Modelling single-name and multi-name credit derivatives:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester
Wiley
2008
|
| Schriftenreihe: | Wiley finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XX, 493 S. |
| ISBN: | 9780470519288 |
Internformat
MARC
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| 245 | 1 | 0 | |a Modelling single-name and multi-name credit derivatives |c Dominic O'Kane |
| 264 | 1 | |a Chichester |b Wiley |c 2008 | |
| 300 | |a XX, 493 S. | ||
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| 337 | |b n |2 rdamedia | ||
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| 650 | 4 | |a Credit derivatives | |
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| 650 | 0 | 7 | |a Bewertung |0 (DE-588)4006340-9 |2 gnd |9 rswk-swf |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-016590193 | ||
Datensatz im Suchindex
| _version_ | 1804137793461420032 |
|---|---|
| adam_text | Contents
Acknowledgements
About the Author
Introduction
Notation
1
The Credit Derivatives Market
1.1
Introduction
1.2
Market Growth
1.3
Products
1.4
Market Participants
1.5
Summary
2
Building the
Libor
Discount Curve
2.1
Introduction
2.2
The
Libor
Index
2.3
Money Market Deposits
2.4
Forward Rate Agreements
2.5
Interest Rate Futures
2.6
Interest Rate Swaps
2.7
Bootstrapping the
Libor
Curve
2.8
Summary
2.9
Technical Appendix
XIU
XV
xvii
xix
1
1
2
4
6
7
9
9
9
10
12
13
16
21
26
26
PARTI SINGLE-NAME CREDIT DERIVATIVES
29
3
Single-name Credit Modelling
31
3.1
Introduction
31
3.2
Observing Default
32
3.3
Risk-neutral Pricing Framework
35
3.4
Structural Models of Default
38
3.5
Reduced Form Models
42
3.6
The Hazard Rate Model
44
Modelling
Single-name and Multi-name Credit Derivatives
3.7
Modelling Default as a Cox Process
46
3.8
A Gaussian Short Rate and Hazard Rate Model
49
3.9
Independence and Deterministic Hazard Rates
51
3.10
The Credit Triangle
54
3.11
The Credit Risk Premium
55
3.12
Summary
57
3.13
Technical Appendix
57
4
Bonds and Asset Swaps
59
4.1
Introduction
59
4.2
Fixed Rate Bonds
60
4.3
Floating Rate Notes
68
4.4
The Asset Swap
72
4.5
The Market Asset Swap
78
4.6
Summary
80
5
The Credit Default Swap
81
5.1
Introduction
81
5.2
The Mechanics of the CDS Contract
82
5.3
Mechanics of the Premium Leg
84
5.4
Mechanics of the Protection Leg
85
5.5
Bonds and the CDS Spread
90
5.6
The CDS-Cash basis
92
5.7
Loan CDS
94
5.8
Summary
95
6
A Valuation Model for Credit Default Swaps
97
6.1
Introduction
97
6.2
Unwinding a CDS Contract
97
6.3
Requirements of a CDS Pricing Model
99
6.4
Modelling a CDS Contract
100
6.5
Valuing the Premium Leg
101
6.6
Valuing the Protection Leg
105
6.7
Upfront Credit Default Swaps
108
6.8
Digital Default Swaps
110
6.9
Valuing Loan CDS 111
6.10
Summary
112
7
Calibrating the CDS Survival Curve
113
7.1
Introduction
113
7.2
Desirable Curve Properties
113
7.3
The Bootstrap
114
7.4
Interpolation Quantities
115
7.5
Bootstrapping Algorithm
117
7.6
Behaviour of the Interpolation Scheme
118
7.7
Detecting Arbitrage in the Curve
121
7.8
Example CDS Valuation
123
7.9
Summary
125
Contents
8 CDS
Risk
Management 127
8.1
Introduction
127
8.2 Market
Risks of a CDS Position
127
8.3
Analytical CDS Sensitivities
128
8.4
Full Hedging of a CDS Contract
138
8.5
Hedging the CDS Spread Curve Risk
139
8.6
Hedging the
Libor
Curve Risk
145
8.7
Portfolio Level Hedging
147
8.8
Counterparty Risk
148
8.9
Summary
149
9
Forwards, Swaptions and CMDS
151
9.1
Introduction
151
9.2
Forward Starting CDS
151
9.3
The Default Swaption
156
9.4
Constant Maturity Default Swaps
169
9.5
Summary
180
PARTII
MULTI-NAME CREDIT DERIVATIVES
181
10
CDS Portfolio Indices
183
10.1
Introduction
183
10.2
Mechanics of the Standard Indices
184
10.3
CDS Portfolio Index Valuation
188
10.4
The Index Curve
190
10.5
Calculating the Intrinsic Spread of an Index
192
10.6
