Pricing derivative credit risk:
Saved in:
| New Title: | Ammann, Manuel Credit risk valuation |
|---|---|
| Main Author: | |
| Format: | Thesis Book |
| Language: | German |
| Published: |
Berlin [u.a.]
Springer
1999
|
| Series: | Lecture notes in economics and mathematical systems
470 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Teilw. zugl.: St. Gallen, Univ., Diss., 1998. - 2. Aufl. u.d.T.: Credit risk valuation |
| Physical Description: | XII, 228 S. graph. Darst. |
| ISBN: | 3540657533 |
Staff View
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| 100 | 1 | |a Ammann, Manuel |d 1970- |e Verfasser |0 (DE-588)120861569 |4 aut | |
| 245 | 1 | 0 | |a Pricing derivative credit risk |c Manuel Ammann |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 1999 | |
| 300 | |a XII, 228 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Lecture notes in economics and mathematical systems |v 470 | |
| 500 | |a Teilw. zugl.: St. Gallen, Univ., Diss., 1998. - 2. Aufl. u.d.T.: Credit risk valuation | ||
| 502 | |a Zugl. St. Gallen, Univ., Diss. 1998 | ||
| 650 | 7 | |a Derivaten (financiën) |2 gtt | |
| 650 | 7 | |a Kredietverzekering |2 gtt | |
| 650 | 7 | |a Prijstheorie |2 gtt | |
| 650 | 7 | |a Risicoanalyse |2 gtt | |
| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Derivative securities -- Prices -- Mathematical models | |
| 650 | 4 | |a Credit -- Mathematical models | |
| 650 | 4 | |a Risk -- Mathematical models | |
| 650 | 0 | 7 | |a Messung |0 (DE-588)4038852-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zinsstrukturtheorie |0 (DE-588)4117720-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditderivat |0 (DE-588)7660453-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Preisbildung |0 (DE-588)4047103-2 |2 gnd |9 rswk-swf |
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Record in the Search Index
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| adam_text |
CONTENTS
PREFACE
.
VII
1.
INTRODUCTION
.
1
1.1
MOTIVATION
.
1
1.1.1
COUNTERPARTY
DEFAULT
RISK
.
1
1.1.2
DERIVATIVES
ON
DEFAULTABLE
ASSETS
.
6
1.1.3
CREDIT
DERIVATIVES
.
7
1.2
OBJECTIVES
.
8
1.3
STRUCTURE
.
9
2.
CONTINGENT
CLAIM
VALUATION
.
13
2.1
VALUATION
IN
DISCRETE
TIME
.
14
2.1.1
DEFINITIONS
.
14
2.1.2
THE
FINITE
SETTING
.
15
2.1.3
EXTENSIONS
.
18
2.2
VALUATION
IN
CONTINUOUS
TIME
.
19
2.2.1
DEFINITIONS
.
19
2.2.2
ARBITRAGE
PRICING
.
20
2.2.3
FUNDAMENTAL
ASSET
PRICING
THEOREM
.
25
2.3
APPLICATIONS
IN
CONTINUOUS
TIME
.
25
2.3.1
BLACK-SCHOLES
MODEL
.
26
2.3.2
MARGRABE
'
S
MODEL
.
30
2.3.3
HEATH-JARROW-MORTON
FRAMEWORK
.
33
2.3.4
FORWARD
MEASURE
.
38
2.4
APPLICATIONS
IN
DISCRETE
TIME
.
41
2.4.1
GEOMETRIC
BROWNIAN
MOTION
.
41
2.4.2
HEATH-JARROW-MORTON
FORWARD
RATES
.
42
2.5
SUMMARY
.
45
3.
REVIEW
OF
CREDIT
RISK
MODELS
.
47
3.1
PRICING
CREDIT-RISKY
BONDS
.
47
3.1.1
TRADITIONAL
METHODS
.
48
3.1.2
FIRM
VALUE
MODELS
.
48
3.1.2.1
MERTON
'
S
MODEL
.
