Theory and Practice of Credit Risk Modelling

Book description

Edited and introduced by Alexander Lipton, the leading expert in the field of credit modelling, this collection of technical papers on this complex area of financial engineering is the first book in the new Cutting Edge series. Contributions have been gathered from 32 authors, including some of the most well known names in the field: Oldrich Vasicek, who received a Lifetime Achievement Award from Risk, and Leif Andersen, Michael Gordy, Alexander Lipton, Richard Martin, and Philip Schönbucher – all of whom have received Quant of the Year Awards from Risk.

The book is divided into three main sections: defaults of individual obligors, defaults in large portfolios, and defaults in medium and small portfolios, and will be of great interest to practitioners and academics alike.

Risk Books Cutting Edge series:

The Risk Books Cutting Edge Series is a new series that presents key technical papers drawn from the Cutting Edge section of Risk.net, the world’s leading financial risk management magazine. Each volume provides an introduction from an industry expert, and explores how academic thinking has developed over the years, how market applications and practitioner usage has evolved, and future developments in the field.

This is the first book in the Risk Books Cutting Edge series. The second book in the series is now available:

Portfolio Management, introduced by Bernd Scherer

Book details

ISBN

9781904339649

Publish date

2 Jun 2008

Format

Paperback

Size

155mm x 235mm

Author biography

Alexander Lipton

Alex Lipton is a Managing Director and Global Head of Credit Analytics at Merrill Lynch, and a Visiting Professor of Mathematics at Imperial College London. Prior to his current role, he was a Managing Director and Head of Credit Analytics at Citadel Investment Group in Chicago; he has also worked at Credit Suisse, Deutsche Bank and Bankers Trust. Previously, Alex was a Full Professor of Mathematics at the University of Illinois at Chicago and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Lomonosov Moscow State University. His current interests include credit correlation and related topics, quantitative aspects of securitization, as well as technical trading strategies. In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of two more. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. Alex has given dozens of invited lectures at leading universities worldwide.

Table of contents

Preface

About the Editor

About the Authors

Introduction

Alexander Lipton

Merrill Lynch

PART I DEFAULTS OF INDIVIDUAL OBLIGORS

The Price of Credit

Philippe Khuong-Huu; Vladimir Finkelstein; Bruce Broder

Alphadyne Asset Management; Horton Point LLC; JP Morgan

Equity to Credit Pricing

George Pan

Saba Principal Strategies

Assets with Jumps

Alexander Lipton

Merrill Lynch

A Measure of Survival

Philipp Schönbucher

Goldman Sachs

Hybrid Equity-Credit Modelling

Marc Atlan and Boris Leblanc

BNP Paribas

PART II DEFAULTS IN LARGE PORTFOLIOS

Reconcilable Differences

H. Ugur Koyluoglu; Andrew Hickman

Oliver,Wyman & Company; QVT Financial

Copulas and Credit Models

Rüdiger Frey; Alexander McNeil; Mark Nyfeler

University of Leipzig; Heriot-Watt University; UBS

Loan Portfolio Value

Oldrich Vasicek

Moody’s KMV

Random Tranches

Michael Gordy; David Jones

US Federal Reserve Board

An Indirect View from the Saddle

Richard J. Martin; Roland Ordovàs

Credit Suisse; Grupo Santander

PART III DEFAULTS IN MEDIUM AND SMALL PORTFOLIOS

Pricing Default Baskets

Wolfgang Schmidt; Ian Ward

Frankfurt School of Finance and Management; Imperial College

Long or Short in CDOs

Hans Boscher; Ian Ward

Deutsche Bank; Imperial College

Calculating Portfolio Loss

Sandro Merino and Mark Nyfeler

UBS

I Will Survive

Jean-Paul Laurent; Jon Gregory

ISFAActuarial School, University of Lyon and BNP Paribas;

Super Senior Consulting

All Your Hedges in One Basket

Leif Andersen; Jakob Sidenius; Susanta Basu

Banc of America Securities; JP Morgan;

Och-Ziff Capital Management

Dynamic Frailties and Credit Portfolio Modelling

Martin Delloye; Jean-David Fermanian; Mohammed Sbai

Dexia; BNP Paribas; CERMICS

Gamma Process Dynamic Modelling of Credit

Martin Baxter

Nomura

Factor Models for Credit Correlation

Stewart Inglis and Alexander Lipton

Merrill Lynch

Index