Index

Testimonials

“A great resource for current credit risk practitioners seeking the latest thinking on credit risk models and management techniques. The clear, concise and easily understood explanations provided in the book, of the relationships between different credit risk methodologies and perspectives, are unique and timely.“

Richard Apostolik, President, Global Association of Risk Professionals