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Advanced Credit Risk Analysis : Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk - Didier Cossin

Advanced Credit Risk Analysis

Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk

Hardcover

Published: 13th December 2000
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Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.<br> 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.

" an ambitious, well--researched book with probably the most comprehensive review of the credit--risk--modelling literature...I eagerly await the next edition" (Quantitative Finance, March 2001)

Acknowledgements.

Introduction.
CREDIT RISK PRICING.
Introduction to Modern Credit Risk Pricing.
Merton's Approach: The Intuition Behind Structural Models.
Subsequent Financial Engineering.
Stochastic Interest Rates and Credit Risk.
Advanced Considerations on Bankruptcy Endogeneity.
Reduced-Form/Mixed Approaches.
CREDIT RISK OF DERIVATIVES.
Swap Credit Risk Pricing.
Credit Risk in Options: Vulnerable Options.
THEORETICAL WRAP-UP AND EMPIRICAL EVIDENCE.
Introduction.
Literature Wrap-Up.
Empirical Evidence.
A PROPOSITION FOR A STRUCTURAL MODEL.
Introduction.
The Pricing Model.
Comparative Statics.
The Practical Implementation and Final Issues.
COLLATERALIZATION, MARKING-TO-MARKET, AND THEIR IMPACT ON CREDIT RISK.
Introduction.
A Structural Methodology for Haircut Determination and the Pricing of Credit Risk with Risky Collateral.
Credit Risk Collateral Control as an Impulse Control Problem.
MANAGEMENT OF CREDIT RISK.
Advanced Management Tools.
Financial Structuring with Credit Derivatives.
Appendix A: Itô's Lemma.
Appendix B: A Review of Interest Rate Models.
General Bibliography.
Index.

ISBN: 9780471987239
ISBN-10: 0471987239
Series: Wiley Series in Financial Engineering
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 372
Published: 13th December 2000
Country of Publication: GB
Dimensions (cm): 25.22 x 18.29  x 2.64
Weight (kg): 0.74
Edition Number: 1