Credit derivatives: application, pricing, and risk management ; an interactive book with pricing models and examples on the internet
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Malden, MA [u.a.]
Blackwell
2005
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XIII, 232 S. graph. Darst. |
| ISBN: | 1405126760 |
Internformat
MARC
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| 245 | 1 | 0 | |a Credit derivatives |b application, pricing, and risk management ; an interactive book with pricing models and examples on the internet |c Gunter Meissner |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Malden, MA [u.a.] |b Blackwell |c 2005 | |
| 300 | |a XIII, 232 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references and index | ||
| 650 | 0 | 7 | |a Kreditderivat |0 (DE-588)7660453-6 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
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|---|---|
| adam_text | ^Gutoter Meissner has pulled off the nearly
Impossible in this very valuable boot on credit risk
and credit derivatives. The book hag something
practical and useful for everyone from serious
students of finance to very senior management
and experienced credit modelers.
DonaldR. vanDeventer, Ph.D., Chairman and Chief
Executive Officer, Kamakura Corporation
CREDIT
DERIVATIVES
GUNTER
The market for credit derivatives
instruments designed to transfer credit risk from
one party to another
recent years. With job opportunities for credit risk
professionals increasing sharply, finance courses
are springing up to meet this demand.
Credit Derivatives is the first student-oriented text
to explain this field to business students with a
background in finance. Real-world examples are
cited throughout, reinforced by end-of-chapter
questions. Students can also take advantage of
links to pricing models on the internet. This
concise book is ideal for instructors seeking to
supplement traditional derivatives course material,
as well as for those looking to enhance their own
understanding of this fast-growing area.
Contents
Preface
xu
Introduction The Basics of Credit Derivatives
What is Credit Risk?
What are Credit Derivatives?
Why Credit Derivatives?
1
1
2
Chapter
Credit Events That Have Led to the Birth of Credit
Derivatives
3
Market Size and Products
6
Credit Derivatives Have Been Around in DiJBFerent
Forms
8
The QBI Contract
9
Creditex and CreditTrade
11
Trac-x and Iboxx
12
Summary of Chapter
12
References and SuggestionsJbr Further Readings
13
Questions and Problems
13
Notes
14
Chapter
Default Swaps
What is a default swap?
Why default swaps?
The terminology
IS
15
IS
16
17
viii Contents
Features
The default swap premium
The reference obligation
What constitutes default?
Cash versus physical settlement
Hedging with default swaps
Does a default swap hedge credit deterioration risk?
Does a default swap hedge against market risk?
Types of default swaps
Key benefits of default swaps
Total Rate of Return Swaps (TRORs)
What is aTROR?
Why TRORs?
Hedging with TRORs
The difference between aTROR and a default swap
The difference between aTROR and an asset swap
The difference between aTROR and an equity swap
The relationship between aTROR and a Repo
Key benefits of TRORs
Credit-spread Products
Credit-spread options
Hedging with credit-spread options
Credit-spread forwards
Credit-spread swaps
When to hedge and with what credit-spread product
Summary of Chapter
References and SuggestionsJbr Further Readings
Questions and Problems
Notes
Chapter
Credit-Linked Notes (CLNs)
42
A More Complex Credit-Linked Note Structure
44
Collateralized Debt Obligations (CDOs)
44
Synthetic CDOs
46
A two-currency, partly cash, partly synthetic CDO with
embedded hedges
46
Motivation for CDOs
48
Market value CDOs and cash flow CDOs
48
Tranched Portfolio Default Swaps (TPDS)
49
Tranched Basket Default Swaps (TBDSs)
49
CDO Squared Structures
SO
Rating
51
Recovery rates
53
Coverage ratios
54
Notching
55
Contents ix
Chapter
Successful Synthetic Structures
55
Investing in Synthetic Structures
51
Summary of Chapter
59
References and Suggestions Jbr Further Readings
60
Questions and Problems
61
Notes
61
jplication of Credit Derivatives
62
Hedging
62
Market risk
63
Credit risk
65
How are market risk and credit risk related?
65
Operational risk
• 66
Which credit derivative hedges which risk?
