Advanced credit risk analysis: financial approaches and mathematical models to assess, price, and manage credit risk
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester [u.a.]
Wiley
2001
|
| Series: | Wiley series in financial engineering
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 357 S. graph. Darst. |
| ISBN: | 0471987239 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV013781075 | ||
| 003 | DE-604 | ||
| 005 | 20030508 | ||
| 007 | t | ||
| 008 | 010621s2001 d||| |||| 00||| eng d | ||
| 020 | |a 0471987239 |9 0-471-98723-9 | ||
| 035 | |a (OCoLC)247015973 | ||
| 035 | |a (DE-599)BVBBV013781075 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-473 |a DE-1047 |a DE-91G | ||
| 050 | 0 | |a HG3751 | |
| 082 | 0 | |a 332.7 | |
| 084 | |a QK 320 |0 (DE-625)141644: |2 rvk | ||
| 084 | |a WIR 160f |2 stub | ||
| 100 | 1 | |a Cossin, Didier |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Advanced credit risk analysis |b financial approaches and mathematical models to assess, price, and manage credit risk |c Didier Cossin and Hugues Pirotte |
| 264 | 1 | |a Chichester [u.a.] |b Wiley |c 2001 | |
| 300 | |a XIII, 357 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley series in financial engineering | |
| 650 | 4 | |a Unternehmen | |
| 650 | 4 | |a Business enterprises |x Finance | |
| 650 | 4 | |a Credit |x Management | |
| 650 | 4 | |a Risk management | |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Kreditrisiko |0 (DE-588)4114309-7 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Pirotte, Hugues |e Verfasser |4 aut | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009420625&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009420625 | ||
Record in the Search Index
| _version_ | 1804128602706411520 |
|---|---|
| adam_text | Contents Acknowledgements xiv
1 Introduction 1
1.1 Frequently used notation 3
1.1.1 Miscellaneous remarks 3
1.1.2 The Latins and the Greeks 3
1.1.3 Common acronyms 4
1.2 References 5
Part One Credit Risk Pricing
2 Introduction to modern credit risk pricing 9
2.1 References 14
3 Merton s approach: the intuition behind structural models 15
3.1 The original contingent claim analysis (CCA) framework:
Merton(1974) 17
3.2 The risk structure of interest rates 21
3.3 The probability of default and the implicit recovery in
Merton s model 22
3.3.1 A practical example 24
3.4 Comparative statics 25
3.5 Some early empirical investigations of the Merton model 28
3.6 Computing the necessary inputs: preliminary remarks 29
3.6.1 Estimating the value of the firm 29
3.6.2 Estimating the standard deviation for each firm 29
3.6.3 Estimating the face value of the debt (exercise price) 30
3.6.4 Estimating the maturity of the debt 31
3.7 A bond pricing implementation on the French stock market 31
3.7.1 The data and the results 32
3.8 References 32
1
viii Contents
4 Subsequent financial engineering 35 j
4.1 Coupon bonds 35 j
4.2 Debt issues of different seniority level 37 j
4.2.1 Different maturities and cross default condition 39 j
4.3 Bonds with safety covenants 40
4.4 Convertible securities 42 ¦
4.5 Callable bonds 43
4.6 Swaps 43
4.7 Further engineering: a jump diffusion approach (Zhou, 1997) 44
4.8 References 45
5 Stochastic interest rates and credit risk 47
5.1 Introduction 47 ;
5.2 Shimko et al. (1993) 48
5.2.1 The derivation 49
5.2.2 Static comparatives 51
5.2.3 Implications for asset liability management 51
5.3 Longstaff and Schwartz (1995b) 53
5.3.1 The framework and its assumptions 53
5.3.2 The basis of valuation 54
5.3.3 A caveat 56
5.3.4 Floating rate debt valuation 56
5.4 Saa Requejo and Santa Clara (1997) 57
5.4.1 When risks are independent 60
5.4.2 When risks are dependent 60
5.4.3 Credit risk measures 61
5.4.4 An empirical implementation 62
5.5 Briys and de Varenne (1997) 64
5.5.1 The framework 65
5.5.2 Credit risk measures 69
5.6 References 70
6 Advanced considerations on bankruptcy endogeneity 73
6.1 The corporate optimal debt policy and credit spreads with
endogenous bankruptcy decisions: Leland and Toft (1996) 73
