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Summary
This volume 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. It focuses on new products and their applications in the financial services industry and addresses the growing market of credit derivatives. The expert contributors examine issues specific to certain geographic areas, such as Latin America, Argentina, and the United States, and discuss recent cases of corporate bankruptcy, including Tyco, Worldcom, Enron, and Parmalat. The book also covers default and recovery risks, credit ratings, and applications within the Basel II framework.
Table of Contents
| Preface | p. ix |
| Editor | p. xix |
| Contributors | p. xxi |
| A View on Credit Derivatives | |
| Single Name Credit Default Swap Valuation: A Review | p. 3 |
| Valuation of Credit Derivatives with Counterparty Risk | p. 21 |
| Integrated Credit Portfolio Management: A Preview | p. 39 |
| Credit Default Swaps and an Application to the Art Market: A Proposal | p. 53 |
| Credit Risk, Spreads, and Spread Determinants | |
| Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market | p. 69 |
| The Determinants of Credit Default Swap Prices: An Industry-Based Investigation | p. 85 |
| Credit Spread Dynamics: Evidence from Latin America | p. 97 |
| Accounting Data Transparency and Credit Spreads: Clinical Studies | p. 115 |
| Anticipating Credit Events Using Credit Default Swaps: An Application to Sovereign Debt Crises | p. 139 |
| Credit Risk Modeling and Pricing | |
| Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models | p. 157 |
| Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees | p. 181 |
| Pricing CDX Credit Default Swaps Using the Hull-White Model | p. 197 |
| Default Risk, Recovery Risk, and Rating | |
| The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications | p. 211 |
| Business and Financial Indicators: What Are the Determinants of Default Probability Changes? | p. 235 |
| Managing Credit Risk for Retail Low-Default Portfolios | p. 269 |
| Tests on the Accuracy of Basel II | p. 289 |
| Credit Risk Dependence and Dependent Defaults | |
| Correlation Risk: What the Market Is Telling Us and Does It Make Sense? | p. 317 |
| Copula-Based Default Dependence Modeling: Where Do We Stand? | p. 327 |
| Correlated Default Processes: A Criterion-Based Copula Approach | p. 347 |
| Systematic Credit Risk: CDX Index Correlation and Extreme Dependence | p. 377 |
| Options, Portfolios, and Pricing Loss Distribution Tranches | |
| CDS Options through Candidate Market Models and the CDS-Calibrated CIR++ Stochastic Intensity Model | p. 393 |
| Arbitrage Pricing of Credit Derivatives | p. 427 |
| An Empirical Analysis of CDO Data | p. 457 |
| Pricing Tranched Credit Products with Generalized Multifactor Models | p. 485 |
| CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing | p. 511 |
| Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach | p. 527 |
| About the Contributors | p. 551 |
| Index | p. 565 |
| Table of Contents provided by Ingram. All Rights Reserved. |
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