Credit risk: pricing, measurement, and management
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton [u.a.]
Princeton Univ. Press
2003
|
| Series: | Princeton series in finance
|
| Subjects: | |
| Online Access: | Sample text Table of contents Publisher description Inhaltsverzeichnis Klappentext |
| Physical Description: | XVI, 396 S. graph. Darst. |
| ISBN: | 0691090467 |
Staff View
MARC
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| adam_text | Contents
Preface
xi
Acknowledgments
xiii
1
Introduction
1
1.1.
A Brief Zoology of Risks
3
1.2.
Organization of Topics
7
2
Economic Principles of Risk Management
12
2.1.
What Types of Risk Count Most?
13
2.2.
Economics of Market Risk
15
2.3.
Economic Principles of Credit Risk
26
2.4.
Risk Measurement
29
2.5.
Measuring Credit Risk
38
3
Default Arrival: Historical
Patterns and Statistical Models
43
3.1.
Introduction
43
3.2.
Structural Models of Default Probability
53
3.3.
From Theory to Practice: Using Distance
to Default to Predict Default
57
3.4.
Default Intensity
59
3.5.
Examples of Intensity Models
64
3.6.
Default-Time Simulation
72
3.7.
Statistical Prediction of Bankruptcy
74
4
Ratings Transitions: Historical Patterns and Statistical Models
85
4.1.
Average Transition Frequencies
85
4.2.
Ratings Risk and the Business Cycle
87
4.3. Ratings Transitions
and Aging
91
4.4.
Ordered
Probits
of Ratings
92
4.5.
Ratings as Markov Chains
94
Conceptual Approaches to
Valuation of Default Risk
100
5.1.
Introduction
100
5.2.
Risk-Neutral versus Actual Probabilities
102
5.3.
Reduced-Form Pricing
106
5.4.
Structural Models
112
5.5.
Comparisons of Model-Implied Spreads
114
5.6.
From Actual to Risk-Neutral Intensities
118
Pricing Corporate and Sovereign Bonds
122
6.1.
Uncertain Recovery
122
6.2.
Reduced-Form Pricing with Recovery
125
6.3.
Ratings-Based Models of Credit Spreads
137
6.4.
Pricing Sovereign Bonds
146
Empirical Models of Defaultable Bond Spreads
156
7.1.
Credit Spreads and Economic Activity
156
7.2.
Reference Curves for Spreads
162
7.3.
Parametric Reduced-Form Models
166
7.4.
Estimating Structural Models
169
7.5.
Parametric Models of Sovereign Spreads
171
Credit Swaps
173
8.1.
Other Credit Derivatives
173
8.2.
The Basic Credit Swap
175
8.3.
Simple Credit-Swap Spreads
178
8.4.
Model-Based CDS Rates
185
8.5.
The Role of Asset Swaps
190
Optional Credit Pricing
194
9.1.
Spread Options
194
9.2.
Callable and Convertible Corporate Debt
201
9.3.
A Simple Convertible Bond Pricing Model
215
Correlated Defaults
229
10.1.
Alternative Approaches to Correlation
229
10.2.
CreditMetrics Correlated Defaults
230
10.3.
Correlated Default Intensities
233
10.4.
Copula-Based Correlation Modeling
237
10.5.
Empirical Methods
242
10.6.
Default-Time Simulation Algorithms
243
10.7.
Joint Default Events
247
Collateralized Debt Obligations
250
11.1.
Introduction
250
11.2.
Some Economics of CDOs
252
11.3.
Default-Risk Model
255
11.4.
Pricing Examples
260
11.5.
Default Loss Analytics
271
11.6.
Computation of Diversity Scores
280
Over-the-Counter Default Risk and Valuation
285
12.1.
Exposure
285
12.2.
OTC Credit Risk Value Adjustments
295
12.3.
Additional Swap Credit Adjustments
304
12.4.
Credit Spreads on Currency Swaps
311
Integrated Market and Credit Risk Measurement
314
13.1.
Market Risk Factors
315
13.2.
Delta-Gamma for Derivatives with Jumps
326
13.3.
Integration of Market and Credit Risk
332
13.4.