6.2 Strategic default and debt design: Anderson and Sundaresan (1996) 78
6.2.1 The framework 80
6.2.2 Applications 82
6.3 References 83
7 Reduced form/mixed approaches 85
7.1 Jarrrow and Turnbull (1995): the discrete approach 86
7.2 Jarrow, Lando and Turnbull (1997) 90
7.2.1 The model 90
7.3 The continuous case: Duffle and Singleton (1999) 93
7.3.1 Motivations for R, = rt + n, 95
7.3.2 Generalization to continuous time 97
7.3.3 The pricing of corporate bonds 100
Contents ix
7.4 Conclusion 105
7.5 Technical note 105
7.5.1 Hiibner (1997a) 106
7.6 References 109
Part Two Credit Risk of Derivatives
8 Swap credit risk pricing 113
8.1 Swap credit risk pricing models 115
8.1.1 Cooper and Mello (1991) 115
8.2 Asymmetric defaultable swap pricing 123
8.2.1 Duffie and Huang (1996) 124
8.2.2 Hiibner (1997) 125
8.3 Empirical investigations of swap credit risk 127
8.3.1 Data sample description 128
8.3.2 Empirical evidence 131
8.4 References 142
9 Credit risk in options: Vulnerable options 145
9.1 Introduction 145
9.2 Johnson and Stulz (1987) 145
9.2.1 The pricing framework of such options 145
9.2.2 Distribution free comparative statics 146
9.2.3 The put call parity 147
9.2.4 The case of the American put and the American call 147
9.2.5 Applications and extensions 148
9.3 Rich (1996) 148
9.3.1 First setting: a no recovery framework 148
9.3.2 Partial recovery 152
9.4 References 154
Part Three Theoretical Wrap up and Empirical Evidence
10 Introduction 157
10.1 References 158
11 Literature wrap up 159
11.1 The probability of default 159
11.2 The recovery 163
11.2.1 Theoretical specifications in the literature 164
11.3 References 166
x Contents
12 Empirical evidence 169
12.1 Default probabilities 169
12.1.1 Appraisal and estimation 169
12.1.2 Evidence on default probabilities behavior 172
12.2 On recovery rates 173
12.2.1 Estimation 173
12.2.2 Evidence 174
12.3 Duffee (1998): a study on treasury yields versus corporate
bond yield spreads 175
12.3.1 Preliminary to the empirical study 176
12.3.2 Empirical evidence with noncallable corporate bonds 176
12.3.3 Comparing with callable bonds 179
12.3.4 Conclusions 180
12.4 Duffee (1999): the estimation of the price of default risk 180
12.4.1 The model 180
12.4.2 The data 183
12.4.3 The estimation 183
12.4.4 The results 183
12.4.5 Conclusions 185
12.5 Wei and Guo (1997) 185
12.6 Conclusion 186
12.7 References 186
Part Four A Proposition for a Structural Model
13 Introduction 191
13.1 References 192
14 The pricing model 193
14.1 Formulations 198
14.2 References 201
15 Comparative statics 203
15.1 The corporate yield and the corporate credit spread 205
15.2 The aggregated probability of default, the overall recovery
and the expected cost of default 207
15.3 The term structure effects 211
15.4 Credit term structure comparisons with previous literature 216
15.5 References 219
16 The practical implementation and final issues 221
16.1 Pricing in terms of the traded variable 221
16.1.1 Introduction 221
16.2 Endogenous design 224
16.3 References 227
________ Contents xi
Part Five Collateralization, Marking to market, and their Impact
on Credit Risk
17 Introduction 231
17.1 References 2 31
18 A structural methodology for haircut determination and the pricing
of credit risk with risky collateral 233
18.1 Model with dual default and nonstochastic collateral 234
18.1.1 The basic model 236
18.2 Model with stochastic collateral 237
18.2.1 The model 237
18.3 Bonds as collateral 240
18.3.1 Valuation of the collateralized credit risk option 241
18.4 Marking to market: on forward and futures contracts 242
18.4.1 The CIR argument without credit risk 243
18.4.2 Taking into account credit risk 243
18.5 Dynamic collateral management 246
18.6 Conclusion to structural CCR pricing 247
18.7 References 247
19 Credit risk collateral control as an impulse control problem 249
19.1 The model s setup 250
19.1.1 The cost of the guarantee or credit risk cost 250
19.1.2 The cost of information 251
19.1.3 Forms of control 251
19.2 Solution approaches 252
19.2.1 Defining the problem in the full observation case 252
