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Credit Risk

Credit Risk

          
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About the Book

Building upon the seminal work established in the first best selling edition, this fully revised multi-author reference collection brings you up-to date with a complete and cohesive examination on the latest techniques for credit risk assessment and management. - Contains practical and timely information on how to use the newest modelling and measurement tools for managing credit risk with specially commissioned chapters, evaluation and comment from leading practitioners and academics actively involved within the industry - Utilises statistical evidence backed by astute commentary to provide a modern and relevant explanation on all the various elements of credit risk - Subdivided into five main reference sections - each with introductions to illustrate their significance and explain the main points to be discussed - - Risky Bonds in the Portfolio and Market Context - Valuation of Risky Debt - Default Probabilities, Recoveries and Credit Ratings - Structured Credit Products - Practitioners Tools to Managing Credit Risk - Indispensable to those who are involved or must deal with credit risk at any level.

About the Author

Foreword List of contributors Introduction David Shimko Section 1: Risky Bonds In The Portfolio and Market Context Introduction David Shimko 1 Defaults and Returns in the High-Yield Bond Market: The Year 2003 in Review and Market Outlook Edward I. Altman, Gonzalo Fanjul 2 Portfolio Credit Risk (I) Thomas C. Wilson 3 Portfolio Credit Risk (II) Thomas C. Wilson Section 2: Valuation of Risky Debt Introduction David Shimko 4 On the Pricing of Corporate Debt: The Risk Structure of Interest Rates Robert C. Merton 5 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt Francis A. Longstaff, Eduardo S. Schwartz 6 Credit Risk Revisited Michel Crouhy; Dan Galai; Robert M. Mark 7 Assessing the Probability of Bankruptcy Stephen A. Hillegeist; Elizabeth K. Keating; Donald P. Cram; Kyle G. Lundstedt Section 3: Default Probabilities, Recoveries and Credit Ratings Introduction David Shimko 8 ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations Edward I. Altman; Robert G. Haldeman; P. Narayanan 9 What Do We Know About Loss Given Default? Til Schuermann 10 Performance Evaluation for Credit Spread and Default Risk Models Jorge R. Sobehart, Sean C. Keenan 11 Testing Rating Accuracy Bernd Engelmann, Dirk Tasche Section 4: Structured Credit Products Introduction David Shimko 12 Pricing Derivatives on Financial Securities Subject to Credit Risk Robert A. Jarrow; Stuart M. Turnbull 13 Credit Swap Valuation Darrell Duffie 14 Comparing the Dependence Structure of Equity and Asset Returns Roy Mashal, Marco Naldi, Assaf Zeevi 15 An Introduction to CDO Modelling and Applications Christian Bluhm; Ludger Overbeck Section 5: Practitioners Tools for Managing Credit Risk Introduction David Shimko 16 Credit Risk Modelling and Valuation: An Introduction Kay Giesecke 17 Contributions to Credit Risk Alexandre Kurth; Dirk Tasche 18 Enhancing Credit Performance with Market-Implied Credit Measures and Default Swaps Tim Backshall 19 Practical Usage of Credit Risk Models in Loan Portfolio and Counterparty Exposure Management: An Update Robert A. Jarrow; Donald R. van Deventer 20 A Comparison of Stochastic Default Rate Models Christopher C. Finger Index


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Product Details
  • ISBN-13: 9781904339588
  • Publisher: Risk Books
  • Binding: Paperback
  • Language: English
  • Spine Width: 42 mm
  • Width: 159 mm
  • ISBN-10: 1904339581
  • Publisher Date: 01 Apr 2004
  • Height: 235 mm
  • Returnable: N
  • Weight: 0 gr


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