Credit risk modeling: theory and applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2004
|
| Schriftenreihe: | Princeton series in finance
|
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis Klappentext |
| Beschreibung: | XVI, 310 S. graph. Darst. |
| ISBN: | 9780691089294 |
Internformat
MARC
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| 100 | 1 | |a Lando, David |d 1964- |e Verfasser |0 (DE-588)132012650 |4 aut | |
| 245 | 1 | 0 | |a Credit risk modeling |b theory and applications |c David Lando |
| 264 | 1 | |a Princeton, NJ [u.a.] |b Princeton Univ. Press |c 2004 | |
| 300 | |a XVI, 310 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Princeton series in finance | |
| 650 | 4 | |a Crédit - Gestion | |
| 650 | 4 | |a Gestion du risque | |
| 650 | 4 | |a Institutions financières - Gestion | |
| 650 | 7 | |a Kredietwaardigheid |2 gtt | |
| 650 | 7 | |a Risk management |2 gtt | |
| 650 | 7 | |a Stochastische processen |2 gtt | |
| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 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 |
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| 856 | 4 | |u http://www.loc.gov/catdir/toc/prin051/2003068990.html |3 Table of contents | |
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Datensatz im Suchindex
| _version_ | 1805071508367736832 |
|---|---|
| adam_text |
Contents
Preface
. xi
1 An
Overview I
2
Corporate Liabilities as Contingent Claims
7
2.1
Introduction
7
2.2
The Merton Model
8
2.3
The Merton Model with Stochastic Interest Rates
17
2.4
The Merton Model with Jumps in Asset Value
20
2.5
Discrete Coupons in a Merton Model
27
2.6
Default Barriers: the Black-Cox Setup
29
2.7
Continuous Coupons and Perpetual Debt
34
2.8
Stochastic Interest Rates and Jumps with Barriers
36
2.9
A Numerical Scheme when Transition Densities are Known
40
2.10
Towards Dynamic Capital Structure: Stationary Leverage Ratios
41
2.11
Estimating Asset Value and Volatility
42
2.12
On the KMV Approach
48
2.13
The Trouble with the Credit Curve
51
2.14
Bibliographical Notes
54
3
Endogenous Default Boundaries and Optimal Capital Structure
59
3.1
Leland's Model
60
3.2
A Model with a Maturity Structure
64
3.3
EBIT-Based Models
66
3.4
A Model with Strategic Debt Service
70
3.5
Bibliographical Notes
72
4
Statistical Techniques for Analyzing Defaults
75
4.1
Credit Scoring Using Logistic Regression
75
4.2
Credit Scoring Using Discriminant Analysis
77
4.3
Hazard Regressions: Discrete Case
81
4.4
Continuous-Time Survival Analysis Methods
83
4.5
Markov Chains and Transition-Probability Estimation
87
4.6
The Difference between Discrete and Continuous
93
4.7
A Word of Warning on the Markov Assumption
97
viu
Contents
4.8
Ordered
Probits
and Ratings
102
4.9
Cumulative Accuracy Profiles
104
4.10
Bibliographical Notes
106
5
Intensity Modeling
109
5.1
What Is an Intensity Model?
111
5.2
The Cox Process Construction of a Single Jump Time
112
5.3
A Few Useful Technical Results
114
5.4
The Martingale Property
115
5.5
Extending the Scope of the Cox Specification
116
5.6
Recovery of Market Value
117
5.7
Notes on Recovery Assumptions
120
5.8
Correlation in
Affine
Specifications
122
5.9
Interacting Intensities
126
5.10
The Role of Incomplete Information
128
5.11
Risk Premiums in Intensity-Based Models
133
5.12
The Estimation of Intensity Models
139
5.13
The Trouble with the Term Structure of Credit Spreads
142
5.14
Bibliographical Notes
143
6
Rating-Based Term-Structure Models
145
6.1
Introduction
145
6.2
A Markovian Model for Rating-Based Term Structures
145
6.3
An Example of Calibration
152
6.4
Class-Dependent Recovery
155
6.5
Fractional Recovery of Market Value in the Markov Model
157
6.6
A Generalized Markovian Model
159
6.7
A System of PDEs for the General Specification
162
6.8
Using Thresholds Instead of a Markov Chain
164
6.9
The Trouble with Pricing Based on Ratings
166
6.10
Bibliographical Notes
166
7
Credit Risk and Interest-Rate Swaps
169
7.1
LIBOR
170
7.2
A Useful Starting Point
170
7.3
Fixed-Floating Spreads and the "Comparative-Advantage Story"
171
7.4
Why
LIBOR
and Counterparty Credit Risk Complicate Things
176
7.5
Valuation with Counterparty Risk
178
7.6
Netting and the Nonlinearity of Actual Cash Flows: a Simple Example
182
7.7
Back to Linearity: Using Different Discount Factors
183
7.8
The Swap Spread versus the Corporate-Bond Spread
189
7.9
On the Swap Rate,
Repo
Rates, and the Riskless Rate
192
7.10
Bibliographical Notes
194
8
Credit Default Swaps, CDOs, and Related Products
197
8.1
Some Basic Terminology
197
8.2
Decomposing the Credit Default Swap
201
8.3
Asset Swaps
204
8.4
Pricing the Default Swap
206
Contents ix
8.5
Some Differences between CDS Spreads and Bond Spreads
208
8.6
A First-to-Default Calculation
209
8.7
A Decomposition of m-of-n-to-Default Swaps
211
8.8
Bibliographical Notes
212
9
Modeling Dependent Defaults
213
9.1
Some Preliminary Remarks on Correlation and Dependence
214
9.2
Homogeneous Loan Portfolios
216
9.3
Asset-Value Correlation and Intensity Correlation
233
9.4
The Copula Approach
242
9.5
Network Dependence
245
9.6
Bibliographical Notes
249
Appendix A Discrete-Time Implementation
251
A.