The Portfolio Swap Adjustment
195
10.7
Asset-backed and Loan CDS Indices
200
10.8
Summary
201
11
Options on CDS Portfolio Indices
203
11.1
Introduction
203
11.2
Mechanics
203
11.3
Valuation of an Index Option
207
11.4
An Arbitrage-free Pricing Model
209
11.5
Examples of Pricing
213
11.6
Risk Management
215
11.7
Black s Model Revisited
215
11.8
Summary
217
12
An Introduction to Correlation Products
219
12.1
Introduction
219
12.2
Default Baskets
219
12.3
Leveraging the Spread
Premia
227
12.4
Collateralised Debt Obligations
230
12.5
The Single-tranche Synthetic CDO
232
12.6
CDOs and Correlation
236
12.7
The Tranche Survival Curve
237
Modelling
Single-name and Multi-name Credit Derivatives
12.8
The Standard Index Tranches
12.9
Summary
The Gaussian Latent Variable Model
13.1
Introduction
13.2
The Model
13.3
The Multi-name Latent Variable Model
13.4
Conditional Independence
13.5
Simulating Multi-name Default
13.6
Default Induced Spread Dynamics
13.7
Calibrating the Correlation
13.8
Summary
240
240
13
The Gaussian Latent Variable Model
241
241
241
243
246
248
253
257
258
14
Modelling Default Times using Copulas
261
14.1
Introduction
261
14.2
Definition and Properties of a Copula
261
14.3
Measuring Dependence
264
14.4
Rank Correlation
265
14.5
Tail Dependence
269
14.6
Some Important Copulae
270
14.7
Pricing Credit Derivatives from Default Times
278
14.8
Standard Error of the Breakeven Spread
280
14.9
Summary
281
14.10
Technical Appendix
282
15
Pricing Default Baskets
283
15.1
Introduction
283
15.2
Modelling First-to-default Baskets
283
15.3
Second-to-default and Higher Default Baskets
291
15.4
Pricing Baskets using Monte Carlo
294
15.5
Pricing Baskets using a Multi-Factor Model
296
15.6
Pricing Baskets in the
Student-ŕ
Copula
298
15.7
Risk Management of Default Baskets
299
15.8
Summary
301
16
Pricing Tranches in the Gaussian Copula Model
303
16.1
Introduction
303
16.2
The LHP Model
303
16.3
Drivers of the Tranche Spread
308
16.4
Accuracy of the LHP Approximation
312
16.5
The LHP Model with Tail Dependence
313
16.6
Summary
314
16.7
Technical Appendix
314
17
Risk Management of Synthetic Tranches
317
17.1
Introduction
317
17.2
Systemic Risks
318
17.3
The LH+ Model
324
17.4
Idiosyncratic Risks
328
Contents
17.5
Hedging Tranches
334
17.6
Summary
339
17.7
Technical Appendix
339
18
Building the Full Loss Distribution
343
18.1
Introduction
343
18.2
Calculating the Tranche Survival Curve
343
18.3
Building the Conditional Loss Distribution
345
18.4
Integrating over the Market Factor
353
18.5
Approximating the Conditional Portfolio Loss Distribution
354
18.6
A Comparison of Methods
360
18.7
Perturbing the Loss Distribution
362
18.8
Summary
364
19
Implied Correlation
365
19.1
Introduction
365
19.2
Implied Correlation
365
19.3
Compound Correlation
367
19.4
Disadvantages of Compound Correlation
370
19.5
No-arbitrage Conditions
371
19.6
Summary
374
20
Base Correlation
375
20.1
Introduction
375
20.2
Base Correlation
375
20.3
Building the Base Correlation Curve
377
20.4
Base Correlation Interpolation
382
20.5
Interpolating Base Correlation using the ETL
389
20.6
A Base Correlation Surface
393
20.7
Risk Management of Index Tranches
394
20.8
Hedging the Base Correlation Skew
395
20.9
Base Correlation for Bespoke Tranches
398
20.10
Risk Management of Bespoke Tranches
405
20.11
Summary
406
21
Copula Skew Models
409
21.1
Introduction
409
21.2
The Challenge of Fitting the Skew
409
21.3
Calibration
411
21.4
Random Recovery
412
21.5
The
Student-ŕ
Copula
413
21.6
The Double-i Copula
415
21.7
The Composite Basket Model
418
21.8
The Marshall-Olkin Copula
420
21.9
The Mixing Copula
421
21.10
The Random Factor Loading Model
423
21.11
The Implied Copula
427
21.12
Copula Comparison
429
Modelling Single-name and Multi-name Credit Derivatives
21.13
Pricing Bespokes
21.14
Summary