Examples of VaR with Credit Risk
334
Appendix A Introduction to
Affine
Processes
346
Appendix
В
Econometrics of
Affine
Term-Structure Models
362
Appendix
С
HJM Spread Curve Models
367
References
371
Index
385
In this book, two of America s leading economists provide the
first integrated treatment of the conceptual, practical, and
empirical foundations for credit risk pricing and risk measure¬
ment. Masterfully applying theory to practice, Darrell Duffle and
Kenneth Singleton model credit risk for the purpose of measuring
portfolio risk and pricing defaultable bonds, credit derivatives, and
other securities exposed to credit risk. The methodological rigor,
scope, and sophistication of their state-of-the-art account is unpar¬
alleled, and its singularly in-depth treatment of pricing and credit
derivatives further illuminates a problem that has drawn much
attention in an era when financial institutions the world over are
revising their credit management strategies.
Duffie and Singleton offer critical assessments of alternative
approaches to credit-risk modeling, while highlighting the strengths
and weaknesses of current practice. Their approach blends in-depth
discussions of the conceptual foundations of modeling with extensive
analyses of the empirical properties of such credit-related time series
as default probabilities, recoveries, ratings transitions, and yield
spreads. Both the structural and reduced-form approaches to
pricing defaultable securities are presented, and their comparative
fits to historical data are assessed. The authors also provide a com¬
prehensive treatment of the pricing of credit derivatives, including
credit swaps, collateralized debt obligations, credit guarantees, lines
of credit, and spread options. Not least, they describe certain
enhancements to current pricing and management practices that,
they argue, will better position financial institutions for future changes
in the financial markets.
|
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| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV014639950 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:04:37Z |
| institution | BVB |
| isbn | 0691090467 |
| language | English |
| lccn | 2002030256 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009942589 |
| oclc_num | 50280141 |
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| spelling | Duffie, Darrell 1954- Verfasser (DE-588)128596120 aut Credit risk pricing, measurement, and management Darrell Duffie and Kenneth J. Singleton Princeton [u.a.] Princeton Univ. Press 2003 XVI, 396 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Princeton series in finance Crédit - Gestion Gestion du risque Krediet gtt Risk management gtt Credit -- Management Risk management Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kreditgeschäft (DE-588)4134687-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s DE-604 Kreditgeschäft (DE-588)4134687-7 s Mathematisches Modell (DE-588)4114528-8 s DE-188 Singleton, Kenneth J. 1951- Verfasser (DE-588)135847680 aut http://www.loc.gov/catdir/samples/prin031/2002030256.html Sample text http://www.loc.gov/catdir/toc/prin032/2002030256.html Table of contents http://www.loc.gov/catdir/description/prin031/2002030256.html Publisher description Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009942589&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009942589&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Duffie, Darrell 1954- Singleton, Kenneth J. 1951- Credit risk pricing, measurement, and management Crédit - Gestion Gestion du risque Krediet gtt Risk management gtt Credit -- Management Risk management Mathematisches Modell (DE-588)4114528-8 gnd Kreditgeschäft (DE-588)4134687-7 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4134687-7 (DE-588)4121590-4 (DE-588)4114309-7 |
| title | Credit risk pricing, measurement, and management |
| title_auth | Credit risk pricing, measurement, and management |
| title_exact_search | Credit risk pricing, measurement, and management |
| title_full | Credit risk pricing, measurement, and management Darrell Duffie and Kenneth J. Singleton |
| title_fullStr | Credit risk pricing, measurement, and management Darrell Duffie and Kenneth J. Singleton |
| title_full_unstemmed | Credit risk pricing, measurement, and management Darrell Duffie and Kenneth J. Singleton |
| title_short | Credit risk |
| title_sort | credit risk pricing measurement and management |
| title_sub | pricing, measurement, and management |
| topic | Crédit - Gestion Gestion du risque Krediet gtt Risk management gtt Credit -- Management Risk management Mathematisches Modell (DE-588)4114528-8 gnd Kreditgeschäft (DE-588)4134687-7 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Crédit - Gestion Gestion du risque Krediet Risk management Credit -- Management Mathematisches Modell Kreditgeschäft Risikomanagement Kreditrisiko |
| url | http://www.loc.gov/catdir/samples/prin031/2002030256.html http://www.loc.gov/catdir/toc/prin032/2002030256.html http://www.loc.gov/catdir/description/prin031/2002030256.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009942589&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009942589&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT duffiedarrell creditriskpricingmeasurementandmanagement AT singletonkennethj creditriskpricingmeasurementandmanagement |