67
Yield Enhancement
70
Cost Reduction and Convenience
75
Cost reduction
75
Convenience
78
Arbitrage
78
Regulatory Capital Relief
85
The Basel II Accord
86
Standardized versus IRB approach
87
Banking book versus trading book
88
Risk weights for positions hedged by credit derivatives in the
banking book
88
Risk weights for positions hedged by credit derivatives in the
trading book
90
The BIS minimum capital requirement for combined credit,
market, and operational risk
91
Summary of Chapter
91
References and Suggestions Jbr Further Readings
93
Questions and Problems
94
Notes
94
Chapter
Credit Derivatives Pricing Approaches
Simple Approaches
The default swap premium derived from asset swaps
Deriving the default swap premium using arbitrage arguments
I price it where I can hedge it: Pricing default swaps using
hedging arguments
Deriving the default probability and the upfront default swap
premium on a binomial model
Basic properties of the Black-Scholes-Merton model
Valuing credit-spread options on a modified Black-Scholes
equation where the credit-spread is modeled as a single variable
x Contents
Valuing credit-spread options on a modified Black-Scholes
equation as an exchange option
Valuing credit-spread options on a term-structure based model
Structural Models
The original
The Black-Cox
The Kim, Ramaswamy, and Sundaresan
The
The Brip-de Varenne
Critical appraisal of first-time passage models
Reduced Form Models
The
Critical appraisal of the Jarrow-Turnbull 199S model
The Jarrow-Lando-Turnbull
Critical appraisal of the Jarrow-Lando-Turnbull
Other Reduced Form Models
Duffle and Singleton
Das and Sundaram
Hull and White
Hull and White
Kettunen, Ksendzovsky and Meissner
The KKM model in combination with the Libor Market Model
(LMM)
Pricing TRORs
Further research in valuing credit derivatives
Summary of Chapter
References and Suggestions for Further Readings
Questions and Problems
Notes
Chapter
TheVAR Concept
Market VAR for a single linear asset
Market VAR for a portfolio of linear assets
Market VAR for non-linear assets
Market VAR for a portfolio of options
Credit at Risk (CAR)
Determining CAR of investment grade bonds
Accumulated expected credit loss
CAR for a portfolio of assets
Reducing portfolio CAR with credit derivatives
Reducing CAR with default swaps
Reducing CAR with TRORs
Reducing CAR with credit-spread options
The correlation of credit risk management with market risk
management and operational risk management
Contents xi
Recent Advances in Credit Risk Management
Comparison of Five Models
194
Credit risk models
194
Key features of credit risk models
19S
The Models in Detail
198
KMV s Portfolio Manager
198
JP Morgan s CreditMetrics
200
Kamakura s Risk Manager
201
CSFP s Credit Risk+
202
McKinsey s Credit Portfolio View-
203
Results
204
So what s the best model?
204
Summary of Chapter
205
References and Suggestions for Further Readings
206
Questions and Problems
208
Notes
208
Appendix
Table A.1 The cumulative standard normal distribution
Table A.2 The cumulative
Glossary of Notation
Glossary of Terms
Index
|
| any_adam_object | 1 |
| author | Meissner, Gunter 1957- |
| author_GND | (DE-588)140047719 |
| author_facet | Meissner, Gunter 1957- |
| author_role | aut |
| author_sort | Meissner, Gunter 1957- |
| author_variant | g m gm |
| building | Verbundindex |
| bvnumber | BV019747626 |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)633314573 (DE-599)BVBBV019747626 |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV019747626 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:05:13Z |
| institution | BVB |
| isbn | 1405126760 |
| language | English |
| lccn | 2004017623 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013074238 |
| oclc_num | 633314573 |
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| physical | XIII, 232 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Blackwell |
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| spelling | Meissner, Gunter 1957- Verfasser (DE-588)140047719 aut Credit derivatives application, pricing, and risk management ; an interactive book with pricing models and examples on the internet Gunter Meissner 1. publ. Malden, MA [u.a.] Blackwell 2005 XIII, 232 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditderivat (DE-588)7660453-6 s DE-604 Digitalisierung UBPassau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013074238&sequence=000003&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=013074238&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Meissner, Gunter 1957- Credit derivatives application, pricing, and risk management ; an interactive book with pricing models and examples on the internet Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)7660453-6 |
| title | Credit derivatives application, pricing, and risk management ; an interactive book with pricing models and examples on the internet |
| title_auth | Credit derivatives application, pricing, and risk management ; an interactive book with pricing models and examples on the internet |
| title_exact_search | Credit derivatives application, pricing, and risk management ; an interactive book with pricing models and examples on the internet |
| title_full | Credit derivatives application, pricing, and risk management ; an interactive book with pricing models and examples on the internet Gunter Meissner |
| title_fullStr | Credit derivatives application, pricing, and risk management ; an interactive book with pricing models and examples on the internet Gunter Meissner |
| title_full_unstemmed | Credit derivatives application, pricing, and risk management ; an interactive book with pricing models and examples on the internet Gunter Meissner |
| title_short | Credit derivatives |
| title_sort | credit derivatives application pricing and risk management an interactive book with pricing models and examples on the internet |
| title_sub | application, pricing, and risk management ; an interactive book with pricing models and examples on the internet |
| topic | Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Kreditderivat |
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