Credit Risk Modelling: The Cutting-edge Collection Technical Papers Published in Risk 1999-2003
Incisive Media, April 2003, Pages: 278
A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.
-Designed in order for readers to easily familiarise themselves with all the leading authorities, ideas and techniques used in today's business
-The papers are subdivided into easy-reference sections that include credit portfolio modelling and measurement; credit derivatives; default models and prediction; credit risk modelling in relation to Basel II
-Introduced by Michael Gordy, who illustrates the significance that each chapter has on modern credit practice
-Allows the reader to compare and contrast two different philosophies in credit risk modelling - "structural models" and "reduced-form models"
-Covers the statistical and financial tools that lie behind credit risk theory and management in addition to offering a comprehensive treatment of the pricing of credit derivatives, including credit swaps and CDOs
-Includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates
I. PRICING CREDIT RISK
Credit Derivatives Made Simple
Lane Hughston and Stuart Turnbull
Applying HJM to Credit Risk
Robert Maksymiuk and Dariusz Gatarek
The Price of Credit
Philippe Khuong-Huu, Vladimir Finlestein and Bruce Broder
Price and Probability
Richard Martin, Kevin Thompson and Christopher Browne
Distance to Default
Marco Avellaneda and Jingyi Zhu
Equity to Credit Pricing
George Pan
Getting the Pricing Right
Angelo Arvanitis
On the Edge of Completeness
Angelo Arvanitis and Jean-Paul Laurent
II. MEASURING DEFAULT RISK
Measuring Default Accurately
Jorge Sobehart and Sean Keenan
A Credit Risk Catwalk
Sean Keenan and Jorge Sobehart
The Need for Hybrid Models
Jorge Sobehart and Sean Keenan
III. DEPENDENCE IN DEFAULTS AND RECOVERIES
Devil in the Parameters
H. Ugur Koyluoglu, Anil Bangia and Thomas Garside
Modelling Default Correlation
Krishan Nagpal and Reza Bahar
How Dependent are Defaults?
Richard Martin, Kevin Thompson and Christopher Browne
Copulas and Credit Models
Rüdiger Frey, Alexander McNeil and Mark Nyfeler
Collateral Damage
Jon Frye
Depressing Recoveries
Jon Frye
IV. VALUE-AT-RISK FOR CREDIT PORTFOLIOS
Integrating Correlations
Peter Bürgisser, Alexandre Kurth, Armin Wagner and Michael Wolf
Taking to the Saddle
Richard Martin, Kevin Thompson and Christopher Browne
Calculating Portfolio Loss
Sandro Merino and Mark Nyfeler
V. BASEL II
IRB Approach Explained
Tom Wilde
Pro-cyclicality in the New Basel Accord
D. Wilson Ervin and Tom Wilde
The Maturity Effect on Credit Risk Capital
Michael Kalkbrener and Ludger Overbeck
VI. ASYMPTOTIC METHODS IN VAR
Loan Portfolio Value
Oldrich Vasicek
Probing Granularity
Tom Wilde
Analytical Approach to Credit Risk Modelling
Michael Pykhtin and Ashish Dev
Unsystematic Credit Risk
Richard Martin and Tom Wilde
VII. PRICING MULTI-NAME DEFAULT RISK
Copula Vulnerability
Umberto Cherubini and Elisa Luciano
Pricing Default Baskets
Wolfgang Schmidt and Ian Ward
Long or Short in CDOs
Hans Boscher and Ian Ward
Extreme Events and Default Baskets
Roy Mashal and Marco Naldi
VIII. VALUE-AT-RISK FOR ASSET SECURITISATIONS
Credit Risk in Asset Securitisations: An Analytical Model
Michael Pykhtin and Ashish Dev
Coarse-grained CDOs
Michael Pykhtin and Ashish Dev
Random Tranches
Michael Gordy and David Jones
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