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
part |2 pages
Part II: Credit Risk, Spreads, and Spread Determinants
part |2 pages
Part III: Credit Risk Modeling and Pricing
part |2 pages
Part IV: Default Risk, Recovery Risk, and Rating
part |2 pages
Part V: Credit Risk Dependence and Dependent Defaults
part |2 pages
Part VI: Options, Portfolios, and Pricing Loss Distribution Tranches