Credit treasury: a credit pricing guide in liquid and non-liquid markets
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke [u.a.]
Palgrave Macmillan
2011
|
| Edition: | 1. publ. |
| Series: | Palgrave Macmillan finance and capital markets series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Incl. bibliogr. references (S. 359-364) and index |
| Physical Description: | XXIIIi, 365 S. Ill., graph. Darst. |
| ISBN: | 9780230279667 |
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MARC
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| 100 | 1 | |a Oricchio, Gianluca |d 1968- |e Verfasser |0 (DE-588)1012655172 |4 aut | |
| 245 | 1 | 0 | |a Credit treasury |b a credit pricing guide in liquid and non-liquid markets |c Gianluca Oricchio |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2011 | |
| 300 | |a XXIIIi, 365 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Palgrave Macmillan finance and capital markets series | |
| 500 | |a Incl. bibliogr. references (S. 359-364) and index | ||
| 650 | 4 | |a Credit derivatives | |
| 650 | 4 | |a Swaps (Finance) | |
| 650 | 4 | |a Default (Finance) | |
| 650 | 4 | |a Credit control | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024378744&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-024378744 | ||
Record in the Search Index
| _version_ | 1804148336627810304 |
|---|---|
| adam_text | Titel: Credit treasury
Autor: Oricchio, Gianluca
Jahr: 2011
Contents
List of Figures
List of Tables
Foreword
1 Introduction
x
xviii
xxii
Pricing in Liquid Markets 7
2.1 Introduction 7
2.2 The Merton structural default model* 7
2.2.1 The Mathematical Model 13
2.3 Nelson-Siegel: a parametric approach 15
2.3.1 The credit default swap ] 5
2.3.2 Liquid curves 17
2.3.3 Non-liquid curves 18
Pricing in Non-liquid Markets 21
3.1 Introduction 21
3.2 Internal rating and pricing models 22
3.3 Incorporating market view in pricing models 24
3.4 Probability of default 30
3.4.1 The corporate rating model 30
3.4.2 The validation and improvement approach 31
3.4.3 Term structure of probability of default 39
3.5 Transition matrix state - dependent pricing model 43
3.5.1 Large corporate transition matrices 44
3.5.2 Corporate transition matrices 46
3.5.3 SME corporate transition matrices 47
3.5.4 SME retail transition matrices 48
3.6 Usage given default (Exposure at Default) 49
3.6.1 Denning and calculating the components of EaD 51
3.6.2 Data gathering and assessment of data 58
3.6.3 Calculating EaD 58
3.7 Loss given default 60
3.7.1 Structure of the basic calculation 61
3.7.2 LGD model 69
3.7.3 LGD estimates used in the pricing model 69
3.7.4 Cure rate 70
3.8 Analytics of pricing models 75
3.8.1 Credit risk capital - the global correlation factor
structure 75
3.8.2 Operational risk capital 85
3.8.3 Assembly of cash flows 86
3.8.4 Fee revenue 86
3.8.5 Net interest revenue 86
3.8.6 Operating costs 88
3.8.7 Expected loss 88
3.8.8 Capital benefit 89
3.8.9 Cost of capital 89
3.8.10 Profitability measurement 89
3.9 Pricing of a pre-payment option 93
Annex Al - RiskCalc™ for private companies 96
A 1.1 Introduction 96
A1.2 What we will cover 98
Al.3 Section I: The current credit risk toolbox 99
Al .4 Section II: Past studies and current theory of
private firm default 104
A 1.5 Appendix 2 116
A1.6 Section III: Data 118
Al .7 Section IV: Univariate ratios as predictors of
default: the variable selection process 125
A1.8 Appendix 4A 146
A 1.9 Section V: Similarities and differences between
public and private companies 152
ALIO Section VI: Transformations and functional form 162
ALU Appendix 6A: Transformations of input ratios 169
A1.12 Appendix 6B: RiskCalc schema 171
A 1.13 Section VII: Mapping to default rates and
Moody s ratings 176
A 1.14 Appendix 7A: Perceived risk of private vs. public
firm debt 185
A1.15 Section VIII: Model validation 187
A 1.16 Appendix 8A: Accuracy ratios and conditional
entropy ratios 202
A 1.17 Appendix 8B: Information entropy ratios 206
A1.18 Section IX: Conclusion 206
Annex A2 - Proxying the non-liquid market using equities 208
CDS Valuation and Trading Strategies 212
4.1 Comparing bonds to credit default swaps 212
4.1.1 Decomposing risk in a bond 212
4.1.2 Par-equivalent credit default swap spread 214
4.1.3 Methodology for isolating credit risk in bonds
with embedded options 222
4.2 Basis trading 227
4.2.1 Understanding the difference between bonds and
credit default swap spreads 227
4.2.2 Trading the basis 230
4.3 Trading credit curves 236
4.3.1 Drivers of P+L in curve trades 237
4.3.2 Curve trading strategies 247
4.3.3 Equal-notional strategies: forwards 248
4.3.4 Duration-weighted strategies 254
4.3.5 Carry-neutral strategies 260
4.3.6 Different ways of calculating slide 262
4.3.7 Calculating breakevens 265
4.3.8 The Horizon Effect 267
4.3.9 Changing risky annuities over the trade
horizon 268
4.3.10 A worked example 269
4.3.11 Horizon Effect conclusion 273
