Structural Credit Risk Models

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The Credit Market Handbook

Author : H. Gifford Fong
Publisher : John Wiley & Sons
ISBN 13 : 0471787191
Total Pages : 254 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis The Credit Market Handbook by : H. Gifford Fong

Download or read book The Credit Market Handbook written by H. Gifford Fong and published by John Wiley & Sons. This book was released on 2006-02-02 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default. In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include: * Estimating default probabilities implicit in equity prices * Structural versus reduced form models: a new information-based perspective * Valuing high-yield bonds * Predictions of default probabilities in structural models of debt * And much more Filled with in-depth insight and expert advice, this invaluable resource offers you the critical information you need to succeed within today's credit market.

Credit Risk: Modeling, Valuation and Hedging

Author : Tomasz R. Bielecki
Publisher : Springer Science & Business Media
ISBN 13 : 9783540675938
Total Pages : 524 pages
Book Rating : 4.6/5 (759 download)

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Book Synopsis Credit Risk: Modeling, Valuation and Hedging by : Tomasz R. Bielecki

Download or read book Credit Risk: Modeling, Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2004-01-22 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Credit Risk

Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829178
Total Pages : 415 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Credit Risk by : Darrell Duffie

Download or read book Credit Risk written by Darrell Duffie and published by Princeton University Press. This book was released on 2012-01-12 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.

Credit Risk Modeling

Author : David Lando
Publisher : Princeton University Press
ISBN 13 : 1400829194
Total Pages : 328 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Credit Risk Modeling by : David Lando

Download or read book Credit Risk Modeling written by David Lando and published by Princeton University Press. This book was released on 2009-12-13 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Advanced Credit Risk Analysis

Author : Didier Cossin
Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 384 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Advanced Credit Risk Analysis by : Didier Cossin

Download or read book Advanced Credit Risk Analysis written by Didier Cossin and published by John Wiley & Sons. This book was released on 2001 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management. The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.

Credit Risk Valuation

Author : Manuel Ammann
Publisher : Springer Science & Business Media
ISBN 13 : 3662064251
Total Pages : 259 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Credit Risk Valuation by : Manuel Ammann

Download or read book Credit Risk Valuation written by Manuel Ammann and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Risk Management

Author : Michael Frenkel
Publisher : Springer Science & Business Media
ISBN 13 : 3540269932
Total Pages : 842 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Risk Management by : Michael Frenkel

Download or read book Risk Management written by Michael Frenkel and published by Springer Science & Business Media. This book was released on 2005-12-06 with total page 842 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.

Advanced Financial Risk Management

Author : Donald R. Van Deventer
Publisher : John Wiley & Sons
ISBN 13 : 1118278550
Total Pages : 834 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Advanced Financial Risk Management by : Donald R. Van Deventer

Download or read book Advanced Financial Risk Management written by Donald R. Van Deventer and published by John Wiley & Sons. This book was released on 2013-02-06 with total page 834 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical tools and advice for managing financial risk, updated for a post-crisis world Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management outlines a framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a more integrated basis. The book presents a performance measurement approach that goes far beyond traditional capital allocation techniques to measure risk-adjusted shareholder value creation, and supplements this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives. Practical tools for managing risk in the financial world Updated to include the most recent events that have influenced risk management Topics covered include the basics of present value, forward rates, and interest rate compounding; American vs. European fixed income options; default probability models; prepayment models; mortality models; and alternatives to the Vasicek model Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.

Recent Developments in Mathematical, Statistical and Computational Sciences

Author : D. Marc Kilgour
Publisher : Springer
ISBN 13 : 9783030635930
Total Pages : 0 pages
Book Rating : 4.6/5 (359 download)

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Book Synopsis Recent Developments in Mathematical, Statistical and Computational Sciences by : D. Marc Kilgour

Download or read book Recent Developments in Mathematical, Statistical and Computational Sciences written by D. Marc Kilgour and published by Springer. This book was released on 2022-08-31 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes an up-to-date account of principles, methods, and tools for mathematical and statistical modelling in a wide range of research fields, including medicine, health sciences, biology, environmental science, engineering, physics, chemistry, computation, finance, economics, and social sciences. It presents original solutions to real-world problems, emphasizes the coordinated development of theories and applications, and promotes interdisciplinary collaboration among mathematicians, statisticians, and researchers in other disciplines. Based on a highly successful meeting, the International Conference on Applied Mathematics, Modeling and Computational Science, AMMCS 2019, held from August 18 to 23, 2019, on the main campus of Wilfrid Laurier University, Waterloo, Canada, the contributions are the results of submissions from the conference participants. They provide readers with a broader view of the methods, ideas and tools used in mathematical, statistical and computational sciences.

Credit Risk Management In and Out of the Financial Crisis

Author : Anthony Saunders
Publisher : John Wiley & Sons
ISBN 13 : 0470622369
Total Pages : 373 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Credit Risk Management In and Out of the Financial Crisis by : Anthony Saunders

Download or read book Credit Risk Management In and Out of the Financial Crisis written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2010-04-16 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.

