Credit Risk: Models, Derivatives, and

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.

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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Credit Risk: Models, Derivatives, and Management

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