Introduction to Credit Risk Modeling, Second Edition

Note: Supplemental materials are not guaranteed with Rental or Used book purchases.

ISBN: 9781584889922 | 1584889926
Cover: Hardcover
Copyright: 6/2/2010

Rent

(Recommended)

$79.31

Term

Due

Price

Semester

Aug 2

$79.31

Quarter

Jul 19

$75.34

Short Term

Jun 21

$71.38

*This item is part of an exclusive publisher rental program and requires an additional convenience fee. This fee will be reflected in the shopping cart.
Buy New

Usually Ships in 3-5 Business Days

$108.36
eBook

Available Instantly

Online: 180 Days

Downloadable: 180 Days

$136.13

Illustrating mathematical models for structured credit with practical examples, Introduction to Credit Risk Modeling provides an accessible introduction to the foundations of structured credit portfolio modeling. Updated and expanded, this second edition features additional material on estimation of asset correlations, benchmark correlations based on securitizations of benchmark portfolios in the market, risk contributions and spectral risk measures, nonhomogeneous Markov chain approaches, multi-year models, current agency models, single-tranche CDOs, index tranches, as well as new developments in synthetics. The text also includes new exercises and a supporting website.

Preface to Second Edition	p. ix
Preface	p. xiii
About the Authors	p. xv
List of Figures	p. xvii
The Basics of Credit Risk Management	p. 1
Expected Loss	p. 2
Probability of Default (PD)	p. 4
The Exposure at Default	p. 15
The Loss Given Default	p. 20
A Remark on the Relation between PD, EAD, LGD	p. 21
Unexpected Loss	p. 22
Economic Capital	p. 27
The Loss Distribution	p. 29
Modeling Correlations by Means of Factor Models	p. 36
Regulatory Capital and the Basel Initiative	p. 45
Modeling Correlated Defaults	p. 51
The Bernoulli Model	p. 53
A General Bernoulli Mixture Model	p. 55
Uniform Default Probability and Uniform Correlation	p. 56
The Poisson Model	p. 58
A General Poisson Mixture Model	p. 59
Uniform Default Intensity and Uniform Correlation	p. 60
Bernoulli versus Poisson Mixture	p. 62
An Overview of Common Model Concepts	p. 63
Moody's KMV's and RiskMetrics' Model Approach	p. 65
Model Approach of CreditRisk+	p. 68
CreditPortfolioView	p. 71
Basic Remarks on Dynamic Intensity Models	p. 78
One-Factor/Sector Models	p. 80
One-Factor Models in the Asset Value Model Setup	p. 80
The CreditRisk+ One-Sector Model	p. 97
Comparison of One-Factor and One-Sector Models	p. 98
Loss Dependence by Means of Copula Functions	p. 99
Copulas: Variations of a Scheme	p. 103
Working Example on Asset Correlations	p. 111
Generating the Portfolio Loss Distribution	p. 118
Some Prerequisites from Probability Theory	p. 120
Conditional Independence	p. 134
Technique I: Recursive Generation	p. 136
Technique II: Fourier Transformation	p. 140
Technique III: Saddle-Point Approximation	p. 142
Technique IV: Importance Sampling	p. 145
Asset Value Models	p. 151
Introduction and a Brief Guide to the Literature	p. 151
A Few Words about Calls and Puts	p. 152
Geometric Brownian Motion	p. 154
Put and Call Options	p. 155
Merton's Asset Value Model	p. 162
Capital Structure: Option-Theoretic Approach	p. 162
Asset from Equity Values	p. 167
Transforming Equity into Asset Values: A Working Approach	p. 169
Itô's Formula "Light"	p. 170
Black-Scholes Partial Differential Equation	p. 171
The CreditRisk+ Model	p. 179
The Modeling Framework of CreditRisk+	p. 180
Construction Step 1: Independent Obligors	p. 183
Construction Step 2: Sector Model	p. 184
Sector Default Distribution	p. 186
Sector Compound Distribution	p. 190
Sector Convolution	p. 193
Calculating the Loss Distribution	p. 193
Risk Measures and Capital Allocation	p. 197
Coherent Risk Measures and Expected Shortfall	p. 198
Expected Shortfall	p. 202
Spectral Risk Measures	p. 204
Density of a Risk Measure	p. 206
Contributory Capital	p. 208
Axiomatic Approach to Capital Allocation	p. 209
Capital Allocation in Practice	p. 213
Variance/Covariance Approach	p. 215
Capital Allocation w.r.t. Value-at-Risk	p. 217
Capital Allocations w.r.t. Expected Shortfall	p. 218
A Simulation Study	p. 220
Term Structure of Default Probability	p. 225
Survival Function and Hazard Rate	p. 225
Risk-Neutral vs. Actual Default Probabilities	p. 228
Term Structure Based on Historical Default Information	p. 230
Exponential Term Structure	p. 230
Direct Calibration of Multi-Year Default Probabilities	p. 231
Migration Technique and Q-Matrices	p. 235
A Non-Homogeneous Markov Chain Approach	p. 246
Term Structure Based on Market Spreads	p. 248
Credit Derivatives	p. 255
Total Return Swaps	p. 256
Credit Default Products	p. 258
Basket Credit Derivatives	p. 262
Credit Spread Products	p. 273
Credit-Linked Notes	p. 276
Collateralized Debt Obligations	p. 281
Introduction to Collateralized Debt Obligations	p. 284
Typical Cash Flow CDO Structure	p. 286
Typical Synthetic CLO Structure	p. 296
Different Roles of Banks in the CDO Market	p. 298
The Originator's Point of View	p. 298
The Investor's Point of View	p. 306
CDOs from the Modeling Point of View	p. 309
Multi-Period Credit Models	p. 314
Migration Model	p. 314
Correlated Default Time Models	p. 319
First-Passage-Time Models	p. 320
Stochastic Default Intensity Models	p. 325
Intertemporal Dependence and Autocorrelation	p. 326
Former Rating Agency Model: Moody's BET	p. 330
Developments, Model Issues and Further Reading	p. 338
References	p. 345
Index	p. 359
Table of Contents provided by Ingram. All Rights Reserved.

Please wait while the item is added to your bag...

FREE SHIPPING

Amazon no longer offers textbook rentals. We do!

Introduction to Credit Risk Modeling, Second Edition

Summary

Table of Contents

Supplemental Materials