Structured credit portfolio analysis, baskets & CDOs:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton [u.a.]
Chapman & Hall/CRC
2007
|
| Schriftenreihe: | Chapman & Hall/CRC financial mathematics series
|
| Schlagworte: | |
| Online-Zugang: | Publisher description Inhaltsverzeichnis Klappentext |
| Beschreibung: | Includes bibliographical references (p. 339-347) and index |
| Beschreibung: | XVII, 357 S. graph. Darst. 25 cm |
| ISBN: | 9781584886471 1584886471 |
Internformat
MARC
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| 100 | 1 | |a Bluhm, Christian |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Structured credit portfolio analysis, baskets & CDOs |c Christian Bluhm ; Ludger Overbeck |
| 264 | 1 | |a Boca Raton [u.a.] |b Chapman & Hall/CRC |c 2007 | |
| 300 | |a XVII, 357 S. |b graph. Darst. |c 25 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Chapman & Hall/CRC financial mathematics series | |
| 500 | |a Includes bibliographical references (p. 339-347) and index | ||
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| 650 | 4 | |a Gestion de portefeuille | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Investment analysis | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-015729977 | ||
Datensatz im Suchindex
| _version_ | 1804136630353657856 |
|---|---|
| adam_text | Contents
Preface
v
About the Authors
ix
A Brief Guide to the Book
xi
1
From Single Credit Risks to Credit Portfolios
1
1.1
Modeling Single-Name Credit Risk
............ 2
1.1.1
Ratings and Default Probabilities
......... 2
1.1.2
Credit Exposure
.................. 10
1.1.3
Loss Given Default
................. 14
1.2
Modeling Portfolio Credit Risk
.............. 17
1.2.1
Systematic and Idiosyncratic Credit Risk
.... 17
1.2.2
Loss Distribution of Credit Portfolios
...... 20
1.2.3
Practicability Versus Accuracy
.......... 24
2
Default Baskets
27
2.1
Introductory Example: Duo Baskets
........... 27
2.2
First- and Second-to-Default Modeling
......... 34
2.3
Derivation of PD Term Structures
............ 39
2.3.1
A Time-Homogeneous Markov Chain Approach
. 40
2.3.2
A Non-Homogeneous Markov Chain Approach
. 52
2.3.3
Extrapolation Problems for PD Term Structures
57
2.4
Duo Basket Evaluation for
Multi-
Year Horizons
.... 59
2.5
Dependent Default Times
................. 67
2.5.1
Default Times and PD Term Structures
..... 67
2.5.2
Survival Function and Hazard Rate
....... 68
2.5.3
Calculation of Default Time Densities and Haz¬
ard Rate Functions
................. 69
2.5.4
From Latent Variables to Default Times
..... 78
2.5.5
Dependence Modeling via Copula Functions
... 85
2.5.6
Copulas in Practice
................ 93
2.5.7
Visualization of Copula Differences and Mathe¬
matical Description by Dependence Measures
. . 99
2.5.8
Impact of Copula Differences to the Duo Basket
113
2.5.9
A Word of Caution
................. 118
2.6
Nth-to-Default Modeling
................. 120
2.6.1
Nth-to-Default Basket with the Gaussian Copula
121
2.6.2
Nth-to-Default Basket with the Student-t Copula
127
2.6.3
Nth-to-Default Basket with the Clayton Copula
. 127
2.6.4
Nth-to-Default Simulation Study
......... 129
2.6.5
Evaluation of Cash Flows in Default Baskets
. . 136
2.6.6
Scenario Analysis
.................. 140
2.7
Example of a Basket Credit-Linked Note (CLN)
.... 147
Collateralized Debt and Synthetic Obligations
165
3.1
A General Perspective on CDO Modeling
........ 166
3.1.1
A Primer on CDOs
................. 167
3.1.2
Risk Transfer
.................... 172
3.1.3
Spread and Rating Arbitrage
........... 178
3.1.4
Funding Benefits
.................. 184
3.1.5
Regulatory Capital Relief
............. 186
3.2
CDO Modeling Principles
................. 190
3.3
CDO Modeling Approaches
................ 194
3.3.1
Introduction of a Sample CSO
.......... 194
3.3.2
A First-Order Look at CSO Performance
.... 199
3.3.3
Monte Carlo Simulation of the CSO
....... 202
3.3.4
Implementing an Excess Cash Trap
........ 210
3.3.5
Multi-Step and First Passage Time Models
... 213
3.3.6
Analytic, Semi-Analytic, and Comonotonic CDO
Evaluation Approaches
............... 220
3.4
Single-Tranche CDOs (STCDOs)
............. 250
3.4.1
Basics of Single-Tranche CDOs
.......... 250
3.4.2
CDS Indices as Reference Pool for STCDOs
... 253
3.4.3
ITraxx Europe Untranched
............ 259
3.4.4
ITraxx Europe Index Tranches: Pricing, Delta
Hedging, and Implied Correlations
........ 271
3.5
Tranche Risk Measures
.................. 287
3.5.1
Expected Shortfall Contributions
......... 288
3.5.2
Tranche Hit Contributions of Single Names
. . . 292
3.5.3
Applications: Asset Selection, Cost-to-Securitize
