The credit market handbook: advanced modeling issues
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2006
|
| Series: | Wiley finance series
|
| Subjects: | |
| Online Access: | Publisher description Contributor biographical information Inhaltsverzeichnis |
| Item Description: | Literaturangaben |
| Physical Description: | XVII, 233 S. graph. Darst. |
| ISBN: | 0471778621 9780471778622 |
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Record in the Search Index
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|---|---|
| adam_text | Contents
Introduction ix
Executive Chapter Summaries xi
CHAPTBf 1
Estimating Default Probabilities Implicit in Equity Prices l
Tibor Janosi, Robert Jarrow, and Yildiray Yildirim
Introduction 1
The Model Structure 3
Description of the Data 7
Estimation of the State Variable Process Parameters 9
Equity Return Estimation 12
Analysis of the Time Series Properties of the Parameters 22
Analysis of Fama-French Four-Factor Model with
No Default 26
Analysis of a Bubble Component (P/E ratio) in
Stock Prices 26
Analysis of the Default Intensity 27
Relative Performance of the Equity Return Models 29
Comparison of Default Intensities Based on Debt
versus Equity 30
Conclusions 32
Notes ? ^
References ? ?
Appendix 35
CHAPTER 2
Predictions of Default Probabilities in Structural Models of Debt 3 9
Hayne E. I.eland
Introduction 40
Recent Empirical Studies 42
Structural Models and Default Risk 43
y| OUIMItlMIO
The Default Boundary in Exogenous and Endogenous Cases 45
The Default Probability with Constant Default Barrier 46
Calibration of Models: The Base Case 46
Matching Empirical Default Frequencies with the L-T Model 47
Matching Empirical DPS with the L-S Model 50
The Moody s-KMV Approach 54
Some Preliminary Thoughts on the Relationship Between the
KMV Approach and L-S/L-T 55
Conclusions 57
Acknowledgments 57
Postscript 58
Appendix 58
Notes 58
References 62
CHAPTER 3
Survey of the Recent Literature: Recovery Risk 65
Sanjiv R. Das
Introduction 65
Empirical Attributes 67
Recovery Conventions 69
Recovery in Structural Models 70
Recovery in Reduced-Form Models 71
Measure Transformations 73
Summary and Speculation 75
References 75
CHAPTER 4
Non-Parametric Analysis of Rating Transition and Default Data 77
Peter Fledelius, David Lando, and Jens Perch Nielsen
Introduction 77
Data and Outline of Methodology 82
Estimating Transition Intensities in Two Dimensions 83
One-Dimensional Hazards and Marginal Integration 88
Confidence Intervals 90
Transitions: Dependence on Previous Move and Duration 9 1
Multiplicative Intensities 94
Concluding Remarks 98
Acknowledgments 98
uontents VII
Notes 99
References 99
CHAPTER 5
Valuing High-Yield Bonds: A Business Modeling Approach 1 o 1
Thomas S. Y. Ho and Sang Bin Lee
Introduction 102
Specification of the Model 104
A Numerical Illustration 108
Empirical Evidence 1 13
Implications of the Model 115
Conclusions 1 15
Acknowledgments 116
Appendix 1 1 6
Notes I 17
References I 17
CHAPTER 6
Structural versus Reduced-Form Models: A New Information-Based
Perspective 11 s
Robert A. Jarrow and Philip Protter
Introduction 1 I S
The Setup 120
Structural Models 120
Reduced-Form Models 123
A Mathematical Overview 125
Observable Information Sets I2S
Conclusion 129
Acknowledgment 129
Notes 129
References 30
CHAPTER 7
Reduced-Form versus Structural Models of Credit Risk: A Case Study
of Three Models
N avneet Arora, Jeffrey R. Bolin, and Fanlm Zhu
Introduction ^ ^
Merton, Vasicek-kealhofer. and Hull-White Models I i~
Data and Empirical Methodology 141
Results 1^4
OUIM I tIM I
Conclusion 160
Acknowledgments 161
Notes 161
References 162
CHAPTH8
Implications ol Correlated Default for Portfolio Allocation to
Corporate Bonds 165
Mark B. Wise and Vineer Bhansali
Introduction 165
A Model for Default 168
The Portfolio Problem 171
Sample Portfolios with Zero Recovery Fractions 176
Sample Portfolios with Nonzero Recovery Fractions 181
Concluding Remarks 182
Acknowledgments 184
Notes 184
References 184
CHAPTB9
Correlated Default Processes: A Criterion-Based Copula Approach 186
Sanjiv R. Das and Gary Geng
Introduction 187
Description of the Data 190
Copulas and Features of the Data 191
Determining the Joint Default Process 196
Simulating Correlated Defaults and Model Comparisons 204
Discussion 210
Acknowledgments 212
Appendix: The Skewed Double Exponential Distribution 212
Notes 215
References 216
Index 219
|
| adam_txt |
Contents
Introduction ix
Executive Chapter Summaries xi
CHAPTBf 1
Estimating Default Probabilities Implicit in Equity Prices l
Tibor Janosi, Robert Jarrow, and Yildiray Yildirim
Introduction 1
The Model Structure 3
Description of the Data 7
Estimation of the State Variable Process Parameters 9
Equity Return Estimation 12
Analysis of the Time Series Properties of the Parameters 22
Analysis of Fama-French Four-Factor Model with
No Default 26
Analysis of a Bubble Component (P/E ratio) in
Stock Prices 26
Analysis of the Default Intensity 27
Relative Performance of the Equity Return Models 29
Comparison of Default Intensities Based on Debt
versus Equity 30
Conclusions 32
Notes ? ^
References ? ?
