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 sections, the book * Explores the rapidly developing area
of credit derivative products, including iTraxx Futures, iTraxx
Default Swaptions, and constant proportion debt obligations *
Addresses the relationships between the DJ iTraxx credit default
swap (CDS) index and the stock market as well as CDS spreads and
macroeconomic factors * Investigates systematic and firm-specific
default risk factors, compares CDS pricing results from the
CreditGrades industry benchmark to a trinomial tree approach, and
applies the Hull-White intensity-based model to the pricing of
names from the CDX index * Analyzes aggregate default and recovery
rates on corporate bond defaults over a twenty-year period, the
responses of hazard rates to changes in a set of economic
variables, low-default portfolios, and tests on the accuracy of the
Basel II framework * Describes benchmark models of implied credit
correlation risk, copula-based default dependence concepts, the fit
of various copula models, and a common factor model of systematic
credit risk * Studies the pricing of options on single-name CDSs,
the pricing of credit derivatives, collateralized debt obligation
(CDO) price data, the pricing of CDO tranches, applications of
Gaussian and Student's t copula functions, and the pricing of CDOs
Using mathematical models and methodologies, this volume provides
the essential knowledge to properly manage credit risk and make
sound financial decisions.
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