294
3.5.4
Remarks on Portfolios of CDOs
.......... 299
4
Some Practical Remarks
303
5
Suggestions for Further Reading
307
6
Appendix
311
6.1
The Gamma Distribution
................. 311
6.2
The Chi-Square Distribution
............... 312
6.3
The Student-t Distribution
................ 312
6.4
A Natural Clayton-Like Copula Example
........ 314
6.5
Entropy-Based Rationale for Gaussian and Exponential
Distributions as Natural Standard Choices
....... 315
6.6
Tail Orientation in Typical Latent Variable Credit Risk
Models
........................... 318
6.7
The Vasicek Limit Distribution
.............. 320
6.8
One-Factor Versus Multi-Factor Models
......... 322
6.9
Description of the Sample Portfolio
........... 329
6.10
CDS Names in CDX.NA.IG and iTraxx Europe
.... 332
References
339
Index
349
Written from the perspective of practitioners who apply mathematical concepts to
structured credit products, Structured Credit Portfolio Analysis, Baskets
&
CDOs
starts with a brief wrap-up on basic concepts of credit risk modeling and then
quickly moves on to more advanced topics such as the modeling and evaluation
of basket products, credit-linked notes referenced to credit portfolios, collateralized
debt obligations, and index tranches. The text is written in a self-contained style
so readers with a basic understanding of probability will have no difficulties following
it. In addition, many examples and calculations have been included to keep the
discussion close to business applications.
|
| adam_txt |
Contents
Preface
v
About the Authors
ix
A Brief Guide to the Book
xi
1
From Single Credit Risks to Credit Portfolios
1
1.1
Modeling Single-Name Credit Risk
. 2
1.1.1
Ratings and Default Probabilities
. 2
1.1.2
Credit Exposure
. 10
1.1.3
Loss Given Default
. 14
1.2
Modeling Portfolio Credit Risk
. 17
1.2.1
Systematic and Idiosyncratic Credit Risk
. 17
1.2.2
Loss Distribution of Credit Portfolios
. 20
1.2.3
Practicability Versus Accuracy
. 24
2
Default Baskets
27
2.1
Introductory Example: Duo Baskets
. 27
2.2
First- and Second-to-Default Modeling
. 34
2.3
Derivation of PD Term Structures
. 39
2.3.1
A Time-Homogeneous Markov Chain Approach
. 40
2.3.2
A Non-Homogeneous Markov Chain Approach
. 52
2.3.3
Extrapolation Problems for PD Term Structures
57
2.4
Duo Basket Evaluation for
Multi-
Year Horizons
. 59
2.5
Dependent Default Times
. 67
2.5.1
Default Times and PD Term Structures
. 67
2.5.2
Survival Function and Hazard Rate
. 68
2.5.3
Calculation of Default Time Densities and Haz¬
ard Rate Functions
. 69
2.5.4
From Latent Variables to Default Times
. 78
2.5.5
Dependence Modeling via Copula Functions
. 85
2.5.6
Copulas in Practice
. 93
2.5.7
Visualization of Copula Differences and Mathe¬
matical Description by Dependence Measures
. . 99
2.5.8
Impact of Copula Differences to the Duo Basket
113
2.5.9
A Word of Caution
. 118
2.6
Nth-to-Default Modeling
. 120
2.6.1
Nth-to-Default Basket with the Gaussian Copula
121
2.6.2
Nth-to-Default Basket with the Student-t Copula
127
2.6.3
Nth-to-Default Basket with the Clayton Copula
. 127
2.6.4
Nth-to-Default Simulation Study
. 129
2.6.5
Evaluation of Cash Flows in Default Baskets
. . 136
2.6.6
Scenario Analysis
. 140
2.7
Example of a Basket Credit-Linked Note (CLN)
. 147
Collateralized Debt and Synthetic Obligations
165
3.1
A General Perspective on CDO Modeling
. 166
3.1.1
A Primer on CDOs
. 167
3.1.2
Risk Transfer
. 172
3.1.3
Spread and Rating Arbitrage
. 178
3.1.4
Funding Benefits
. 184
3.1.5
Regulatory Capital Relief
. 186
3.2
CDO Modeling Principles
. 190
3.3
CDO Modeling Approaches
. 194
3.3.1
Introduction of a Sample CSO
. 194
3.3.2
A First-Order Look at CSO Performance
. 199
3.3.3
Monte Carlo Simulation of the CSO
. 202
3.3.4
Implementing an Excess Cash Trap
. 210
3.3.5
Multi-Step and First Passage Time Models
. 213
3.3.6
Analytic, Semi-Analytic, and Comonotonic CDO
Evaluation Approaches
. 220
3.4
Single-Tranche CDOs (STCDOs)
. 250
3.4.1
Basics of Single-Tranche CDOs
. 250
3.4.2
CDS Indices as Reference Pool for STCDOs
. 253
3.4.3
ITraxx Europe Untranched
. 259
3.4.4
ITraxx Europe Index Tranches: Pricing, Delta
Hedging, and Implied Correlations
. 271
3.5
Tranche Risk Measures
. 287
3.5.1
Expected Shortfall Contributions
. 288
3.5.2
Tranche Hit Contributions of Single Names
. . . 292
3.5.3
Applications: Asset Selection, Cost-to-Securitize
294
3.5.4
Remarks on Portfolios of CDOs
. 299
4
Some Practical Remarks
303
5
Suggestions for Further Reading
307
6
Appendix
311
6.1
The Gamma Distribution
. 311
6.2
The Chi-Square Distribution
. 312
6.3
The Student-t Distribution
. 312
6.4
A Natural Clayton-Like Copula Example
