Credit Risk

<p>Featuring contributions from leading international academics and practitioners <b>Credit Risk: Models Derivatives and Management</b> 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.</p><p>Divided into six sections the book </p><p>• Explores the rapidly developing area of credit derivative products including iTraxx Futures iTraxx Default Swaptions and constant proportion debt obligations </p><p>• Addresses the relationships between the DJ iTraxx credit default swap (CDS) index and the stock market as well as CDS spreads and macroeconomic factors </p><p>• 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 </p><p>• 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 </p><p>• 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 </p><p>• 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 <i>t</i> copula functions and the pricing of CDOs </p><p>Using mathematical models and methodologies this volume provides the essential knowledge to properly manage credit risk and make sound financial decisions.</p>