Credit Risk

Name: Credit Risk
Brand: Taylor & Francis Inc
Price: 341.75 AUD
Availability: BackOrder

Models, Derivatives, and Management

By: Niklas Wagner (Editor)

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Hardcover | 28 May 2008 | Edition Number 1

At a Glance

Hardcover
598 Pages

Dimensions(cm)
25.4 x 17.8 x 4.0

Hardcover

RRP $399.00

$341.75

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Available for Backorder. We will order this from our supplier however there isn't a current ETA.

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.

Industry Reviews

"Credit Risk: Models, Derivatives, and Management is the most comprehensive available volume of authoritative readings on credit risk modeling. Niklas Wagner has given us a package of 26 chapters by well-recognized authors, treating all major aspects of the subject, from the behavior of default probabilities, recovery, and correlation to the pricing of a wide range of single-name and multi-name credit products. Every practitioner covering the topic will appreciate access to this collection."
-Darrell Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School of Business, Stanford University, California, USA

"Well-recognized academics and industry experts offer their perspectives on current advances in credit risk modeling, pricing, and management . . . contains a nice mixture of theoretical and empirical contributions. In view of the current U.S. subprime mortgage loan crisis, CDO-based credit problems and several bankruptcies of financial institutions, this book is highly topical and offers valuable tools to both academics and practitioners alike."

- Giacomo Bonanno, in Zentralblatt Math, 2009

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