Derivative Credit Risk (2nd ed)

Further Advances in Measurement and Management (Second Edition)

Completely revised and updated edition
New writing examines a range of issues including uncertain credit exposures, risk migration and aggregation and credit risk as part of the entire risk management strategy
Includes three main sections: management and measurement; simulation and state variables; and portfolio diversification and hedging
Analyses credit risk as part of the entire risk management strategy

Introduction NEW
- DAVID LANDO
Derivative Credit Risk: The Modelling Perspective NEW
- COLIN ALEXANDER
An Empirical Analysis of Corporate Rating Migration, Default and Recovery
- SEAN KEENAN / LEA CARTY
Capital Allocation: A Capital Problem NEW
- JESSICA JAMES
Managing Default Risk in Portfolios of Derivatives
- STEPHEN KEALHOFER
Simulating for the Long-Term NEW
- ALVIN KURUC / MICHAEL BRADLEY
Integrated Risk Management
- JAMES LAM
The Value-at-Risk Approach to Credit Risk Measurement
- DAVID LAWRENCE
Measuring Credit Risk and Required Capital
- DOUGLAS LUCAS
Integrated Credit Risk Management
- BOB MARK
Managing the Credit Risk of Credit Derivatives Portfolios NEW
- TOM MCNERNEY
Hedging Derivative Credit Risk NEW
- JOHAN BEUMEE / BIANCA HILBERINK / SAMIR PATEL / PETER WALSH
Credit Default Swaps: Transferring Corporate & Sovereign Credit Risk NEW
- MARY ROONEY
Aggregating Market-Driven Credit Exposures: A Multiple Risk Source Approach
- DAVID M ROWE / MICHAEL MULHOLLAND NEW