The author, Terry Benzschawel, succeeds in breaking down credit risk modelling into something that is easy to understand. The book does three main things:
- Describe data, theory and applications regarding corporations’ and sovereign nations’ likelihoods of default.
- Explain how the market prices the risk of default and its associated risk premiums.
- Present methods and examples of how this information can be used to manage the risk of credit portfolios and for trading of corporate bonds and credit default swaps.
By providing an understanding of a previously very confused topic, the book will help interpret the facts of credit in a way that makes sense. This is done by providing theoretically sound and consistent methods for valuing bonds, loans and credit derivatives that is consistent with the facts of credit defaults and spreads.
This book is a must-read for anyone wishing to understand credit risk from mathematical and intuitive perspectives. It is a point of reference for all credit risk modelling practitioners.
- Book - 9781906348588 / eBook - 9781908823809
- Publish date
- 30 May 2012
- 155mm x 235mm
Table of contents
SECTION I: Facts, Tools and Theory
Part I: Credit Risk – Facts and Basic Tools
1. Credit Risk
2. Rating Agencies, Default Risk and Loss Given Default
Part II: Modelling Credit Risk
4. Fundamental Analysis
5. Statistical and Reduced Form Credit Models
6. Structural and Hybrid Credit Models
7. Market-Implied Default Models
8. Models of Loss Given Default
9. Credit Momentum, Beta and Relative Value
SECTION II: Applications and Advanced Topics
Part I: Portfolio Optimization and Credit Trading Strategies
10. Estimating Losses on Portfolios
11. Optimizing Risk and Return on Credit Portfolios
12. Analysing Portfolio Risk and Relative Value
13. Structured Credit Products
Part II: Theoretical Issues and Miscellaneous Topics
14. Discounting Default-Risky Contingent Cash Flows
15. Cash Flow Model for Credit Default Swaps
16. Pricing Corporate Loans
17. Market Liquidity
18. Cross-Sector Credit Analysis and Portfolio Optimization