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Credit Risk Pricing Models

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The markets dealing with financial products related to credit risk have been booming over the last years. This has encouraged prac... Weiterlesen
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Beschreibung

The markets dealing with financial products related to credit risk have been booming over the last years. This has encouraged practitioners and academics at the same time to consider and develop sophisticated models for credit risk pricing. This book gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. Therefore, questions like the choice of an appropriate model, suitable parameter estimation and calibration techniques as well as back-testing issues are addressed. The book covers a broad range of financial instruments such as all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations. In addition, there is a special emphasis on the discussion of data issues like the estimation of consistent transition matrices or the modelling of recovery rates. A lot of market data and latest credit market information completes the book. This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics to get a comprehensive overview of the most important credit risk modelling issues.

Autorentext
Bernd Schmidt, Dr. phil., studierte Wirtschaftwissenschaften und promovierte in Erziehungswissenschaften und Psychologie. Weiterbildungen in Körpertherapie, Gestalttherapie, Gesprächspsychotherapie, Transaktionsanalyse und systemischer Familientherapie sowie Fortbildungen in NLP und Hypnose. Lehrtrainer der internationalen Transaktionsanalyse-Gesellschaft und anderer Gesellschaften im Bereich Psychotherapie, Coaching, Supervision, systemische Beratung sowie Organisations- und Personalentwicklung. Gründer und Leiter des Instituts für systemische Beratung in Wiesloch (seit 1984). Bernd Schmid ist Mitgründer und Vorsitzender des Präsidiums des Deutschen Bundesverbands Coaching (DBVC), Gründer und langjähriger Vorsitzender der Gesellschaft für Weiterbildung und Supervision (GWS) sowie Mitgründer des forum humanum. Zahlreiche Veröffentlichungen in Schrift und Ton. 2007 Preisträger des Eric Berne Memorial Award der International Transactional Analysis Association (ITAA).

Klappentext

Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.



Zusammenfassung
This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Whereas the first edition concentrated on the re­ search which I had done in the context of my PhD thesis, this second edition covers all important credit risk models and gives a general overview of the subject. I put a lot of effort in explaining credit risk factors and show the latest results in default probability and recovery rate modeling. There is a special emphasis on correlation issues as well. The broad range of financial instruments I consider covers not only defaultable bonds, defaultable swaps and single counterparty credit derivatives but is further extended by multi counterparty in­ struments like index swaps, basket default swaps and collateralized debt obligations. I am grateful to Springer-Verlag for the great support in the realiza­ tion of this project and want to thank the readers of the first edition for their overwhelming feedback. Last but not least I want to thank Uli Göser for ongoing patience, en­ couragement, and support, my family and especially my sister Wendy for being there at all times. BemdSchmid Stuttgart, November 2003 Cpntents 1. Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Motivation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Objectives, Structure, and S:ummary . . . . . . . . . . . . . . . . . . . . . . 5 2. Modeling Credit Risk Factors. . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . 2. 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 2. 2 Definition and Elements of Credit Risk . . . . . . . . . . . . . . . . 13 . . . . 2. 3 Modeling Transition and Default Probabilities. . . . . . . . . . . . . 14 . 2. 3. 1 The Historical Method . . . . . . . . . . . . . . . . . . . . . . 15 . . . . . .