48
X
CONTENTS
3.1.2.2
EXTENSIONS
AND
APPLICATIONS
OF
MERTON
'
S
MODEL
51
3.1.2.3
BANKRUPTCY
COSTS
AND
ENDOGENOUS
DEFAULT
.
52
3.1.3
FIRST
PASSAGE
TIME
MODELS
.
53
3.1.4
INTENSITY
MODELS
.
58
3.1.4.1
JARROW-TURNBULL
MODEL
.
58
3.1.4.2
JARROW-LANDO-TURNBULL
MODEL
.
62
3.1.4.3
OTHER
INTENSITY
MODELS
.
64
3.2
PRICING
DERIVATIVES
WITH
COUNTERPARTY
RISK
.
65
3.2.1
FIRM
VALUE
MODELS
.
66
3.2.2
INTENSITY
MODELS
.
67
3.2.3
SWAPS
.
68
3.3
PRICING
CREDIT
DERIVATIVES
.
70
3.3.1
DEBT
INSURANCE
.
70
3.3.2
SPREAD
DERIVATIVES
.
71
3.4
EMPIRICAL
EVIDENCE
.
72
3.5
SUMMARY
.
73
4.
FIRM
VALUE
MODEL
.
75
4.1
THE
CREDIT
RISK
MODEL
.
75
4.2
DETERMINISTIC
LIABILITIES
.
77
4.2.1
PRICES
FOR
VULNERABLE
OPTIONS
.
78
4.2.2
SPECIAL
CASES
.
80
4.2.2.1
FIXED
RECOVERY
RATE
.
81
4.2.2.2
DETERMINISTIC
CLAIMS
.
82
4.3
STOCHASTIC
LIABILITIES
.
83
4.3.1
PRICES
OF
VULNERABLE
OPTIONS
.
85
4.3.2
SPECIAL
CASES
.
86
4.3.2.1
ASSET
CLAIMS
.
87
4.3.2.2
DEBT
CLAIMS
.
87
4.4
GAUSSIAN
INTEREST
RATES
.
88
4.4.1
FORWARD
MEASURE
.
89
4.4.2
PRICES
OF
VULNERABLE
STOCK
OPTIONS
.
91
4.4.3
PRICES
OF
VULNERABLE
BOND
OPTIONS
.
93
4.4.4
SPECIAL
CASES
.
93
4.5
STOCHASTIC
LIABILITIES
.
94
4.5.1
PRICES
OF
VULNERABLE
STOCK
OPTIONS
.
95
4.5.2
PRICES
OF
VULNERABLE
BOND
OPTIONS
.
97
4.5.3
SPECIAL
CASES
.
97
4.6
VULNERABLE
FORWARD
CONTRACTS
.
97
4.7
NUMERICAL
EXAMPLES
.
98
4.7.1
DETERMINISTIC
INTEREST
RATES
.
98
4.7.2
STOCHASTIC
INTEREST
RATES
.
102
4.7.3
FORWARD
CONTRACTS
.
109
4.8
SUMMARY
.
ILL
CONTENTS
XI
5.
HYBRID
MODEL
.
113
5.1
THE
GENERAL
CREDIT
RISK
FRAMEWORK
.
113
5.1.1
INDEPENDENCE
AND
CONSTANT
PARAMETERS
.
115
5.1.2
PRICE
REDUCTION
AND
BOND
PRICES
.
117
5.1.3
MODEL
SPECIFICATIONS
.
118
5.1.3.1
ARRIVAL
RATE
OF
DEFAULT
.
118
5.1.3.2
RECOVERY
RATE
.
119
5.1.3.3
BANKRUPTCY
COSTS
.
120
5.2
IMPLEMENTATIONS
.
121
5.2.1
LATTICE
WITH
DETERMINISTIC
INTEREST
RATES
.
121
5.2.2
THE
BANKRUPTCY
PROCESS
.
125
5.2.3
AN
EXTENDED
LATTICE
MODEL
.
127
5.2.3.1
STOCHASTIC
INTEREST
RATES
.