19.2.2 Iteration of a single jump operator 254
19.2.3 The quasi variational inequalities (QVIs) 254
19.3 Numerical analysis of the QVI approach 256
19.4 Some numerical analysis results 258
19.4.1 Impact of volatility changes 259
19.4.2 Impact of interest rate changes 259
19.4.3 Impact of the cost function on the optimal control
policy 261
19.5 Conclusions 262
19.6 References 263
Part Six Management of Credit Risk
20 Advanced management tools 267
20.1 Introduction 267
20.1.1 The regulatory requirements 268
20.1.2 Available approaches to portfolio credit risk 270
i
xii Contents
20.2 CreditMetrics™ (and CreditVaR I) 270 I
20.2.1 Introduction 270
20.2.2 The framework 271
20.2.3 Drawbacks of the model 283
20.3 KMV Corporation s model 284
20.3.1 The computation and use of the expected default
frequencies {EDF) 285
20.3.2 Discounting cash flows subject to credit risk (DCFaCR) 289
20.3.3 The capital requirement under KMV s methodology 291
20.3.4 Asset correlations 292
20.4 CreditRisk + ™ 293
20.4.1 Capital requirement calculation 295
20.4.2 Extensions 295
20.5 CreditPortfolioView™ 295
20.5.1 Remarks 298
20.6 Comparative studies and conclusion 298
20.7 References 299
21 Financial structuring with credit derivatives 301
21.1 The main categories of credit derivatives 302
21.1.1 Credit default swaps (or default swap, or credit swap,
or credit event swap) 303
21.1.2 Credit spread options 304
21.1.3 Credit spread forward 304
21.1.4 Total return swaps 304
21.2 The market for credit derivatives 305
21.3 The use of credit derivatives for the transfer of risks 309
21.3.1 The use of credit derivatives for corporates 309
21.3.2 The use of credit derivatives for portfolio managers
and investors 312
21.4 The pricing of credit derivatives 313
21.4.1 A caveat on the pricing of credit derivatives 313
21.4.2 Pricing via replication 314
21.4.3 A structural model for credit derivatives: Das (1995) 316
21.4.4 A model for credit spread options: Longstaff and
Schwartz (1995) 318
21.5 References 320
Part Seven Appendices
22 Ito s lemma 325
22.1 Introduction 325
22.2 The Ito process 326
22.3 The lemma 327
Contents xiii
23 A review of interest rate models 329
23.1 Introduction 329
23.2 Arbitrage models 330
23.2.1 One factor arbitrage models 330
23.2.2 Multifactor models 335
23.3 References 340
24 General Bibliography 341
Index 349
|
| any_adam_object | 1 |
| author | Cossin, Didier Pirotte, Hugues |
| author_facet | Cossin, Didier Pirotte, Hugues |
| author_role | aut aut |
| author_sort | Cossin, Didier |
| author_variant | d c dc h p hp |
| building | Verbundindex |
| bvnumber | BV013781075 |
| callnumber-first | H - Social Science |
| callnumber-label | HG3751 |
| callnumber-raw | HG3751 |
| callnumber-search | HG3751 |
| callnumber-sort | HG 43751 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 320 |
| classification_tum | WIR 160f |
| ctrlnum | (OCoLC)247015973 (DE-599)BVBBV013781075 |
| dewey-full | 332.7 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.7 |
| dewey-search | 332.7 |
| dewey-sort | 3332.7 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01569nam a2200421 c 4500</leader><controlfield tag="001">BV013781075</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20030508 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">010621s2001 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0471987239</subfield><subfield code="9">0-471-98723-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)247015973</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV013781075</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-1047</subfield><subfield code="a">DE-91G</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG3751</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.7</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 320</subfield><subfield code="0">(DE-625)141644:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 160f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Cossin, Didier</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Advanced credit risk analysis</subfield><subfield code="b">financial approaches and mathematical models to assess, price, and manage credit risk</subfield><subfield code="c">Didier Cossin and Hugues Pirotte</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Chichester [u.a.]