The art of credit derivatives: demystifying the black swan
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester
Wiley
2010
|
| Series: | Wiley finance
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| Subjects: | |
| Online Access: | Publisher description Contributor biographical information Table of contents only Inhaltsverzeichnis |
| Physical Description: | XXI, 242 S. graph. Darst. |
| ISBN: | 9780470747353 0470747358 |
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| adam_text | IMAGE 1
THE ART OF CREDIT DERIVATIVES:
DEMYSTIFYING THE BLACK SWAN
JOAO GARCIA AND SERGE GOOSSENS
)WILEY A JOHN WILEY AND SONS, LTD., PUBLICATION
IMAGE 2
CONTENTS
ABOUT THE AUTHORS IX
ACKNOWLEDGEMENTS XI
PREFACE XIII
LIST OF TABLES XV
LIST OF FIGURES XIX
1 INTRODUCTION 1
PARTI MODELING FRAMEWORK 5
2 DEFAULT MODELS 7
2.1 INTRODUCTION 7
2.2 DEFAULT 7
2.3 DEFAULT MODELS 8
3 MODELING DEPENDENCE WITH COPULAS 13
3.1 INTRODUCTION 13
3.2 COPULA 13
3.3 USING COPULAS IN PRACTICE AND FACTOR ANALYSIS 15
PART II SINGLE NAME CORPORATE CREDIT DERIVATIVES 19
4 CREDIT DEFAULT SWAPS 21
4.1 INTRODUCTION 21
4.2 CREDIT DEFAULT SWAP: A DESCRIPTION 22
4.3 MODELING CDSS 23
4.4 CALIBRATING THE SURVIVAL PROBABILITY 24
4.5 2008 AUCTION RESULTS 26
4.6 THE BIG BANG PROTOCOL 27
IMAGE 3
- CONTENTS
5 PRICING CREDIT SPREAD OPTIONS: A 2-FACTOR HW-BK ALGORITHM 29 5.1
INTRODUCTION 29
5.2 THE CREDIT EVENT PROCESS 30
5.3 CREDIT SPREAD OPTIONS 30
5.4 HULL-WHITE AND BLACK-KARAZINSKY MODELS 32
5.5 RESULTS * 35
5.6 CONCLUSION 37
6 COUNTERPARTY RISK AND CREDIT VALUATION ADJUSTMENT 39
6.1 INTRODUCTION 39
6.2 VALUATION OF THE CVA 40
6.3 MONTE CARLO SIMULATION FOR CVA ON CDS 41
6.4 SEMI-ANALYTIC CORRELATION MODEL 42
6.5 NUMERICAL RESULTS 43
6.6 CDS WITH COUNTERPARTY RISK 43
6.7 COUNTERPARTY RISK MITIGATION 45
6.8 CONCLUSIONS 46
PART III MULTINAME CORPORATE CREDIT DERIVATIVES 47
7 COLLATERALIZED DEBT OBLIGATIONS 49
7.1 INTRODUCTION 49
7.2 A BRIEF OVERVIEW OF CDOS 50
7.3 CASH VERSUS SYNTHETIC CDOS 51
7.4 SYNTHETIC CDOS AND LEVERAGE 52
7.5 CONCENTRATION, CORRELATION AND DIVERSIFICATION 54
8 STANDARDIZED CREDIT INDICES 55
8.1 INTRODUCTION 55
8.2 CREDIT DEFAULT SWAP INDICES 55
8.3 STANDARDIZATION 56
8.4 ITRAXX, CDX AND THEIR TRANCHES 58
8.5 THEORETICAL FAIR SPREAD OF INDICES 58
9 PRICING SYNTHETIC CDO TRANCHES 61
9.1 INTRODUCTION 61
9.2 GENERIC 1-FACTOR MODEL 61
9.3 IMPLIED COMPOUND AND BASE CORRELATION 66
10 HISTORICAL STUDY OF LEVY BASE CORRELATION 71
10.1 INTRODUCTION 71
10.2 HISTORICAL STUDY 71
10.3 BASE CORRELATION 71
10.4 HEDGE PARAMETERS 75
10.5 CONCLUSIONS 76
IMAGE 4
CONTENTS
11 BASE EXPECTED LOSS AND BASE CORRELATION SMILE 77
11.1 INTRODUCTION 77
11.2 BASE CORRELATION AND EXPECTED LOSS: INTUITION 78
11.3 BASE CORRELATION AND INTERPOLATION 80
11.4 BASE EXPECTED LOSS 80
11.5 INTERPOLATION _. 82
11.6 NUMERICAL RESULTS 83
11.7 CONCLUSIONS 88
12 BASE CORRELATION MAPPING 89
12.1 INTRODUCTION 89
12.2 CORRELATION MAPPING FOR BESPOKE PORTFOLIOS 90
12.3 NUMERICAL RESULTS 92
12.4 FINAL COMMENTS 97
13 CORRELATION FROM COLLATERAL TO TRANCHES 99
13.1 INTRODUCTION 99
13.2 GENERIC 1-FACTOR MODEL 99
13.3 MONTE CARLO SIMULATION AND IMPORTANCE SAMPLING 100
13.4 GAUSSIAN COPULA TRANCHE LOSS CORRELATIONS 101
13.5 LEVY COPULA TRANCHE LOSS CORRELATIONS 102
13.6 MARSHALL-OLKIN COPULA TRANCHE LOSS CORRELATIONS 104
13.7 CONCLUSIONS 105
14 CASH FLOW CDOS 107
14.1 INTRODUCTION 107
14.2 THE WATERFALL OF A CASH FLOW CDO 107
14.3 BET METHODOLOGY 108
14.4 RESULTS 110
14.5 AIGANDBET 119
14.6 CONCLUSIONS 120
15 STRUCTURED CREDIT PRODUCTS: CPPI AND CPDO 123
15.1 INTRODUCTION 123
15.2 MULTIVARIATE VG MODELING 123
15.3 SWAPTIONS ON CREDIT INDICES 124
15.4 MODEL CALIBRATION 125
15.5 CPPI 126
15.6 CPDO 129
15.7 CONCLUSION 132
IMAGE 5
CONTENTS
PART IV ASSET BACKED SECURITIES 133
16 ABCDSANDPAUG 135
16.1 INTRODUCTION 135
16.2 ABCDSS VERSUS CORPORATE CDSS 135
16.3 ABCDS PAY AS YOU GO: PAUG 137
16.4 CONCLUSION 138
17 ONE CREDIT EVENT MODELS FOR CDOS OF ABS 139
