Counterparty Risk Management

Counterparty Risk Management

Credit Modelling (2nd edition)

Credit Modelling (2nd edition)

Credit Derivatives


Combining the views of some of the most prominent thinkers and renowned practitioners in the credit derivatives market, this title’s unique encyclopaedic coverage of the sector spans everything from the basics to much more advanced quantitative issues.

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Guides the risk professional in the purchase and use of credit derivatives, including in-depth advice on how to avoid the pitfalls.

Unlike other titles available on the market, Credit Derivatives provides a thorough yet detailed overview of all areas of credit derivatives knowledge including the products, applications, markets and regulatory issues.

Illustrates a selection of models presented by leading quants in the field who provide insight into the more technical aspects including advanced theoretical issues and different modelling approaches.

An extensive range of related key topics are additionally covered including: default protection, portfolio management, Basel II, credit linked notes, CDOs and much more.

More Information
ISBN 9781904339120
Navision code MCD
Publication date 1 Sep 2003
Size 155mm x 235mm
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Jon Gregory

Dr Jon Gregory is an independent expert specialising in counterparty risk and XVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF).

In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book Counterparty Credit Risk The New Challenge for the Global Financial Markets published by Wiley Finance in December 2009 (now in its third edition) and Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.

Jon has a PhD from Cambridge University.


The Challenges of a Dynamic Marketplace

Simon Greaves, Application Networks


Jon Gregory

Section 1. The Default Swap Market

1. Credit Derivatives: The Past, the Present and the Future

Robert Reoch

2. The Determinant of Credit Spread Returns

 Jouke Hottinga, Aegon and Machiel Zwanenburg, Robeco.

3. What’s Driving the Default Swap Basis?

Viktor Hjort, Morgan Stanley.

4. What is the Value of Modified Restructuring?

Alex Reyfman and Klaus Toft, Goldman Sachs.

5. The Debt and Equity Linkage and the Valuation of Credit Derivatives

Sean Keenan, Jorge Sobehart and Terry Benzschawel, CitiGroup.

Section 2. Default Correlation and Credit Portfolio Risk

6. Nth to Default Swaps and Notes: All About Default Correlation

Douglas Lucas and Alberto Thomas, UBS.

7. Portfolio Credit Risk Models

Greg Gupton, Moodys KMV.

8. Credit Derivatives as an Efficient Way of Transitioning to Optimal Portfolios

Alla Gil, Citigroup.

Section 3. Structured Credit Derivatives and Portfolio Management

9. Overview of the CDO Market

Eileen Murphy, Barclay’s Capital.

10. Synthetic Securitisation and Structured Credit Derivatives

Paul Hawkins, Merrill Lynch.

11. Structured Credit and the Collateralised Synthetic Obligation

Moorad Choudhry, KBC Financial Products.

12. Distinguishing a Synthetic CDO from a Cash CDO

Alexander Batchvarov, Jenna Collins and William Davies, Merrill Lynch.

13. CDOs of CDOs

Darren Smith, Dresner Kleinwort Benson.

Section 4. Models and Valuation

14. Valuation and Risk Analysis of Synthetic CDOs: A Copula Function Approach David X Li and Jure Skarabot, Citigroup.

15. Extreme Events and Multi-name Credit Derivatives

Roy Marshal, Marco Naldi and Assaf Zeevi, Lehman Brothers.

16. Reduced-form Models: Curve Construction and the Pricing of Credit Swaps, Options, and Hybrids

Leif Anderson, Bank of America.

17. Dynamite Dynamics

Jesper Andreasen, Nordea Markets.

18. Modelling and Hedging of Default Risk

Monique Jeanblanc and Marek Rutkowski, Universitẻ d’Evry and Warsaw University of Technology.

Section 5. Regulatory, documentation and legal aspects

19. ISDA’s Role in the Credit Derivatives Marketplace

Louise Marshall, ISDA.

20. Credit Linked Notes

Rodanthy Tzani and Maria Leibholz, Moody’s Investor Services.

21. Using Guarantees and Credit Derivatives to Reduce Credit Risk Capital Requirements Under the New Basel Capital Accord

Erik Heitfield, Federal Reserve Board.