1
The Discrete-Time, Finite-State-Space Model
251
A.2 Equivalent Martingale Measures
252
A.3 The Binomial Implementation of Option-Based Models
255
A.4 Term-Structure Modeling Using Trees
256
A.5 Bibliographical Notes
257
Appendix
В
Some Results Related to Brownian Motion
259
B.I Boundary Hitting Times
259
B.2 Valuing a Boundary Payment when the Contract Has Finite Maturity
260
B.3 Present Values Associated with Brownian Motion
261
B.4 Bibliographical Notes
265
Appendix
С
Markov Chains
267
C.I Discrete-Time Markov Chains
267
C.2 Continuous-Time Markov Chains
268
C.3 Bibliographical Notes
273
Appendix
D
Stochastic Calculus for Jump-Diffusions
275
D.I The
Poisson
Process
275
D.2 A Fundamental Martingale
276
D.3 The Stochastic Integral and
Itô's
Formula for a Jump Process
276
D.4 The General
Ito
Formula for Semimartingales
278
D.5 The
Semimartingale
Exponential
278
D.6 Special Semimartingales
279
D.7 Local Characteristics and Equivalent Martingale Measures
282
D.8 Asset Pricing and Risk Premiums for Special Semimartingales
286
D.9 Two Examples
288
D.10 Bibliographical Notes
290
Appendix
E
A Term-Structure Workhorse
291
References
297
Index
307
тг
Credit
MODELING
lüwdíí
Credit
risk is today one of the most
intensely studied topics in quantitative
finance. This book provides an introduction
and overview for readers who seek an up-
to-date reference to the central problems of
the field and to the tools currently used to
analyze them. The book is aimed at
researchers and students in finance, at
quantitative analysts in banks and other
financial institutions, and at regulators Inter¬
ested in the modeling aspects of credit risk.
David Lando
considers the two broad
approaches to credit risk analysis; those
based on
classica!
option pricing models on
the one hand, and on a direct modeling of
the default probability of issuers on the
other. He offers insights that can be drawn
from each approach and demonstrates that
the distinction between the two approach¬
es «s not at all ctear-cut. The book strikes a
fruitful balance between quickly presenting
the basic ideas of the models and offering
enough detail so readers can derive and
implement the models themseives. The
discussion of the models and their limita¬
tions and five technical appendixes help
readers to expand and generalize the models
themselves or to understand existing gener¬
alizations. The book emphasizes models for
pricing as well as statistical techniques for
estimating their parameters. Applications
include
rating-baseá modeimg,
modeling of
depende«
defaults, swap- and corporate-
yield
curve dynamics,
credit default swaps»
and coHateraiized debt obligations.
David Lando
is Professor of Finance at the
Copenhagen Business School. He is an
associate editor of three finance journals
and a member of Moody's Academic
Advisory and Research Committee.
Jacket design by
Marcella
Engel
fìoberts
Jacket
îiîustratïon
by Kate Prentice
To reeeive emails about new books
in your area of interest»
sign up at pup.prineeton.edu |
| any_adam_object | 1 |
| author | Lando, David 1964- |
| author_GND | (DE-588)132012650 |
| author_facet | Lando, David 1964- |
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| ctrlnum | (OCoLC)265481907 (DE-599)BVBBV019365177 |
| dewey-full | 332.7/01/1 332.7/01/122 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.7/01/1 332.7/01/1 22 |
| dewey-sort | 3332.7 11 11 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV019365177 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T04:38:56Z |
| institution | BVB |
| isbn | 9780691089294 |
| language | English |
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| spelling | Lando, David 1964- Verfasser (DE-588)132012650 aut Credit risk modeling theory and applications David Lando Princeton, NJ [u.a.] Princeton Univ. Press 2004 XVI, 310 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Princeton series in finance Crédit - Gestion Gestion du risque Institutions financières - Gestion Kredietwaardigheid gtt Risk management gtt Stochastische processen gtt Wiskundige modellen gtt Credit Management Risk management Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s DE-604 http://www.loc.gov/catdir/description/prin051/2003068990.html Publisher description http://www.loc.gov/catdir/toc/prin051/2003068990.html Table of contents Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012828816&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012828816&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Lando, David 1964- Credit risk modeling theory and applications Crédit - Gestion Gestion du risque Institutions financières - Gestion Kredietwaardigheid gtt Risk management gtt Stochastische processen gtt Wiskundige modellen gtt Credit Management Risk management Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4114309-7 |
| title | Credit risk modeling theory and applications |
| title_auth | Credit risk modeling theory and applications |
| title_exact_search | Credit risk modeling theory and applications |
| title_full | Credit risk modeling theory and applications David Lando |
| title_fullStr | Credit risk modeling theory and applications David Lando |
| title_full_unstemmed | Credit risk modeling theory and applications David Lando |
| title_short | Credit risk modeling |
| title_sort | credit risk modeling theory and applications |
| title_sub | theory and applications |
| topic | Crédit - Gestion Gestion du risque Institutions financières - Gestion Kredietwaardigheid gtt Risk management gtt Stochastische processen gtt Wiskundige modellen gtt Credit Management Risk management Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Crédit - Gestion Gestion du risque Institutions financières - Gestion Kredietwaardigheid Risk management Stochastische processen Wiskundige modellen Credit Management Kreditrisiko |
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