Data Analysis and Applications 4

Author : Andreas Makrides
Publisher : John Wiley & Sons
ISBN 13 : 111972158X
Total Pages : 247 pages
Book Rating : 4.1/5 (197 download)

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Book Synopsis Data Analysis and Applications 4 by : Andreas Makrides

Download or read book Data Analysis and Applications 4 written by Andreas Makrides and published by John Wiley & Sons. This book was released on 2020-04-09 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data analysis as an area of importance has grown exponentially, especially during the past couple of decades. This can be attributed to a rapidly growing computer industry and the wide applicability of computational techniques, in conjunction with new advances of analytic tools. This being the case, the need for literature that addresses this is self-evident. New publications are appearing, covering the need for information from all fields of science and engineering, thanks to the universal relevance of data analysis and statistics packages. This book is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians who have been working at the forefront of data analysis. The chapters included in this volume represent a cross-section of current concerns and research interests in these scientific areas. The material is divided into three parts: Financial Data Analysis and Methods, Statistics and Stochastic Data Analysis and Methods, and Demographic Methods and Data Analysis- providing the reader with both theoretical and applied information on data analysis methods, models and techniques and appropriate applications.

Financial Risk Manager Handbook

Author : Philippe Jorion
Publisher : John Wiley & Sons
ISBN 13 : 0470176563
Total Pages : 738 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Financial Risk Manager Handbook by : Philippe Jorion

Download or read book Financial Risk Manager Handbook written by Philippe Jorion and published by John Wiley & Sons. This book was released on 2007-06-15 with total page 738 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to financial risk management and the only way to get a great overview of the subjects covered in the GARP FRM Exam The Financial Risk Management Exam (FRM Exam) is given by the Global Association of Risk Professionals (GARP) annually in November for risk professionals who want to earn FRM(r) certification. The Financial Risk Manager Handbook, Fourth Edition is the definitive guide for those preparing to take the FRM Exam as well as a valued working reference for risk professionals. Written with the full support of GARP, and containing questions and solutions from previous exams, this book is a valuable resource for professionals responsible for or associated with financial risk management.

Credit Derivatives Pricing Models

Author : Philipp J. Schönbucher
Publisher : John Wiley & Sons
ISBN 13 : 0470868171
Total Pages : 396 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Credit Derivatives Pricing Models by : Philipp J. Schönbucher

Download or read book Credit Derivatives Pricing Models written by Philipp J. Schönbucher and published by John Wiley & Sons. This book was released on 2003-10-31 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.

Introduction to Credit Risk Modeling

Author : Christian Bluhm
Publisher : CRC Press
ISBN 13 : 1584889934
Total Pages : 386 pages
Book Rating : 4.5/5 (848 download)

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Book Synopsis Introduction to Credit Risk Modeling by : Christian Bluhm

Download or read book Introduction to Credit Risk Modeling written by Christian Bluhm and published by CRC Press. This book was released on 2016-04-19 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Management from an Emerging Market Perspective

Author : Soner Gokten
Publisher : BoD – Books on Demand
ISBN 13 : 9535137360
Total Pages : 334 pages
Book Rating : 4.5/5 (351 download)

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Book Synopsis Financial Management from an Emerging Market Perspective by : Soner Gokten

Download or read book Financial Management from an Emerging Market Perspective written by Soner Gokten and published by BoD – Books on Demand. This book was released on 2018-01-17 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the main reasons to name this book as Financial Management from an Emerging Market Perspective is to show the main differences of financial theory and practice in emerging markets other than the developed ones. Our many years of learning, teaching, and consulting experience have taught us that the theory of finance differs in developed and emerging markets. It is a well-known fact that emerging markets do not always share the same financial management problems with the developed ones. This book intends to show these differences, which could be traced to several characteristics unique to emerging markets, and these unique characteristics could generate a different view of finance theory in a different manner. As a consequence, different financial decisions, arrangements, institutions, and practices may evolve in emerging markets over time. The purpose of this book is to provide practitioners and academicians with a working knowledge of the different financial management applications and their use in an emerging market setting. Six main topics regarding the financial management applications in emerging markets are covered, and the context of these topics are "Capital Structure," "Market Efficiency and Market Models," "Merger and Acquisitions and Corporate Governance," "Working Capital Management," "Financial Economics and Digital Currency," and "Real Estate and Health Finance."

Credit Derivatives

Author : George Chacko
Publisher : Pearson Education
ISBN 13 : 0132715929
Total Pages : 353 pages
Book Rating : 4.1/5 (327 download)

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Book Synopsis Credit Derivatives by : George Chacko

Download or read book Credit Derivatives written by George Chacko and published by Pearson Education. This book was released on 2006-06-02 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.