17.1 INTRODUCTION 139
17.2 ABS BOND AND ABCDS 139
17.3 SINGLE NAME SENSITIVITY 141
17.4 MULTIFACTOR CORRELATION MODEL 145
17.5 MONTE CARLO SIMULATION 145
17.6 RESULTS 146
17.7 CONCLUSIONS 148
18 MORE STANDARDIZED CREDIT INDICES: ABX, TABX, CMBX, LCDX, LEVX 149
18.1 INTRODUCTION 149
18.2 ABX AND TABX 149
18.3 LEVX AND LCDX 153
18.4 CMBX AND ECMBX 154
18.5 INDICES AS INDICATORS 154
19 1-FACTOR MODELS FOR THE ABS CORRELATION MARKET PRICING TABX TRANCHES
159 19.1 INTRODUCTION 159
19.2 GENERIC 1-FACTOR MODEL 159
19.3 AMORTIZING BOND AND CDS 160
19.4 A SIMPLE MODEL FOR AMORTIZATION AND PREPAYMENT 161
19.5 ABX.HE CREDIT INDEX 163
19.6 PREPAYMENT AND MODEL CALIBRATION 165
19.7 PRICING MODEL IMPLICATIONS 168
19.8 CONCLUSIONS 169
20 BOND PRICE IMPLIED SPREADS 171
20.1 INTRODUCTION 171
20.2 BOND PRICE IMPLIED SPREADS 171
20.3 NUMERICAL RESULTS 174
PART V DYNAMIC CREDIT PORTFOLIO MANAGEMENT 177
21 LONG MEMORY PROCESSES AND BENOIT MANDELBROT 179
21.1 INTRODUCTION 179
21.2 ECONOPHYSICS, FAT TAILS AND BROWNIAN MOTION 179
21.3 LONG-TERM MEMORY AND THE NILE RIVER 181
21.4 CAPITAL ASSET PRICING MODEL 181
IMAGE 6
CONTENTS
22 SECURITIZATION AND THE CREDIT CRUNCH 183
22.1 INTRODUCTION 183
22.2 CORRELATION AND MORTGAGE-BACKED SECURITIES 183
22.3 SECURITIZATION AND ECONOMIC GROWTH 187
23 DYNAMIC CREDIT PORTFOLIO MANAGEMENT 193
23.1 INTRODUCTION 193
23.2 REGULATORY CAPITAL AND BASEL FORMULAS 194
23.3 PORTFOLIO CREDIT RISK AND ECONOMIC CAPITAL 196
23.4 SECURITIZATION AND CDO MODELS 200
23.5 CDO PRICING 204
23.6 CREDIT PORTFOLIO MANAGEMENT AND CORRELATION MAPPING 205
23.7 STRATEGIC CREDIT ECAP MANAGEMENT 208
24 CONCLUSION 217
APPENDIX A: ECONOMIC CAPITAL ALLOCATION APPROACHES 221
APPENDIX B: GENERALIZED GAUSS LAGUERRE QUADRATURE 223
REFERENCES 225
INDEX 231
|
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| spelling | Garcia, João Batista C. Verfasser (DE-588)140180311 aut The art of credit derivatives demystifying the black swan João Garcia and Serge Goossens Chichester Wiley 2010 XXI, 242 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance Credit derivatives Securities Portfolio management Kreditderivat (DE-588)7660453-6 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Kreditderivat (DE-588)7660453-6 s b DE-604 Goossens, Serge Sonstige oth http://www.loc.gov/catdir/enhancements/fy1001/2009039208-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy1008/2009039208-b.html Contributor biographical information http://www.loc.gov/catdir/enhancements/fy1010/2009039208-t.html Table of contents only GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020669385&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Garcia, João Batista C. The art of credit derivatives demystifying the black swan Credit derivatives Securities Portfolio management Kreditderivat (DE-588)7660453-6 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)7660453-6 (DE-588)4046834-3 |
| title | The art of credit derivatives demystifying the black swan |
| title_auth | The art of credit derivatives demystifying the black swan |
| title_exact_search | The art of credit derivatives demystifying the black swan |
| title_full | The art of credit derivatives demystifying the black swan João Garcia and Serge Goossens |
| title_fullStr | The art of credit derivatives demystifying the black swan João Garcia and Serge Goossens |
| title_full_unstemmed | The art of credit derivatives demystifying the black swan João Garcia and Serge Goossens |
| title_short | The art of credit derivatives |
| title_sort | the art of credit derivatives demystifying the black swan |
| title_sub | demystifying the black swan |
| topic | Credit derivatives Securities Portfolio management Kreditderivat (DE-588)7660453-6 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Credit derivatives Securities Portfolio management Kreditderivat Portfolio Selection |
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