Credit Risk Modelling and Management
A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry
- Designed in order for readers to easily familiarise themselves with all the leading authorities, ideas and techniques used in today’s business
- The papers are subdivided into easy-reference sections that include credit portfolio modelling and measurement, credit derivatives, default models and prediction, and credit risk modelling in relation to Basel II
- Introduced by Michael Gordy, who illustrates the significance that each chapter has on modern credit practice
- Allows the reader to compare and contrast two different philosophies in credit risk modelling - ’structural models’ and ’reduced-form models’
- Covers the statistical and financial tools that lie behind credit risk theory and management in addition to offering a comprehensive treatment of the pricing of credit derivatives, including credit swaps and CDOs
- Includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates
| ISBN | 9781904339083 |
|---|---|
| Navision code | MRME |
| Publication date | 1 Apr 2002 |
| Size | 155mm x 235mm |
CONTENTS
Authors
Introduction
I. PRICING CREDIT RISK
- Credit Derivatives Made Simple
Lane Hughston and Stuart Turnbull
- Applying HJM to Credit Risk
Robert Maksymiuk and Dariusz Gatarek
- The Price of Credit
Philippe Khuong-Huu, Vladimir Finlestein and Bruce Broder
- Price and Probability
Richard Martin, Kevin Thompson and Christopher Browne
- Distance to Default
Marco Avellaneda and Jingyi Zhu
- Equity to Credit Pricing
George Pan
- Getting the Pricing Right
Angelo Arvanitis
- On the Edge of Completeness
Angelo Arvanitis and Jean-Paul Laurent
II. MEASURING DEFAULT RISK
- Measuring Default Accurately
Jorge Sobehart and Sean Keenan
- A Credit Risk Catwalk
Sean Keenan and Jorge Sobehart
- The Need for Hybrid Models
Jorge Sobehart and Sean Keenan
III. DEPENDENCE IN DEFAULTS AND RECOVERIES
- Devil in the Parameters
H. Ugur Koyluoglu, Anil Bangia and Thomas Garside
- Modelling Default Correlation
Krishan Nagpal and Reza Bahar
- How Dependent are Defaults?
Richard Martin, Kevin Thompson and Christopher Browne
- Copulas and Credit Models
Rüdiger Frey, Alexander McNeil and Mark Nyfeler
- Collateral Damage
Jon Frye
- Depressing Recoveries
Jon Frye
IV. VALUE-AT-RISK FOR CREDIT PORTFOLIOS
- Integrating Correlations
Peter Bürgisser, Alexandre Kurth, Armin Wagner and Michael Wolf
- Taking to the Saddle
Richard Martin, Kevin Thompson and Christopher Browne
- Calculating Portfolio Loss
Sandro Merino and Mark Nyfeler
V. BASEL II
- IRB Approach Explained
Tom Wilde
- Pro-cyclicality in the New Basel Accord
D. Wilson Ervin and Tom Wilde
- The Maturity Effect on Credit Risk Capital
Michael Kalkbrener and Ludger Overbeck
VI. ASYMPTOTIC METHODS IN VAR
- Loan Portfolio Value
Oldrich Vasicek
- Probing Granularity
Tom Wilde
- Analytical Approach to Credit Risk Modelling
Michael Pykhtin and Ashish Dev
- Unsystematic Credit Risk
Richard Martin and Tom Wilde
VII. PRICING MULTI-NAME DEFAULT RISK
- Copula Vulnerability
Umberto Cherubini and Elisa Luciano
- Pricing Default Baskets
Wolfgang Schmidt and Ian Ward
- Long or Short in CDOs
Hans Boscher and Ian Ward
- Extreme Events and Default Baskets
Roy Mashal and Marco Naldi
VIII. VALUE-AT-RISK FOR ASSET SECURITISATIONS
- Credit Risk in Asset Securitisations: An Analytical Model
Michael Pykhtin and Ashish Dev
- Coarse-grained CDOs
Michael Pykhtin and Ashish Dev
- Random Tranches
Michael Gordy and David Jones