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Credit Modelling: Advanced Topics - Product Image

Credit Modelling: Advanced Topics

  • ID: 3984703
  • Book
  • Risk Books
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Building on the best-selling first edition, author Terry Benzschawel advances the topics covered in Credit Risk Modelling by outlining the reality of defaults and recoveries, then detailing credit models and credit instruments before presenting some real-world applications.

You'll learn how to measure, hedge and predict the credit-risk premium – reliable techniques for making money in credit markets – and be able to help your firm better manage their exposure to credit risk.

The book reveals to traders how to consistently outperform credit benchmarks, how to hedge the credit risk premium, and how to overcome pension liability deficits. In addition, several successful trading strategies are presented including debt versus equities, Co-Co bond trading and a quantitative analysis of the municipal bond market.

Chapters include:

  • Credit Models, Past Present and Future
  • Predicting Annual Default Rates and Implications for Market Prices
  • Risk and Relative Value in the Municipal Bond Market
  • Contingent Collateral Bonds
  • Model for Sovereign Default and Relative Value
  • Beating Credit Benchmarks
  • Analyzing and Hedging Systemic Liquidity Risk
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Part 1 - History and Major Themes

1. Introduction and Motivation
2. Credit Models, Past Present and Future
3. The Credit Risk Premium
4. Predicting Annual Default Rates and Implications for Market Prices
5. Risk and Relative Value in the Municipal Bond Market

Part 2 - New Credit Models and Trading Strategies

6. Predicting Bank Defaults
7. Contingent Collateral Bonds
8. Model for Sovereign Default and Relative Value
9. Beating Credit Benchmarks
10. Equity and Debt Risk Premium Trade

Part 3 - Credit Portfolio Management        

11. Credit Portfolio Management
12. Managing Pension Fund Liabilities
13. Simulating Combined Spread and Default Moves
14. Black-Litterman Optimization Demystified
15. Analyzing and Hedging Systemic Liquidity Risk

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Terry Benzschawel is a Managing Director in Citigroup’s Institutional Clients Business. Terry heads the Portfolio Analysis and Quantitative Strategies group which develops and implements quantitative tools and strategies for credit market trading and risk management, both for Citi’s clients and for in-house applications. His financial career began in 1988 and has centered on modelling the risk and relative value of cash and synthetic debt of consumers, sovereign nations, and corporations. He began in Chase Manhattan Bank’s North American Finance Group, moved to Citibank’s Credit Card Division, and then to Salomon Brothers Fixed Income Arbitrage Group. In 1998 he moved to Citi’s Institutional Clients business, alternating among quant and strategy roles, while focusing on model-based trading, corporate debt, structured products, credit derivatives, and credit portfolio optimization. In addition to writing Credit Risk Modelling in 2012, Terry contributed to our 2003 book Credit Derivatives by Jon Gregory and is well-known in the industry.

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