Credit risk modelling : facts, theory and applications

by Terry Benzschawel

Credit Risk Modelling gives you a framework to understand how credit risk is measured, priced and managed. The importance of accurately modelling and managing credit risk is continuously growing, regulatory changes and evolving risk management practices have led to Banks looking a lot more closely at credit risk. The author, Terry Benzschawel, succeeds in breaking down credit risk modelling into something that is easy to understand. The book does three main things: Describe data, theory and applications regarding corporations' and sovereign nations' likelihoods of default. Explain how the market prices the risk of default and its associated risk premiums. Present methods and examples of how this information can be used to manage the risk of credit portfolios and for trading of corporate bonds and credit default swaps. By providing an understanding of a previously very confused topic, the book will help interpret the facts of credit in a way that makes sense. This is done by providing theoretically sound and consistent methods for valuing bonds, loans and credit derivatives that is consistent with the facts of credit defaults and spreads. This book is a must-read for anyone wishing to understand credit risk from mathematical and intuitive perspectives. It is a point of reference for all credit risk modelling practitioners.

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[目次]

  • PREFACE SECTION I: Facts, Tools and Theory Part I: Credit Risk - Facts and Basic Tools 1. Credit Risk 2. Rating Agencies, Default Risk and Loss Given Default 3. Default Part II: Modelling Credit Risk 4. Fundamental Analysis 5. Statistical and Reduced Form Credit Models 6. Structural and Hybrid Credit Models 7. Market-Implied Default Models 8. Models of Loss Given Default 9. Credit Momentum, Beta and Relative Value SECTION II: Applications and Advanced Topics Part I: Portfolio Optimization and Credit Trading Strategies 10. Estimating Losses on Portfolios 11. Optimizing Risk and Return on Credit Portfolios 12. Analysing Portfolio Risk and Relative Value 13. Structured Credit Products Part II: Theoretical Issues and Miscellaneous Topics 14. Discounting Default-Risky Contingent Cash Flows 15. Cash Flow Model for Credit Default Swaps 16. Pricing Corporate Loans 17. Market Liquidity 18. Cross-Sector Credit Analysis and Portfolio Optimization

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この本の情報

書名 Credit risk modelling : facts, theory and applications
著作者等 Benzschawel Terry
出版元 Risk Books
刊行年月 c2012
ページ数 xxi, 502 p.
大きさ 24 cm
ISBN 9781906348588
NCID BB13966546
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言語 英語
出版国 イギリス
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