Credit Risk | Models, Derivatives, and Management | Niklas Wagner | Ta

Book

ABSTRACT

Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results.

Divided into six sectio

TABLE OF CONTENTS

part |2 pages

Part I: A View on Credit Derivatives

chapter 1|18 pages

& Single Name Credit Default Swap Valuation: A Review

chapter 2|18 pages

& Valuation of Credit Derivatives with Counterparty Risk

chapter 3|14 pages

& Integrated Credit Portfolio Management: A Preview

chapter 4|14 pages

& Credit Default Swaps and an Application to the Art Market: A Proposal

part |2 pages

Part II: Credit Risk, Spreads, and Spread Determinants

chapter 5|16 pages

& Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market

chapter 6|12 pages

& The Determinants of Credit Default Swap Prices: An Industry-Based Investigation

chapter 7|18 pages

& Credit Spread Dynamics: Evidence from Latin America

chapter 8|24 pages

& Accounting Data Transparency and Credit Spreads:

chapter 9|16 pages

& Anticipating Credit Events Using Credit Default Swaps: An Application to Sovereign Debt Crises

part |2 pages

Part III: Credit Risk Modeling and Pricing

chapter 10|24 pages

& Investigating the Role of Systematic and Firm-Speciﬁc Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models

chapter 11|16 pages

& Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees

chapter 12|12 pages

& Pricing CDX Credit Default Swaps Using the Hull–White Model

part |2 pages

Part IV: Default Risk, Recovery Risk, and Rating

chapter 13|24 pages

& The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications

chapter 14|34 pages

& Business and Financial Indicators: What Are the Determinants of Default Probability Changes?

chapter 15|20 pages

& Managing Credit Risk for Retail Low-Default Portfolios

chapter 16|26 pages

& Tests on the Accuracy of Basel II

part |2 pages

Part V: Credit Risk Dependence and Dependent Defaults

chapter 17|10 pages

& Correlation Risk: What the Market Is Telling Us and Does It Make Sense?

chapter 18|20 pages

& Copula-Based Default Dependence Modeling: Where Do We Stand?

chapter 19|30 pages

& Correlated Default Processes: A Criterion-Based Copula Approach

chapter 20|14 pages

& Systematic Credit Risk: CDX Index Correlation and Extreme Dependence

part |2 pages

Part VI: Options, Portfolios, and Pricing Loss Distribution Tranches

chapter 21|34 pages

& CDS Options through Candidate Market Models and the CDS-Calibrated CIRþþ Stochastic Intensity Model

chapter 22|30 pages

& Arbitrage Pricing of Credit Derivatives

chapter 23|28 pages

& An Empirical Analysis of CDO Data

chapter 24|26 pages

& Pricing Tranched Credit Products with Generalized Multifactor Models

chapter 25|16 pages

& CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing

chapter 26|24 pages

& Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach

chapter |14 pages

About the Contributors