Advanced Multi-name Credit Derivatives
22.1
Introduction
22.2
Credit CPPI
22.3
Constant Proportion Debt Obligations
22.4
The CDO-squared
22.5
Tranchelets
22.6
Forward Starting Tranches
22.7
Options on Tranches
22.8
Leveraged Super Senior
22.9
Summary
431
431
22
Advanced Multi-name Credit Derivatives
433
433
433
436
441
448
449
449
450
451
23
Dynamic Bottom-up Correlation Models
453
23.1
Introduction
453
23.2
A Survey of Dynamic Models
455
458
466
470
470
471
471
472
474
479
483
485
487
491
23.3
The Intensity Gamma Model
23.4
The
Affine
Jump Diffusion Model
23.5
Summary
23.6
Technical Appendix
24
Dynamic Top-down Correlation Models
24.1
Introduction
24.2
The Markov Chain Approach
24.3
Markov Chain: Initial Generator
24.4
Markov Chain: Stochastic Generator
24.5
Summary
Appendix A Useful Formulae
Bibliography
Index
|
| adam_txt |
Contents
Acknowledgements
About the Author
Introduction
Notation
1
The Credit Derivatives Market
1.1
Introduction
1.2
Market Growth
1.3
Products
1.4
Market Participants
1.5
Summary
2
Building the
Libor
Discount Curve
2.1
Introduction
2.2
The
Libor
Index
2.3
Money Market Deposits
2.4
Forward Rate Agreements
2.5
Interest Rate Futures
2.6
Interest Rate Swaps
2.7
Bootstrapping the
Libor
Curve
2.8
Summary
2.9
Technical Appendix
XIU
XV
xvii
xix
1
1
2
4
6
7
9
9
9
10
12
13
16
21
26
26
PARTI SINGLE-NAME CREDIT DERIVATIVES
29
3
Single-name Credit Modelling
31
3.1
Introduction
31
3.2
Observing Default
32
3.3
Risk-neutral Pricing Framework
35
3.4
Structural Models of Default
38
3.5
Reduced Form Models
42
3.6
The Hazard Rate Model
44
Modelling
Single-name and Multi-name Credit Derivatives
3.7
Modelling Default as a Cox Process
46
3.8
A Gaussian Short Rate and Hazard Rate Model
49
3.9
Independence and Deterministic Hazard Rates
51
3.10
The Credit Triangle
54
3.11
The Credit Risk Premium
55
3.12
Summary
57
3.13
Technical Appendix
57
4
Bonds and Asset Swaps
59
4.1
Introduction
59
4.2
Fixed Rate Bonds
60
4.3
Floating Rate Notes
68
4.4
The Asset Swap
72
4.5
The Market Asset Swap
78
4.6
Summary
80
5
The Credit Default Swap
81
5.1
Introduction
81
5.2
The Mechanics of the CDS Contract
82
5.3
Mechanics of the Premium Leg
84
5.4
Mechanics of the Protection Leg
85
5.5
Bonds and the CDS Spread
90
5.6
The CDS-Cash basis
92
5.7
Loan CDS
94
5.8
Summary
95
6
A Valuation Model for Credit Default Swaps
97
6.1
Introduction
97
6.2
Unwinding a CDS Contract
97
6.3
Requirements of a CDS Pricing Model
99
6.4
Modelling a CDS Contract
100
6.5
Valuing the Premium Leg
101
6.6
Valuing the Protection Leg
105
6.7
Upfront Credit Default Swaps
108
6.8
Digital Default Swaps
110
6.9
Valuing Loan CDS 111
6.10
Summary
112
7
Calibrating the CDS Survival Curve
113
7.1
Introduction
113
7.2
Desirable Curve Properties
113
7.3
The Bootstrap
114
7.4
Interpolation Quantities
115
7.5
Bootstrapping Algorithm
117
7.6
Behaviour of the Interpolation Scheme
118
7.7
Detecting Arbitrage in the Curve
121
7.8
Example CDS Valuation
123
7.9
Summary
125
Contents
8 CDS
Risk
Management 127
8.1
Introduction
127
8.2 Market
Risks of a CDS Position
127
8.3
Analytical CDS Sensitivities
128
8.4
Full Hedging of a CDS Contract
138
8.5
Hedging the CDS Spread Curve Risk
139
8.6
Hedging the
Libor
Curve Risk
145
8.7
Portfolio Level Hedging
147
8.8
Counterparty Risk
148
8.9
Summary
149
9
Forwards, Swaptions and CMDS
151
9.1
Introduction
151
9.2
Forward Starting CDS
151
9.3
The Default Swaption
156
9.4
Constant Maturity Default Swaps
169
9.5
Summary
180
PARTII
MULTI-NAME CREDIT DERIVATIVES
181
10
CDS Portfolio Indices
183
10.1
Introduction
183
10.2
Mechanics of the Standard Indices
184
10.3
CDS Portfolio Index Valuation
188
10.4
The Index Curve
190
10.5
Calculating the Intrinsic Spread of an Index
192
10.6
The Portfolio Swap Adjustment
195
10.7
Asset-backed and Loan CDS Indices
200
10.8
Summary
201
11
Options on CDS Portfolio Indices