</subfield><subfield code="b">Wiley</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIII, 357 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley series in financial engineering</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Unternehmen</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Business enterprises</subfield><subfield code="x">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Credit</subfield><subfield code="x">Management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Pirotte, Hugues</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009420625&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009420625</subfield></datafield></record></collection> |
| id | DE-604.BV013781075 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:51:51Z |
| institution | BVB |
| isbn | 0471987239 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009420625 |
| oclc_num | 247015973 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-1047 DE-91G DE-BY-TUM |
| owner_facet | DE-473 DE-BY-UBG DE-1047 DE-91G DE-BY-TUM |
| physical | XIII, 357 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley series in financial engineering |
| spelling | Cossin, Didier Verfasser aut Advanced credit risk analysis financial approaches and mathematical models to assess, price, and manage credit risk Didier Cossin and Hugues Pirotte Chichester [u.a.] Wiley 2001 XIII, 357 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley series in financial engineering Unternehmen Business enterprises Finance Credit Management Risk management Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s DE-604 Pirotte, Hugues Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009420625&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cossin, Didier Pirotte, Hugues Advanced credit risk analysis financial approaches and mathematical models to assess, price, and manage credit risk Unternehmen Business enterprises Finance Credit Management Risk management Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4114309-7 |
| title | Advanced credit risk analysis financial approaches and mathematical models to assess, price, and manage credit risk |
| title_auth | Advanced credit risk analysis financial approaches and mathematical models to assess, price, and manage credit risk |
| title_exact_search | Advanced credit risk analysis financial approaches and mathematical models to assess, price, and manage credit risk |
| title_full | Advanced credit risk analysis financial approaches and mathematical models to assess, price, and manage credit risk Didier Cossin and Hugues Pirotte |
| title_fullStr | Advanced credit risk analysis financial approaches and mathematical models to assess, price, and manage credit risk Didier Cossin and Hugues Pirotte |
| title_full_unstemmed | Advanced credit risk analysis financial approaches and mathematical models to assess, price, and manage credit risk Didier Cossin and Hugues Pirotte |
| title_short | Advanced credit risk analysis |
| title_sort | advanced credit risk analysis financial approaches and mathematical models to assess price and manage credit risk |
| title_sub | financial approaches and mathematical models to assess, price, and manage credit risk |
| topic | Unternehmen Business enterprises Finance Credit Management Risk management Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Unternehmen Business enterprises Finance Credit Management Risk management Kreditrisiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009420625&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT cossindidier advancedcreditriskanalysisfinancialapproachesandmathematicalmodelstoassesspriceandmanagecreditrisk AT pirottehugues advancedcreditriskanalysisfinancialapproachesandmathematicalmodelstoassesspriceandmanagecreditrisk |