129
5.2.3.2
RECOMBINING
LATTICE
VERSUS
BINARY
TREE
.
130
5.3
PRICES
OF
VULNERABLE
OPTIONS
.
131
5.4
RECOVERING
OBSERVED
TERM
STRUCTURES
.
132
5.4.1
RECOVERING
THE
RISK-FREE
TERM
STRUCTURE
.
132
5.4.2
RECOVERING
THE
DEFAULTABLE
TERM
STRUCTURE
.
133
5.5
DEFAULT-FREE
OPTIONS
ON
RISKY
BONDS
.
134
5.5.1
PUT-CALL
PARITY
.
135
5.6
NUMERICAL
EXAMPLES
.
136
5.6.1
DETERMINISTIC
INTEREST
RATES
.
136
5.6.2
STOCHASTIC
INTEREST
RATES
.
140
5.7
COMPUTATIONAL
COST
.
143
5.8
SUMMARY
.
145
6.
CREDIT
DERIVATIVES
.
147
6.1
CREDIT
DERIVATIVE
INSTRUMENTS
.
148
6.1.1
CREDIT
DERIVATIVES
OF
THE
FIRST
TYPE
.
148
6.1.2
CREDIT
DERIVATIVES
OF
THE
SECOND
TYPE
.
150
6.1.3
OTHER
CREDIT
DERIVATIVES
.
150
6.2
VALUATION
OF
CREDIT
DERIVATIVES
.
150
6.2.1
PAYOFF
FUNCTIONS
.
152
6.2.1.1
CREDIT
FORWARD
CONTRACTS
.
152
6.2.1.2
CREDIT
SPREAD
OPTIONS
.
154
6.3
THE
COMPOUND
PRICING
APPROACH
.
155
6.3.1
FIRM
VALUE
MODEL
.
155
6.3.2
STOCHASTIC
INTEREST
RATES
.
157
6.3.3
INTENSITY
AND
HYBRID
CREDIT
RISK
MODELS
.
158
6.4
NUMERICAL
EXAMPLES
.
158
6.4.1
DETERMINISTIC
INTEREST
RATES
.
158
6.4.2
STOCHASTIC
INTEREST
RATES
.
162
6.5
SUMMARY
.
164
XII
CONTENTS
7.
CONCLUSION
.
165
7.1
SUMMARY
.
165
7.2
PRACTICAL
IMPLICATIONS
.
167
7.3
FUTURE
RESEARCH
.
168
A.
PROOFS
.
169
A.L
PROOF
OF
PROPOSITION
4.2.1
.
169
A.2
PROOF
OF
PROPOSITION
4.3.1
.
174
A.3
PROOF
OF
PROPOSITION
4.4.1
.
179
A.4
PROOF
OF
PROPOSITION
4.5.1
.
185
A.5
PROOF
OF
PROPOSITION
6.3.1
.
193
B.
STOCHASTIC
UTILITIES
.
197
B.L
PROBABILISTIC
FOUNDATIONS
.
197
B.2
PROCESS
CLASSES
.
199
B.3
MARTINGALES
.
199
B.4
BROWNIAN
MOTION
.
201
B.5
STOCHASTIC
INTEGRATION
.
203
B.6
CHANGE
OF
MEASURE
.
207
REFERENCES
.
211
LIST
OF
FIGURES
.
221
LIST
OF
TABLES
.
223
INDEX
.