Inhalt
1. Introduction.- 1.1 Motivation.- 1.2 Objectives, Structure, and Summary.- 2. Modeling Credit Risk Factors.- 2.1 Introduction.- 2.2 Definition and Elements of Credit Risk.- 2.3 Modeling Transition and Default Probabilities.- 2.3.1 The Historical Method.- 2.3.2 Excursus: Some Fundamental Mathematics.- 2.3.3 The Asset Based Method.- 2.3.4 The Intensity Based Method.- 2.3.5 Adjusted Default Probabilities.- 2.4 Modeling Recovery Rates.- 2.4.1 Definition of Recovery Rates.- 2.4.2 The Impact of Seniority.- 2.4.3 The Impact of the Industry.- 2.4.4 The Impact of the Business Cycle.- 2.4.5 LossCalcTM: Moody's Model for Predicting Recovery Rates.- 3. Pricing Corporate and Sovereign Bonds.- 3.1 Introduction.- 3.1.1 Defaultable Bond Markets.- 3.1.2 Pricing Defaultable Bonds.- 3.2 Asset Based Models.- 3.2.1 Merton's Approach and Extensions.- 3.2.2 First Passage Time Models.- 3.3 Intensity Based Models.- 3.3.1 Short Rate Type Model.- 4. Correlated Defaults.- 4.1 Introduction.- 4.2 Correlated Asset Values.- 4.3 Correlated Default Intensities.- 4.4 Correlation and Copula Functions.- 5. Credit Derivatives.- 5.1 Introduction to Credit Derivatives.- 5.2 Technical Definitions.- 5.3 Single Counterparty Credit Derivatives.- 5.3.1 Credit Options.- 5.3.2 Credit Spread Products.- 5.3.3 Credit Default Products.- 5.3.4 Par and Market Asset Swaps.- 5.3.5 Other Credit Derivatives.- 5.4 Multi Counterparty Credit Derivatives.- 5.4.1 Index Swaps.- 5.4.2 Basket Default Swaps.- 5.4.3 Collateralized Debt Obligations (CDOs).- 6. A Three-Factor Defaultable Term Structure Model.- 6.1 Introduction.- 6.1.1 A New Model For Pricing Default able Bonds.- 6.2 The Three-Factor Model.- 6.2.1 The Basic Setup.- 6.2.2 Valuation Formulas For Contingent Claims.- 6.3 The Pricing of Defaultable Fixed and Floating Rate Debt.- 6.3.1 Introduction.- 6.3.2 Defaultable Discount Bonds.- 6.3.3 Defaultable (Non-Callable) Fixed Rate Debt.- 6.3.4 Defaultable Callable Fixed Rate Debt.- 6.3.5 Building a Theoretical Framework for Pricing One-Party Defaultable Interest Rate Derivatives.- 6.3.6 Defaultable Floating Rate Debt.- 6.3.7 Defaultable Interest Rate Swaps.- 6.4 The Pricing of Credit Derivatives.- 6.4.1 Some Pricing Issues.- 6.4.2 Credit Options.- 6.4.3 Credit Spread Options.- 6.4.4 Default Swaps and Default Options.- 6.5 A Discrete-Time Version of the Three-Factor Model.- 6.5.1 Introduction.- 6.5.2 Constructing the Lattice.- 6.5.3 General Interest Rate Dynamics.- 6.6 Fitting the Model to Market Data.- 6.6.1 Introduction.- 6.6.2 Method of Least Squared Minimization.- 6.6.3 The Kalman Filtering Methodology.- 6.7 Portfolio Optimization under Credit Risk.- 6.7.1 Introduction.- 6.7.2 Optimization.- 6.7.3 Case Study: Optimizing a Sovereign Bond Portfolio.- A. Some Definitions of S&P.- A.1 Definition of Credit Ratings.- A.1.1 Issue Credit Ratings.- A.1.2 Issuer Credit Ratings.- A.2 Definition of Default.- A.2.1 S&P's definition of corporate default.- A.2.2 S&P's definition of sovereign default.- B. Technical Proofs.- B.1 Proof of Lemma 6.2.1.- B.3 Proofs of Lemma 6.3.1 and Lemma 6.4.2.- B.4 Proof of Lemma 6.4.3.- B.5 Tools for Pricing Non-Defaultable Contingent Claims.- C. Pricing of Credit Derivatives: Extensions.- List of Figures.- List of Tables.- References.

Produktinformationen

Titel: Credit Risk Pricing Models
Untertitel: Theory and Practice
Autor:
EAN: 9783540404668
ISBN: 354040466X
Format: Fester Einband
Herausgeber: Springer Berlin Heidelberg
Genre: Betriebswirtschaft
Anzahl Seiten: 396
Gewicht: 758g
Größe: H241mm x B160mm x T27mm
Jahr: 2004
Auflage: 2nd ed. 2004

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