Niklas Wagner – Credit Risk

Description

Features

• Focuses on new merchandise and their purposes within the monetary companies business
• Addresses necessary credit score threat points, together with the rising market of credit score derivatives
• Examines points particular to sure geographic areas, equivalent to Latin America, Argentina, and the United States
• Discusses latest circumstances of company chapter, together with Tyco, Worldcom, Enron, and Parmalat
• Covers default and restoration dangers, credit score rankings, and purposes throughout the Basel II framework
• Uses quite a few fashions, equivalent to single-name credit score threat, Black-type, stochastic depth, generalized multifactor, and Monte Carlo, to elucidate charges, threat, and pricing

Summary

Featuring contributions from main worldwide lecturers and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a threat administration system could be carried out by an understanding of portfolio credit score dangers, a set of appropriate fashions, and the derivation of dependable empirical outcomes.

Divided into six sections, the e book

• Explores the quickly growing space of credit score spinoff merchandise, together with iTraxx Futures, iTraxx Default Swaptions, and fixed proportion debt obligations
• Addresses the relationships between the DJ iTraxx credit score default swap (CDS) index and the stock market in addition to CDS spreads and macroeconomic components
• Investigates systematic and firm-specific default threat components, compares CDS pricing outcomes from the CreditGrades business benchmark to a trinomial tree strategy, and applies the Hull–White intensity-based mannequin to the pricing of names from the CDX index
• Analyzes mixture default and restoration charges on company bond defaults over a twenty-year interval, the responses of hazard charges to adjustments in a set of financial variables, low-default portfolios, and exams on the accuracy of the Basel II framework
• Describes benchmark fashions of implied credit score correlation threat, copula-based default dependence ideas, the match of varied copula fashions, and a typical issue mannequin of systematic credit score threat
• Studies the pricing of choices on single-name CDSs, the pricing of credit score derivatives, collateralized debt obligation (CDO) worth information, the pricing of CDO tranches, purposes of Gaussian and Student’s t copula features, and the pricing of CDOs

Using mathematical fashions and methodologies, this quantity supplies the important data to correctly handle credit score threat and make sound monetary choices.