Credit risk pricing models信貸風(fēng)險定價模型

內(nèi)容概要

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.

書籍目錄

1.  Introduction　1.1 Motivation　1.2 Objectives，Structure，and Summary2.  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　Rates3.　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 Model4.  Correlated Defaults　4.1 Introduction　4.2 Correlated Asset Values  　　4.3 Correlated Default Intensities　4.4 Correlation and Copula Functions5.  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 0ther Credit Derivatives　5.4 Multi Counterparty C.redit 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 Defaultable 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 ofLeast Squared Minimization　　6.6.3 The Kalman Filtering Methodology……A Some Definitions of S&PB Technical ProofsC Pricing of Credit Derivatives:ExtensionsList of FiguresList of TiguresReferencesIndex

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