Appendix 35
CHAPTER 2
Predictions of Default Probabilities in Structural Models of Debt 3 9
Hayne E. I.eland
Introduction 40
Recent Empirical Studies 42
Structural Models and Default Risk 43
y| OUIMItlMIO
The Default Boundary in Exogenous and Endogenous Cases 45
The Default Probability with Constant Default Barrier 46
Calibration of Models: The Base Case 46
Matching Empirical Default Frequencies with the L-T Model 47
Matching Empirical DPS with the L-S Model 50
The Moody's-KMV Approach 54
Some Preliminary Thoughts on the Relationship Between the
KMV Approach and L-S/L-T 55
Conclusions 57
Acknowledgments 57
Postscript 58
Appendix 58
Notes 58
References 62
CHAPTER 3
Survey of the Recent Literature: Recovery Risk 65
Sanjiv R. Das
Introduction 65
Empirical Attributes 67
Recovery Conventions 69
Recovery in Structural Models 70
Recovery in Reduced-Form Models 71
Measure Transformations 73
Summary and Speculation 75
References 75
CHAPTER 4
Non-Parametric Analysis of Rating Transition and Default Data 77
Peter Fledelius, David Lando, and Jens Perch Nielsen
Introduction 77
Data and Outline of Methodology 82
Estimating Transition Intensities in Two Dimensions 83
One-Dimensional Hazards and Marginal Integration 88
Confidence Intervals 90
Transitions: Dependence on Previous Move and Duration 9 1
Multiplicative Intensities 94
Concluding Remarks 98
Acknowledgments 98
uontents VII
Notes 99
References 99
CHAPTER 5
Valuing High-Yield Bonds: A Business Modeling Approach 1 o 1
Thomas S. Y. Ho and Sang Bin Lee
Introduction 102
Specification of the Model 104
A Numerical Illustration 108
Empirical Evidence 1 13
Implications of the Model 115
Conclusions 1 15
Acknowledgments 116
Appendix 1 1 6
Notes I 17
References I 17
CHAPTER 6
Structural versus Reduced-Form Models: A New Information-Based
Perspective 11 s
Robert A. Jarrow and Philip Protter
Introduction 1 I S
The Setup 120
Structural Models 120
Reduced-Form Models 123
A Mathematical Overview 125
Observable Information Sets I2S
Conclusion 129
Acknowledgment 129
Notes 129
References '30
CHAPTER 7
Reduced-Form versus Structural Models of Credit Risk: A Case Study
of Three Models
N'avneet Arora, Jeffrey R. Bolin, and Fanlm Zhu
Introduction ' ^ ^
Merton, Vasicek-kealhofer. and Hull-White Models I i~
Data and Empirical Methodology 141
Results 1^4
OUIM I tIM I
Conclusion 160
Acknowledgments 161
Notes 161
References 162
CHAPTH8
Implications ol Correlated Default for Portfolio Allocation to
Corporate Bonds 165
Mark B. Wise and Vineer Bhansali
Introduction 165
A Model for Default 168
The Portfolio Problem 171
Sample Portfolios with Zero Recovery Fractions 176
Sample Portfolios with Nonzero Recovery Fractions 181
Concluding Remarks 182
Acknowledgments 184
Notes 184
References 184
CHAPTB9
Correlated Default Processes: A Criterion-Based Copula Approach 186
Sanjiv R. Das and Gary Geng
Introduction 187
Description of the Data 190
Copulas and Features of the Data 191
Determining the Joint Default Process 196
Simulating Correlated Defaults and Model Comparisons 204
Discussion 210
Acknowledgments 212
Appendix: The Skewed Double Exponential Distribution 212
Notes 215
References 216
Index 219 |
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| spelling | The credit market handbook advanced modeling issues H. Gifford Fong, ed. Hoboken, NJ Wiley 2006 XVII, 233 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Literaturangaben Krediet gtt Wiskundige modellen gtt Mathematisches Modell Credit Mathematical models Risk management Mathematical models Default (Finance) Mathematical models Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Kreditrisiko (DE-588)4114309-7 s Mathematisches Modell (DE-588)4114528-8 s b DE-604 Fong, H. Gifford Sonstige oth http://www.loc.gov/catdir/enhancements/fy0623/2005025156-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy0740/2005025156-b.html Contributor biographical information HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016563364&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The credit market handbook advanced modeling issues Krediet gtt Wiskundige modellen gtt Mathematisches Modell Credit Mathematical models Risk management Mathematical models Default (Finance) Mathematical models Kreditrisiko (DE-588)4114309-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4114528-8 (DE-588)4073788-3 |
| title | The credit market handbook advanced modeling issues |
| title_auth | The credit market handbook advanced modeling issues |
| title_exact_search | The credit market handbook advanced modeling issues |
| title_exact_search_txtP | The credit market handbook advanced modeling issues |
| title_full | The credit market handbook advanced modeling issues H. Gifford Fong, ed. |
| title_fullStr | The credit market handbook advanced modeling issues H. Gifford Fong, ed. |
| title_full_unstemmed | The credit market handbook advanced modeling issues H. Gifford Fong, ed. |
| title_short | The credit market handbook |
| title_sort | the credit market handbook advanced modeling issues |
| title_sub | advanced modeling issues |
| topic | Krediet gtt Wiskundige modellen gtt Mathematisches Modell Credit Mathematical models Risk management Mathematical models Default (Finance) Mathematical models Kreditrisiko (DE-588)4114309-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Krediet Wiskundige modellen Mathematisches Modell Credit Mathematical models Risk management Mathematical models Default (Finance) Mathematical models Kreditrisiko Kreditmarkt |
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