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- Product code: 15924
- ISBN: 1904339085,
ISBN13: 9781904339083,
300 pages, hardback
Published by Risk Books on 2003
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Description of Credit Risk Modelling |
This volume brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry. The book is designed to allow readers to easily familiarise themselves with all the leading authorities, ideas and techniques used in today's business. The papers are subdivided into easy-reference sections that include credit portfolio modelling and measurement; credit derivatives; default models and prediction; credit risk modelling in relation to Basel II. It is introduced by Michael Gordy, who illustrates the significance that each chapter has on modern credit practice It allows the reader to compare and contrast two different philosophies in credit risk modelling - "structural models" and "reduced-form models" The book covers the statistical and financial tools that lie behind credit risk theory and management in addition to offering a comprehensive treatment of the pricing of credit derivatives, including credit swaps and CDOs.
It includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates
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Contents of Credit Risk Modelling |
- Random Tranches
Michael Gody and Dvid Jones
- Coarse-grained CDOs
Michael V. Pykhtin and Ashish Dev
- Loan Portfolio Value
Oldrich Vasicek
- Unsystematic Credit Risk
Richard Martin and Tom Wilde
- Copula Vulnerability
Umberto Cherubini and Elisa Luciano
- Calculating Portfolio Loss
Sandro Merino and Mark Nyfeler
- The Maturity Effect on Credit Risk Capital
Michael Kalkbrenner and Ludger Overbeck
- Long or Short in CDOs
Hans Boscher and Ian Ward
- Extreme Events and Default Baskets
Roy Mashal and Marco Naldi
- Credit Risk in Asset Securitisations: An Analytical Model
Michael Pykhtin and Ashish Dev
- Analytical Approach to Credit Risk Modelling
Michael Pykhtin and Ashish Dev
- The Need for Hybrid Models
Jorge Sobehart and Sean Keenan
- Pricing Default Baskets
Wolfgang Schmidt and Ian Ward
- Distance to Default Models
Marco Avellaneda and Jingyi Zhu
- Equity to Credit Pricing
George Pan
- Copulas and Credit Models
Rudiger Frey, Alexander McNeil and Mark Nyfeler
- Procyclicality in the New Basel Accord
Wilson D. Ervin and Tom Wilde
- Probing Granularity
Tom Wilde
- How Dependent are Defaults?
Richard Martin, Kevin Thompson and Christopher Browne
- Taking to The Saddle
Richard Martin, Kevin Thompson and Christopher Browne
- Reconciling Ratings
Stefan Blochwitz, Stefan Hohl
- Weighting for risk
Jon Frye
- IRB Approach Explained
Tom Wilde
- Modelling Default Correlation
Krishan Nagpal and Reza Bahar
- Measuring Default Accurately
Jorge Sobehart and Sean Keenan
- Price and Probability
Richard Martin, Kevin Thompson and Christopher Browne
- Collateral Damage
Jon Frye
- Devil in the Parameters
Ugur Koyluoglu, Anil Bangia and Thomas Garside
- On the Edge of Completeness
Angelo Arvanitis and Jean-Paul Laurent
- Integrating Correlations
Peter Burgisser, Alexander Kurth, Armin Wagner and Michael Wolf
- Applying HJM to Credit Risk
Robert Maksymiuk and Dariusz Gatarek
- A credit Risk Catwalk
Sean Keenan, Jorge Sobehart
- Depressing Recoveries
Jon Frye
- Getting the Pricing Right
Angelo Arvanitis
- Credit Derivatives Made Simple
Lane Hughston and Stuart Turnbull
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About Michael Gordy |
Michael Gordy is a senior economist in the research and statistics division of the Federal Reserve Board. His current research focuses on the design, calibration, computation and validation of models of portfolio credit risk, and on the adaptation of these models to setting regulatory capital requirements. Michael received his PhD in economics from MIT in 1994 and a BA in mathematics and philosophy from Yale University in 1985.
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