Credit risk pricing models: theory and practice ; with 65 tables
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| Previous Title: | Schmid, Bernd Pricing credit linked financial instruments |
|---|---|
| Main Author: | |
| Format: | Book |
| Language: | English |
| Published: |
Berlin
Springer
2004
|
| Edition: | 2. ed. |
| Series: | Springer Finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | 1. Aufl. u.d.T.: Schmid, Bernd: Pricing Credit Linked Financial Instruments |
| Physical Description: | XI, 383 S. graph. Darst. |
| ISBN: | 354040466X |
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| 100 | 1 | |a Schmid, Bernd |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Credit risk pricing models |b theory and practice ; with 65 tables |c Bernd Schmid |
| 246 | 1 | 3 | |a Pricing Credit Linked Financial Instruments |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Berlin |b Springer |c 2004 | |
| 300 | |a XI, 383 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Springer Finance | |
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Record in the Search Index
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Contents
1. Introduction 1
1.1 Motivation 1
1.2 Objectives, Structure, and Summary 5
2. Modeling Credit Risk Factors 13
2.1 Introduction 13
2.2 Definition and Elements of Credit Risk 13
2.3 Modeling Transition and Default Probabilities 14
2.3.1 The Historical Method 15
2.3.2 Excursus: Some Fundamental Mathematics 48
2.3.3 The Asset Based Method 50
2.3.4 The Intensity Based Method 58
2.3.5 Adjusted Default Probabilities 86
2.4 Modeling Recovery Rates 87
2.4.1 Definition of Recovery Rates 87
2.4.2 The Impact of Seniority 89
2.4.3 The Impact of the Industry 90
2.4.4 The Impact of the Business Cycle 92
2.4.5 LossCalc™: Moody's Model for Predicting Recovery
Rates 95
3. Pricing Corporate and Sovereign Bonds 99
3.1 Introduction 99
3.1.1 Defaultable Bond Markets 99
3.1.2 Pricing Defaultable Bonds 106
3.2 Asset Based Models 110
3.2.1 Merton's Approach and Extensions 110
3.2.2 First Passage Time Models 114
3.3 Intensity Based Models 121
3.3.1 Short Rate Type Model 121
4. Correlated Defaults 125
4.1 Introduction 125
4.2 Correlated Asset Values 125
X Contents
4.3 Correlated Default Intensities 129
4.4 Correlation and Copula Functions 133
5. Credit Derivatives 137
5.1 Introduction to Credit Derivatives 137
5.2 Technical Definitions 145
5.3 Single Counterparty Credit Derivatives 146
5.3.1 Credit Options 146
5.3.2 Credit Spread Products 148
5.3.3 Credit Default Products 151
5.3.4 Par and Market Asset Swaps 153
5.3.5 Other Credit Derivatives 156
5.4 Multi Counterparty Credit Derivatives 159
5.4.1 Index Swaps 159
5.4.2 Basket Default Swaps 160
5.4.3 Collateralized Debt Obligations (CDOs) 161
6. A Three Factor Defaultable Term Structure Model 179
6.1 Introduction 179
6.1.1 A New Model For Pricing Defaultable Bonds 179
6.2 The Three Factor Model 184
6.2.1 The Basic Setup 184
6.2.2 Valuation Formulas For Contingent Claims 189
6.3 The Pricing of Defaultable Fixed and Floating Rate Debt . 197
6.3.1 Introduction 197
6.3.2 Defaultable Discount Bonds 197
6.3.3 Defaultable (Non Callable) Fixed Rate Debt 209
6.3.4 Defaultable Callable Fixed Rate Debt 212
6.3.5 Building a Theoretical Framework for Pricing One
Party Defaultable Interest Rate Derivatives 213
6.3.6 Defaultable Floating Rate Debt 218
6.3.7 Defaultable Interest Rate Swaps 221
6.4 The Pricing of Credit Derivatives 228
6.4.1 Some Pricing Issues 228
6.4.2 Credit Options 232
6.4.3 Credit Spread Options 239
6.4.4 Default Swaps and Default Options 242
6.5 A Discrete Time Version of the Three Factor Model 250
6.5.1 Introduction 250
6.5.2 Constructing the Lattice 250
6.5.3 General Interest Rate Dynamics 255
6.6 Fitting the Model to Market Data 255
6.6.1 Introduction 255
6.6.2 Method of Least Squared Minimization 256
6.6.3 The Kalman Filtering Methodology 259
Contents XI
6.7 Portfolio Optimization under Credit Risk 306