4.4 Recovery rate and curve shape impact on CDS valuation 274
4.4.1 Intuition 274
4.4.2 CDS curve shape impact 275
4.4.3 Recovery rate impact 276
4.4.4 Assumptions at contract inception 277
4.5 Trading CDS against equity puts 278
4.5.1 Structuring a CDS/put trade 279
4.5.2 Risks to the strategy 283
4.5.3 Analyzing fixed recovery CDS/put trades 285
4.5.4 Implications for put skew in the equity market 285
Index Products 286
5.1 Credit default swap index products 286
5.1.1 Introduction 286
5.1.2 Mechanics of the CDX and iTraxx indices 287
5.1.3 Basis to theoretical 287
5.1.4 Comparing on-the-run and off-the-run basis 289
5.1.5 Credit events 290
5.1.6 CDX and iTraxx indices 292
5.1.7 History of US CDS indices 297
5.2 CDX and iTraxx options 297
5.2.1 Product description 297
5.2.2 Basic option strategy payoff diagrams 300
5.2.3 Using options to express a spread view 301
5.2.4 Using options to express a volatility view 302
5.2.5 Combining spread and volatility views 302
5.2.6 Option trading strategies 303
5.2.7 The practical side to trading options 306
5.3 Trading credit volatility 311
5.3.1 Defining volatility 311
5.3.2 Delta-hedging 312
5.3.3 The returns from delta-hedging in credit 313
5.3.4 Historical analysis 315
5.4 Tranche products 316
5.4.1 What is a tranche? 316
5.4.2 Why are synthetic tranches traded? 321
5.4.3 The mechanics of trading tranche protection 323
5.4.4 The role of correlation 325
5.4.5 Pricing tranches 326
5.4.6 Other products 328
Consistency Analysis between EVA Metrics and Credit Pricing 332
6.1 Market-based pricing vs. EVA IRB pricing approach: a
consistent framework 332
6.1.1 Introduction to different approaches to transition
matrices 332
6.1.2 Present EVA backward-looking methodology 335
6.1.3 Present EVA Nelson-Siegel methodology 337
6.1.4 Comparison between present EVA
backward-looking methodology and present EVA
Nelson-Siegel methodology 338
6.2 Credit treasury profit loss: the accounting framework 341
Annex A3 - case studies 346
A.3.1 Company officially rated and with
liquid CDS: Enel SpA 346
A.3.2 Company officially rated and with liquid CDS:
Fiat SpA 348
A.3.3 Large corporate without an official rating: Ferretti
SpA 349
A.3.4 Asset finance - pricing of implied option: ACS 351
A.3.5 Lending to small business 353
Notes 354
Bibliography 359
Index 365
|
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| id | DE-604.BV039526372 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:05:31Z |
| institution | BVB |
| isbn | 9780230279667 |
| language | English |
| lccn | 2010034188 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024378744 |
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| owner | DE-898 DE-BY-UBR DE-521 |
| owner_facet | DE-898 DE-BY-UBR DE-521 |
| physical | XXIIIi, 365 S. Ill., graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
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| publisher | Palgrave Macmillan |
| record_format | marc |
| series2 | Palgrave Macmillan finance and capital markets series |
| spelling | Oricchio, Gianluca 1968- Verfasser (DE-588)1012655172 aut Credit treasury a credit pricing guide in liquid and non-liquid markets Gianluca Oricchio 1. publ. Basingstoke [u.a.] Palgrave Macmillan 2011 XXIIIi, 365 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Palgrave Macmillan finance and capital markets series Incl. bibliogr. references (S. 359-364) and index Credit derivatives Swaps (Finance) Default (Finance) Credit control HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024378744&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Oricchio, Gianluca 1968- Credit treasury a credit pricing guide in liquid and non-liquid markets Credit derivatives Swaps (Finance) Default (Finance) Credit control |
| title | Credit treasury a credit pricing guide in liquid and non-liquid markets |
| title_auth | Credit treasury a credit pricing guide in liquid and non-liquid markets |
| title_exact_search | Credit treasury a credit pricing guide in liquid and non-liquid markets |
| title_full | Credit treasury a credit pricing guide in liquid and non-liquid markets Gianluca Oricchio |
| title_fullStr | Credit treasury a credit pricing guide in liquid and non-liquid markets Gianluca Oricchio |
| title_full_unstemmed | Credit treasury a credit pricing guide in liquid and non-liquid markets Gianluca Oricchio |
| title_short | Credit treasury |
| title_sort | credit treasury a credit pricing guide in liquid and non liquid markets |
| title_sub | a credit pricing guide in liquid and non-liquid markets |
| topic | Credit derivatives Swaps (Finance) Default (Finance) Credit control |
| topic_facet | Credit derivatives Swaps (Finance) Default (Finance) Credit control |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024378744&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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