203
11.1
Introduction
203
11.2
Mechanics
203
11.3
Valuation of an Index Option
207
11.4
An Arbitrage-free Pricing Model
209
11.5
Examples of Pricing
213
11.6
Risk Management
215
11.7
Black's Model Revisited
215
11.8
Summary
217
12
An Introduction to Correlation Products
219
12.1
Introduction
219
12.2
Default Baskets
219
12.3
Leveraging the Spread
Premia
227
12.4
Collateralised Debt Obligations
230
12.5
The Single-tranche Synthetic CDO
232
12.6
CDOs and Correlation
236
12.7
The Tranche Survival Curve
237
Modelling
Single-name and Multi-name Credit Derivatives
12.8
The Standard Index Tranches
12.9
Summary
The Gaussian Latent Variable Model
13.1
Introduction
13.2
The Model
13.3
The Multi-name Latent Variable Model
13.4
Conditional Independence
13.5
Simulating Multi-name Default
13.6
Default Induced Spread Dynamics
13.7
Calibrating the Correlation
13.8
Summary
240
240
13
The Gaussian Latent Variable Model
241
241
241
243
246
248
253
257
258
14
Modelling Default Times using Copulas
261
14.1
Introduction
261
14.2
Definition and Properties of a Copula
261
14.3
Measuring Dependence
264
14.4
Rank Correlation
265
14.5
Tail Dependence
269
14.6
Some Important Copulae
270
14.7
Pricing Credit Derivatives from Default Times
278
14.8
Standard Error of the Breakeven Spread
280
14.9
Summary
281
14.10
Technical Appendix
282
15
Pricing Default Baskets
283
15.1
Introduction
283
15.2
Modelling First-to-default Baskets
283
15.3
Second-to-default and Higher Default Baskets
291
15.4
Pricing Baskets using Monte Carlo
294
15.5
Pricing Baskets using a Multi-Factor Model
296
15.6
Pricing Baskets in the
Student-ŕ
Copula
298
15.7
Risk Management of Default Baskets
299
15.8
Summary
301
16
Pricing Tranches in the Gaussian Copula Model
303
16.1
Introduction
303
16.2
The LHP Model
303
16.3
Drivers of the Tranche Spread
308
16.4
Accuracy of the LHP Approximation
312
16.5
The LHP Model with Tail Dependence
313
16.6
Summary
314
16.7
Technical Appendix
314
17
Risk Management of Synthetic Tranches
317
17.1
Introduction
317
17.2
Systemic Risks
318
17.3
The LH+ Model
324
17.4
Idiosyncratic Risks
328
Contents
17.5
Hedging Tranches
334
17.6
Summary
339
17.7
Technical Appendix
339
18
Building the Full Loss Distribution
343
18.1
Introduction
343
18.2
Calculating the Tranche Survival Curve
343
18.3
Building the Conditional Loss Distribution
345
18.4
Integrating over the Market Factor
353
18.5
Approximating the Conditional Portfolio Loss Distribution
354
18.6
A Comparison of Methods
360
18.7
Perturbing the Loss Distribution
362
18.8
Summary
364
19
Implied Correlation
365
19.1
Introduction
365
19.2
Implied Correlation
365
19.3
Compound Correlation
367
19.4
Disadvantages of Compound Correlation
370
19.5
No-arbitrage Conditions
371
19.6
Summary
374
20
Base Correlation
375
20.1
Introduction
375
20.2
Base Correlation
375
20.3
Building the Base Correlation Curve
377
20.4
Base Correlation Interpolation
382
20.5
Interpolating Base Correlation using the ETL
389
20.6
A Base Correlation Surface
393
20.7
Risk Management of Index Tranches
394
20.8
Hedging the Base Correlation Skew
395
20.9
Base Correlation for Bespoke Tranches
398
20.10
Risk Management of Bespoke Tranches
405
20.11
Summary
406
21
Copula Skew Models
409
21.1
Introduction
409
21.2
The Challenge of Fitting the Skew
409
21.3
Calibration
411
21.4
Random Recovery
412
21.5
The
Student-ŕ
Copula
413
21.6
The Double-i Copula
415
21.7
The Composite Basket Model
418
21.8
The Marshall-Olkin Copula
420
21.9
The Mixing Copula
421
21.10
The Random Factor Loading Model
423
21.11
The Implied Copula
427
21.12
Copula Comparison
429
Modelling Single-name and Multi-name Credit Derivatives
21.13
Pricing Bespokes
21.14
Summary
Advanced Multi-name Credit Derivatives
22.1
Introduction
22.2
Credit CPPI
22.3
Constant Proportion Debt Obligations
22.4
