Credit Risk Modelling

The Cutting-edge CollectionTechnical Papers Published in Risk 1999-2003

Publication Date	April 2003
Publisher	Risk Books
Product Type	Book
Pages	278
ISBN Number	1904339085
Product Code	RIS00302

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Summary

Designed in order for readers to easily familiarise themselves with all the leading authorities, ideas and techniques used in today's business
The papers are subdivided into easy-reference sections that include credit portfolio modelling and measurement, credit derivatives, default models and prediction, and credit risk modelling in relation to Basel II
Introduced by Michael Gordy, who illustrates the significance that each chapter has on modern credit practice
Allows the reader to compare and contrast two different philosophies in credit risk modelling - 'structural models' and 'reduced-form models'
Covers the statistical and financial tools that lie behind credit risk theory and management in addition to offering a comprehensive treatment of the pricing of credit derivatives, including credit swaps and CDOs
Includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates

Content

Contents
Authors
Introduction
I. PRICING CREDIT RISK
- Credit Derivatives Made Simple
  - Lane Hughston and Stuart Turnbull
- Applying HJM to Credit Risk
  - Robert Maksymiuk and Dariusz Gatarek
- The Price of Credit
  - Philippe Khuong-Huu, Vladimir Finlestein and Bruce Broder
- Price and Probability
  - Richard Martin, Kevin Thompson and Christopher Browne
- Distance to Default
  - Marco Avellaneda and Jingyi Zhu
- Equity to Credit Pricing
  - George Pan
- Getting the Pricing Right
  - Angelo Arvanitis
- on the Edge of Completeness
  - Angelo Arvanitis and Jean-Paul Laurent
II. Measuring Default Risk
- Measuring Default Accurately
  - Jorge Sobehart and Sean Keenan
- A Credit Risk Catwalk
  - Sean Keenan and Jorge Sobehart
- The Need for Hybrid Models
  - Jorge Sobehart and Sean Keenan
III. Dependence in Defaults and Recoveries
- Devil in the Parameters
  - H. Ugur Koyluoglu, Anil Bangia and Thomas Garside
- Modelling Default Correlation
  - Krishan Nagpal and Reza Bahar
- How Dependent are Defaults?
  - Richard Martin, Kevin Thompson and Christopher Browne
- Copulas and Credit Models
  - Rdiger Frey, Alexander McNeil and Mark Nyfeler
- Collateral Damage
  - Jon Frye
- Depressing Recoveries
  - Jon Frye
IV. Value-at-Risk for Credit Portfolios
- Integrating Correlations
  - Peter Brgisser, Alexandre Kurth, Armin Wagner and Michael Wolf
- Taking to the Saddle
  - Richard Martin, Kevin Thompson and Christopher Browne
- Calculating Portfolio Loss
  - Sandro Merino and Mark Nyfeler
V. BASEL II
- IRB Approach Explained
  - Tom Wilde
- Pro-cyclicality in the New Basel Accord
  - D. Wilson Ervin and Tom Wilde
- The Maturity Effect on Credit Risk Capital
  - Michael Kalkbrener and Ludger Overbeck
VI. Asymptotic Methods in Var
- Loan Portfolio Value
  - Oldrich Vasicek
- Probing Granularity
  - Tom Wilde
- Analytical Approach to Credit Risk Modelling
  - Michael Pykhtin and Ashish Dev
- Unsystematic Credit Risk
  - Richard Martin and Tom Wilde
VII. Pricing Multi-Name Default Risk
- Copula Vulnerability
  - Umberto Cherubini and Elisa Luciano
- Pricing Default Baskets
  - Wolfgang Schmidt and Ian Ward
- Long or Short in CDOs
  - Hans Boscher and Ian Ward
- Extreme Events and Default Baskets
  - Roy Mashal and Marco Naldi
VIII. Value-at-Risk for Asset Securitisations
- Credit Risk in Asset Securitisations: An Analytical Model
  - Michael Pykhtin and Ashish Dev
- Coarse-grained CDOs
  - Michael Pykhtin and Ashish Dev
- Random Tranches
  - Michael Gordy and David Jones