6.7.1 Introduction 306
6.7.2 Optimization 309
6.7.3 Case Study: Optimizing a Sovereign Bond Portfolio . . . 315
A. Some Definitions of S P 327
A.I Definition of Credit Ratings 327
A.1.1 Issue Credit Ratings 327
A.I.2 Issuer Credit Ratings 327
A.2 Definition of Default 331
A.2.1 S P's definition of corporate default 331
A.2.2 S P's definition of sovereign default 331
B. Technical Proofs 333
B.I Proof of Lemma 6.2.1 333
B.2 Proof of Theorem 6.3.1 for 0 = \ 338
B.3 Proofs of Lemma 6.3.1 and Lemma 6.4.2 338
B.4 Proof of Lemma 6.4.3 343
B.5 Tools for Pricing Non Defaultable Contingent Claims 344
C. Pricing of Credit Derivatives: Extensions 349
List of Figures 351
List of Tables 357
References 363
Index 379 |
| any_adam_object | 1 |
| author | Schmid, Bernd |
| author_facet | Schmid, Bernd |
| author_role | aut |
| author_sort | Schmid, Bernd |
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| building | Verbundindex |
| bvnumber | BV017491936 |
| classification_rvk | QK 320 SK 980 |
| classification_tum | WIR 170f WIR 160f |
| ctrlnum | (OCoLC)314407248 (DE-599)BVBBV017491936 |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| institution | BVB |
| isbn | 354040466X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010537705 |
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| physical | XI, 383 S. graph. Darst. |
| publishDate | 2004 |
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| spelling | Schmid, Bernd Verfasser aut Credit risk pricing models theory and practice ; with 65 tables Bernd Schmid Pricing Credit Linked Financial Instruments 2. ed. Berlin Springer 2004 XI, 383 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer Finance 1. Aufl. u.d.T.: Schmid, Bernd: Pricing Credit Linked Financial Instruments Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Wertpapierportefeuille (DE-588)4276973-5 gnd rswk-swf Wertpapierportefeuille (DE-588)4276973-5 s Derivat Wertpapier (DE-588)4381572-8 s Kreditrisiko (DE-588)4114309-7 s Messung (DE-588)4038852-9 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Früher u.d.T. Schmid, Bernd Pricing credit linked financial instruments (DE-604)BV014095940 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010537705&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schmid, Bernd Credit risk pricing models theory and practice ; with 65 tables Derivat Wertpapier (DE-588)4381572-8 gnd Messung (DE-588)4038852-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Wertpapierportefeuille (DE-588)4276973-5 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4038852-9 (DE-588)4114528-8 (DE-588)4114309-7 (DE-588)4276973-5 |
| title | Credit risk pricing models theory and practice ; with 65 tables |
| title_alt | Pricing Credit Linked Financial Instruments |
| title_auth | Credit risk pricing models theory and practice ; with 65 tables |
| title_exact_search | Credit risk pricing models theory and practice ; with 65 tables |
| title_full | Credit risk pricing models theory and practice ; with 65 tables Bernd Schmid |
| title_fullStr | Credit risk pricing models theory and practice ; with 65 tables Bernd Schmid |
| title_full_unstemmed | Credit risk pricing models theory and practice ; with 65 tables Bernd Schmid |
| title_old | Schmid, Bernd Pricing credit linked financial instruments |
| title_short | Credit risk pricing models |
| title_sort | credit risk pricing models theory and practice with 65 tables |
| title_sub | theory and practice ; with 65 tables |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd Messung (DE-588)4038852-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Wertpapierportefeuille (DE-588)4276973-5 gnd |
| topic_facet | Derivat Wertpapier Messung Mathematisches Modell Kreditrisiko Wertpapierportefeuille |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010537705&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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