225 |
| any_adam_object | 1 |
| author | Ammann, Manuel 1970- |
| author_GND | (DE-588)120861569 |
| author_facet | Ammann, Manuel 1970- |
| author_role | aut |
| author_sort | Ammann, Manuel 1970- |
| author_variant | m a ma |
| building | Verbundindex |
| bvnumber | BV012555873 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3A465 1999 |
| callnumber-search | HG6024.A3A465 1999 |
| callnumber-sort | HG 46024 A3 A465 41999 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 QK 660 SI 853 |
| classification_tum | MAT 902f |
| ctrlnum | (OCoLC)40964961 (DE-599)BVBBV012555873 |
| dewey-full | 332.63/2 332.63/221 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2 332.63/2 21 |
| dewey-search | 332.63/2 332.63/2 21 |
| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV012555873 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T03:47:20Z |
| institution | BVB |
| isbn | 3540657533 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008525554 |
| oclc_num | 40964961 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-739 DE-384 DE-91G DE-BY-TUM DE-19 DE-BY-UBM DE-521 DE-83 DE-188 |
| owner_facet | DE-473 DE-BY-UBG DE-739 DE-384 DE-91G DE-BY-TUM DE-19 DE-BY-UBM DE-521 DE-83 DE-188 |
| physical | XII, 228 S. graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in economics and mathematical systems |
| series2 | Lecture notes in economics and mathematical systems |
| spelling | Ammann, Manuel 1970- Verfasser (DE-588)120861569 aut Pricing derivative credit risk Manuel Ammann Berlin [u.a.] Springer 1999 XII, 228 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 470 Teilw. zugl.: St. Gallen, Univ., Diss., 1998. - 2. Aufl. u.d.T.: Credit risk valuation Zugl. St. Gallen, Univ., Diss. 1998 Derivaten (financiën) gtt Kredietverzekering gtt Prijstheorie gtt Risicoanalyse gtt Wiskundige modellen gtt Mathematisches Modell Derivative securities -- Prices -- Mathematical models Credit -- Mathematical models Risk -- Mathematical models Messung (DE-588)4038852-9 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Risikomanagement (DE-588)4121590-4 s Kreditderivat (DE-588)7660453-6 s Messung (DE-588)4038852-9 s Zinsstrukturtheorie (DE-588)4117720-4 s Kreditrisiko (DE-588)4114309-7 s DE-188 Später u.d.T. Ammann, Manuel Credit risk valuation Lecture notes in economics and mathematical systems 470 (DE-604)BV000000036 470 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008525554&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ammann, Manuel 1970- Pricing derivative credit risk Lecture notes in economics and mathematical systems Derivaten (financiën) gtt Kredietverzekering gtt Prijstheorie gtt Risicoanalyse gtt Wiskundige modellen gtt Mathematisches Modell Derivative securities -- Prices -- Mathematical models Credit -- Mathematical models Risk -- Mathematical models Messung (DE-588)4038852-9 gnd Kreditrisiko (DE-588)4114309-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Kreditderivat (DE-588)7660453-6 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4038852-9 (DE-588)4114309-7 (DE-588)4114528-8 (DE-588)4117720-4 (DE-588)7660453-6 (DE-588)4381572-8 (DE-588)4047103-2 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | Pricing derivative credit risk |
| title_auth | Pricing derivative credit risk |
| title_exact_search | Pricing derivative credit risk |
| title_full | Pricing derivative credit risk Manuel Ammann |
| title_fullStr | Pricing derivative credit risk Manuel Ammann |
| title_full_unstemmed | Pricing derivative credit risk Manuel Ammann |
| title_new | Ammann, Manuel Credit risk valuation |
| title_short | Pricing derivative credit risk |
| title_sort | pricing derivative credit risk |
| topic | Derivaten (financiën) gtt Kredietverzekering gtt Prijstheorie gtt Risicoanalyse gtt Wiskundige modellen gtt Mathematisches Modell Derivative securities -- Prices -- Mathematical models Credit -- Mathematical models Risk -- Mathematical models Messung (DE-588)4038852-9 gnd Kreditrisiko (DE-588)4114309-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Kreditderivat (DE-588)7660453-6 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Derivaten (financiën) Kredietverzekering Prijstheorie Risicoanalyse Wiskundige modellen Mathematisches Modell Derivative securities -- Prices -- Mathematical models Credit -- Mathematical models Risk -- Mathematical models Messung Kreditrisiko Zinsstrukturtheorie Kreditderivat Derivat Wertpapier Preisbildung Risikomanagement Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008525554&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000000036 |
| work_keys_str_mv | AT ammannmanuel pricingderivativecreditrisk |