The CDO-squared
22.5
Tranchelets
22.6
Forward Starting Tranches
22.7
Options on Tranches
22.8
Leveraged Super Senior
22.9
Summary
431
431
22
Advanced Multi-name Credit Derivatives
433
433
433
436
441
448
449
449
450
451
23
Dynamic Bottom-up Correlation Models
453
23.1
Introduction
453
23.2
A Survey of Dynamic Models
455
458
466
470
470
471
471
472
474
479
483
485
487
491
23.3
The Intensity Gamma Model
23.4
The
Affine
Jump Diffusion Model
23.5
Summary
23.6
Technical Appendix
24
Dynamic Top-down Correlation Models
24.1
Introduction
24.2
The Markov Chain Approach
24.3
Markov Chain: Initial Generator
24.4
Markov Chain: Stochastic Generator
24.5
Summary
Appendix A Useful Formulae
Bibliography
Index |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | O'Kane, Dominic |
| author_facet | O'Kane, Dominic |
| author_role | aut |
| author_sort | O'Kane, Dominic |
| author_variant | d o do |
| building | Verbundindex |
| bvnumber | BV023407523 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
| callnumber-search | HG6024.A3 |
| callnumber-sort | HG 46024 A3 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 660 |
| classification_tum | WIR 170f |
| ctrlnum | (OCoLC)191245878 (DE-599)GBV563535849 |
| dewey-full | 332.64/57 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57 |
| dewey-search | 332.64/57 |
| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV023407523 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T21:26:09Z |
| indexdate | 2024-07-09T21:17:56Z |
| institution | BVB |
| isbn | 9780470519288 |
| language | English |
| lccn | 2008019031 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016590193 |
| oclc_num | 191245878 |
| open_access_boolean | |
| owner | DE-703 DE-355 DE-BY-UBR DE-91G DE-BY-TUM DE-19 DE-BY-UBM |
| owner_facet | DE-703 DE-355 DE-BY-UBR DE-91G DE-BY-TUM DE-19 DE-BY-UBM |
| physical | XX, 493 S. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance |
| spelling | O'Kane, Dominic Verfasser aut Modelling single-name and multi-name credit derivatives Dominic O'Kane Chichester Wiley 2008 XX, 493 S. txt rdacontent n rdamedia nc rdacarrier Wiley finance Credit derivatives Modellierung (DE-588)4170297-9 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditderivat (DE-588)7660453-6 s Bewertung (DE-588)4006340-9 s Modellierung (DE-588)4170297-9 s b DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016590193&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | O'Kane, Dominic Modelling single-name and multi-name credit derivatives Credit derivatives Modellierung (DE-588)4170297-9 gnd Bewertung (DE-588)4006340-9 gnd Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)4170297-9 (DE-588)4006340-9 (DE-588)7660453-6 |
| title | Modelling single-name and multi-name credit derivatives |
| title_auth | Modelling single-name and multi-name credit derivatives |
| title_exact_search | Modelling single-name and multi-name credit derivatives |
| title_exact_search_txtP | Modelling single-name and multi-name credit derivatives |
| title_full | Modelling single-name and multi-name credit derivatives Dominic O'Kane |
| title_fullStr | Modelling single-name and multi-name credit derivatives Dominic O'Kane |
| title_full_unstemmed | Modelling single-name and multi-name credit derivatives Dominic O'Kane |
| title_short | Modelling single-name and multi-name credit derivatives |
| title_sort | modelling single name and multi name credit derivatives |
| topic | Credit derivatives Modellierung (DE-588)4170297-9 gnd Bewertung (DE-588)4006340-9 gnd Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Credit derivatives Modellierung Bewertung Kreditderivat |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016590193&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT okanedominic modellingsinglenameandmultinamecreditderivatives |