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portada Credit Risk: Models, Derivatives, and Management
Credit Risk: Models, Derivatives, and ManagementCredit Risk: Models, Derivatives, and ManagementCredit Risk: Models, Derivatives, and Management
Type
Physical Book
Publisher
Author
Language
English
Pages
598
Format
Hardcover
Dimensions
25.1x17.8x3.8 cm
Weight
1.22 kg.
ISBN
1584889942
ISBN13
9781584889946
Categories

Credit Risk: Models, Derivatives, and Management

Wagner, Niklas (Author) · CRC Press · Hardcover

Credit Risk: Models, Derivatives, and Management - Wagner, Niklas

New Book Imported to South Africa
Delivery: 13 Nov - 23 Nov Shipping: 13 to 14 business days.
R 5,174
R 5,174

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Synopsis "Credit Risk: Models, Derivatives, and Management"

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.

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