. 314
6.5
Entropy-Based Rationale for Gaussian and Exponential
Distributions as Natural Standard Choices
. 315
6.6
Tail Orientation in Typical Latent Variable Credit Risk
Models
. 318
6.7
The Vasicek Limit Distribution
. 320
6.8
One-Factor Versus Multi-Factor Models
. 322
6.9
Description of the Sample Portfolio
. 329
6.10
CDS Names in CDX.NA.IG and iTraxx Europe
. 332
References
339
Index
349
Written from the perspective of practitioners who apply mathematical concepts to
structured credit products, Structured Credit Portfolio Analysis, Baskets
&
CDOs
starts with a brief wrap-up on basic concepts of credit risk modeling and then
quickly moves on to more advanced topics such as the modeling and evaluation
of basket products, credit-linked notes referenced to credit portfolios, collateralized
debt obligations, and index tranches. The text is written in a self-contained style
so readers with a basic understanding of probability will have no difficulties following
it. In addition, many examples and calculations have been included to keep the
discussion close to business applications. |
| any_adam_object | 1 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV022523266 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:03:59Z |
| indexdate | 2024-07-09T20:59:27Z |
| institution | BVB |
| isbn | 9781584886471 1584886471 |
| language | English |
| lccn | 2006049133 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015729977 |
| oclc_num | 70775750 |
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| physical | XVII, 357 S. graph. Darst. 25 cm |
| publishDate | 2007 |
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| publisher | Chapman & Hall/CRC |
| record_format | marc |
| series2 | Chapman & Hall/CRC financial mathematics series |
| spelling | Bluhm, Christian Verfasser aut Structured credit portfolio analysis, baskets & CDOs Christian Bluhm ; Ludger Overbeck Boca Raton [u.a.] Chapman & Hall/CRC 2007 XVII, 357 S. graph. Darst. 25 cm txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC financial mathematics series Includes bibliographical references (p. 339-347) and index Analyse financière Gestion de portefeuille Portfolio-analyse gtt Wiskundige modellen gtt Portfolio management Investment analysis Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd rswk-swf Strukturiertes Finanzprodukt (DE-588)4656104-3 s Risikoanalyse (DE-588)4137042-9 s DE-604 Overbeck, Ludger Verfasser aut http://www.loc.gov/catdir/enhancements/fy0665/2006049133-d.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=015729977&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=015729977&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Bluhm, Christian Overbeck, Ludger Structured credit portfolio analysis, baskets & CDOs Analyse financière Gestion de portefeuille Portfolio-analyse gtt Wiskundige modellen gtt Portfolio management Investment analysis Risikoanalyse (DE-588)4137042-9 gnd Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd |
| subject_GND | (DE-588)4137042-9 (DE-588)4656104-3 |
| title | Structured credit portfolio analysis, baskets & CDOs |
| title_auth | Structured credit portfolio analysis, baskets & CDOs |
| title_exact_search | Structured credit portfolio analysis, baskets & CDOs |
| title_exact_search_txtP | Structured credit portfolio analysis, baskets & CDOs |
| title_full | Structured credit portfolio analysis, baskets & CDOs Christian Bluhm ; Ludger Overbeck |
| title_fullStr | Structured credit portfolio analysis, baskets & CDOs Christian Bluhm ; Ludger Overbeck |
| title_full_unstemmed | Structured credit portfolio analysis, baskets & CDOs Christian Bluhm ; Ludger Overbeck |
| title_short | Structured credit portfolio analysis, baskets & CDOs |
| title_sort | structured credit portfolio analysis baskets cdos |
| topic | Analyse financière Gestion de portefeuille Portfolio-analyse gtt Wiskundige modellen gtt Portfolio management Investment analysis Risikoanalyse (DE-588)4137042-9 gnd Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd |
| topic_facet | Analyse financière Gestion de portefeuille Portfolio-analyse Wiskundige modellen Portfolio management Investment analysis Risikoanalyse Strukturiertes Finanzprodukt |
| url | http://www.loc.gov/catdir/enhancements/fy0665/2006049133-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015729977&sequence=000003&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=015729977&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT bluhmchristian structuredcreditportfolioanalysisbasketscdos AT overbeckludger structuredcreditportfolioanalysisbasketscdos |