Credit Risk —— Models, Derivatives, and Management

----- 信用风险：模型、衍生物和管理

ISBN: 9781584889946 出版年：2008 页码：600 CRC Press

Preface A View on Credit Derivatives Single Name Credit Default Swap Valuation: An Introductory Review Anouk G.P. Claes and Marc J.K. De Ceuster Valuation of Credit Derivatives with Counterparty Risk Volker Lager, Andreas Oehler, Marco Rummer, and Dirk Schiefer Integrated Credit Portfolio Management: A Preview Jochen Felsenheimer and Philip Gisdakis Credit Default Swaps and an Application to the Art Market: A Proposal Rachel A.J. Campbell and Christian Wiehenkamp Credit Risk, Spreads, and Spread Determinants Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market Hans Bystrom The Determinants of CDS Prices: An Industry-Based Investigation Danielle Sougne, Cedric Heuchenne, and Georges Hubner Credit Spread Dynamics: Evidence from Latin America Kannan Thuraisamy, Gerry Gannon, and Jonathan A. Batten Accounting Data Transparency and Credit Spreads: Clinical Studies Umberto Cherubini Anticipating Credit Events Using Credit Default Swaps: An Application to Sovereign Debt Crises Jorge Antonio Chan-Lau Credit Risk Modeling and Pricing Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models Gurdip Bakshi, Dilip Madan, and Frank Xiaoling Zhang Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees Christian Stewart and Niklas Wagner Pricing CDX Credit Default Swaps Using the Hull-White Model Bastian Hofberger and Niklas Wagner Default Risk, Recovery Risk, and Rating The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications Edward I. Altman, Brooks Brady, Andrea Resti, and Andrea Sironi Business and Financial Indicators: What Are the Determinants of Default Probability Changes? Fabien Couderc, Olivier Renault, and Olivier Scaillet Managing Credit Risk for Retail Low-Default Portfolios Gabriele Sabato Tests on the Accuracy of Basel II Simone Varotto Credit Risk Dependence and Dependent Defaults Correlation Risk: What the Market Is Telling Us and Does It Make Sense? Vineer Bhansali Copula-Based Default Dependence Modeling: Where Do We Stand? Elisa Luciano Correlated Default Processes: A Criterion-Based Copula Approach Sanjiv R. Das and Gary Geng Systematic Credit Risk: CDX Index Correlation and Extreme Dependence Sofiane Aboura and Niklas Wagner Options, Portfolios, and Pricing Loss Distribution Tranches CDS Options through Candidate Market Models and the CDS-Calibrated CIR++ Stochastic Intensity Model Damiano Brigo Arbitrage Pricing of Credit Derivatives Siu Lam Ho and Lixin Wu An Empirical Analysis of CDO Data Vincent Leijdekker, Martijn van der Voort, and Ton Vorst Pricing Tranched Credit Products with Generalized Multifactor Models Manuel Moreno, Juan I. Pena, and Pedro Serrano CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for Pricing iTraxx Jean-Michel Bourdoux, Georges Hubner, and Jean-Roch Sibille Numerical Pricing of CDOs: A Monte Carlo Approach Manuel Moreno and Pedro Serrano Index