Credit Risk Models Derivatives and Management : Models, Derivatives, and Management
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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.
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