An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series)

Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph

ISBN 10: 158488326X / ISBN 13: 9781584883265

Editore: Chapman and Hall/CRC, 2002

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Dati bibliografici

• Titolo: An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series)
• Editore: Chapman and Hall/CRC
• Data di pubblicazione: 2002
• Lingua: Inglese
• ISBN 10: 158488326X
• ISBN 13: 9781584883265
• Rilegatura: Rilegato
• Condizione: good

Descrizione articolo

Riassunto

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.

Contenuti

THE BASICS OF CREDIT RISK MANAGEMENT
Expected Loss
Unexpected Loss
Regulatory Capital and the Basel Initiative
MODELLING CORRELATED DEFAULTS
The Bernoulli Model
The Poisson Model
Bernoulli Versus Poisson Mixture
An Overview of Today's Industry Models
One-Factor/Sector Models
Loss Distributions by Means of Copula Functions
Working Example: Estimation of Asset Correlations
ASSET VALUE MODELS
Introduction and A Small Guide to the Literature
A Few Words About Calls and Puts
Merton's Asset Value Model
Transforming Equity into Asset Values: A Working Approach
THE CREDITRISK+ MODEL
The Modeling Framework of CreditRisk+
Construction Step 1: Independent Obligors
Construction Step 2: Sector Model
ALTERNATIVE RISK MEASURES AND CAPITAL ALLOCATION
Coherent Risk Measures and Conditional Shortfall
Contributory Capital
TERM STRUCTURE OF DEFAULT PROBABILITY
Survival Function and Hazard Rate
Risk-neutral vs. Actual Default Probabilities
Term Structure Based on Historical Default Information
3.
Term Structure Based on Market Spreads
CREDIT DERIVATIVES
Total Return Swaps
Credit Default Products
Basket Credit Derivatives
Credit Spread Products
Credit-Linked Notes
COLLATERALIZED DEBT OBLIGATIONS
Introduction to Collateralized Debt Obligations
Different Roles of Banks in the CDO Market
CDOs from the Modeling Point of View
Rating Agency Models: Moody's BET
Conclusion
Some Remarks on the Literature
Remarks
REFERENCES