Building on the best-selling first edition, author Terry Benzschawel advances the topics covered in Credit Risk Modelling by outlining the reality of defaults and recoveries, then detailing credit models and credit instruments before presenting some real-world applications.
You'll learn how to measure, hedge and predict the credit-risk premium – reliable techniques for making money in credit markets – and be able to help your firm better manage their exposure to credit risk.
The book reveals to traders how to consistently outperform credit benchmarks, how to hedge the credit risk premium, and how to overcome pension liability deficits. In addition, several successful trading strategies are presented including debt versus equities, Co-Co bond trading and a quantitative analysis of the municipal bond market.
|Publication date||31 Jan 2017|
|Size||155mm x 235mm|
Part 1 - History and Major Themes
1. Introduction and Motivation
2. Credit Models, Past Present and Future
3. The Credit Risk Premium
4. Predicting Annual Default Rates and Implications for Market Prices
5. Risk and Relative Value in the Municipal Bond Market
Part 2 - New Credit Models and Trading Strategies
6. Predicting Bank Defaults
7. Contingent Collateral Bonds
8. Model for Sovereign Default and Relative Value
9. Beating Credit Benchmarks
10. Equity and Debt Risk Premium Trade
Part 3 - Credit Portfolio Management
11. Credit Portfolio Management
12. Managing Pension Fund Liabilities
13. Simulating Combined Spread and Default Moves
14. Black-Litterman Optimization Demystified
15. Analyzing and Hedging Systemic Liquidity Risk