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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.
- Sales Rank: #3095075 in eBooks
- Published on: 2008-05-28
- Released on: 2008-05-28
- Format: Kindle eBook
Most helpful customer reviews
0 of 0 people found the following review helpful.
Exzellent Book on Credit Risk
By H.
This book is an excellent volume, which offers a rich collection on articles on credit risk. The methodology behind credit risk management is very sophisticated. Consequently, I really learned a lot about credit models and current issues like e.g. CDO and CDS pricing. All in all, I can absolutely recommend this book for all people who look for a good book on credit risk.
0 of 0 people found the following review helpful.
excellent book for people who know where to go without following the crowd
By Chris T.
This book is an edited volume, which offers a rich collection on articles on credit risk. As a user I do and did not expect that each of the contributed articles would be of perfect use to me. However, having the book sent to me and after screening the volume with its 26 contributed chapters, I was very positively surprised.
As a quant you will find many of the approaches very useful in the development of new model approaches and will be happy to rely on them and the given literature therein as helpful starting points. For example, we did some modelling in credit spreads and credit risk dependence and found the book very helpful in our own developments. Also, I did not see many critical results on the performance of CDS pricing models, while I found very interesting results in the book. The same applies to analyses of changes in default probabilities. Of course, we by now all know that CDO pricing has its obvious difficulties, but the book contains a series of excellent articles on the issue which can help us to understand why it is in fact a serious problem. In all, this is an excellent book for people who know where to go without following the crowd, but not a good one for people who look for a quick guide to standard industry solutions.
0 of 1 people found the following review helpful.
Uneven Treatment of Corporate Credit Derivatives
By Paul Thurston
This text is a compilation of independent articles compiled and edited by Niklas Wagner. It is common to find repeated material, misprints and other errors in this type of monograph; all of these issues arise in the work by Wagner.
More problematic to this reviewer is that it really isn't clear precisely to whom the text is targeted.
In Part I of the text, the first chapter is a rather elementary overview of the credit default swap contract, an explanation of the reference credit and reference asset, a listing of qualifying credit events, and a detailed explanation of the credit spread. Simplistic replication strategies for estimating the credit spread from the observable prices of traded securities are discussed. Clearly, this first chapter is aimed at the novice interested in learning the mechanics of credit derivatives.
However, in Chapter 2, we find a discussion of counterparty risk. The authors of that article consider this from the point-of-view of the Hull-White credit model, and the celebrated Merton Model. The extension of these models to incorporate default correlation is carefully considered, and the article assumes the reader is familiar with the standard credit models given a riskless counterparty. The extended models explored in this chapter are far too simplistic to offer any new insight to the expert, while being just complicated enough to make for tough (and possibly confusing) going for the novice.
At least the first two chapters seems to oriented to the quantitative analyst interested in credit derivatives. In Chapter 3, the text takes another twist and discusses portfolio risk management, along with discussions on CAPM and portfolio optimization. This material is introductory in nature, and appropriate for a budding credit portfolio manager.
Chapter 4 discusses applications of credit derivatives to the fine arts markets. Perhaps this chapter is directed at financial officers for major fine arts galleries? In case, this seems to be a major tangent from the core material, and applications to the fine arts market should be left to much later in the book, in the opinion of this reviewer.
This text is encyclopedic and disjointed, while the presentation lacks focus. Credit quants are more likely to find that the book by Bielecki & Rutkowski entitled Credit Risk: Modeling Valuation and Hedging provides more insight in the complicated financial mathematics related to these derivatives.
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