Overview

This volume brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry. The book is designed to allow 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; credit risk modelling in relation to Basel II. It is introduced by Michael Gordy, who illustrates the significance that each chapter has on modern credit practice It allows the reader to compare and contrast two different philosophies in credit risk modelling - structural models and reduced-form models The book 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. It includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates

Full Product Details

Author:   Michael Gordy
Publisher:   Risk Books
Imprint:   Risk Books
ISBN:  

9781904339083

ISBN 10:   1904339085
Pages:   300
Publication Date:   30 April 2003
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

CONTENTS Random Tranches - Michael Gody and Dvid Jones Coarse-grained CDOs - Michael V. Pykhtin and Ashish Dev Loan Portfolio Value - Oldrich Vasicek Unsystematic Credit Risk - Richard Martin and Tom Wilde Copula Vulnerability - Umberto Cherubini and Elisa Luciano Calculating Portfolio Loss - Sandro Merino and Mark Nyfeler The Maturity Effect on Credit Risk Capital - Michael Kalkbrenner and Ludger Overbeck Long or Short in CDOs - Hans Boscher and Ian Ward Extreme Events and Default Baskets - Roy Mashal and Marco Naldi Credit Risk in Asset Securitisations: An Analytical Model - Michael Pykhtin and Ashish Dev Analytical Approach to Credit Risk Modelling - Michael Pykhtin and Ashish Dev The Need for Hybrid Models - Jorge Sobehart and Sean Keenan Pricing Default Baskets - Wolfgang Schmidt and Ian Ward Distance to Default Models - Marco Avellaneda and Jingyi Zhu Equity to Credit Pricing - George Pan Copulas and Credit Models - Rudiger Frey, Alexander McNeil and Mark Nyfeler Procyclicality in the New Basel Accord - Wilson D. Ervin and Tom Wilde Probing Granularity - Tom Wilde How Dependent are Defaults? - Richard Martin, Kevin Thompson and Christopher Browne Taking to The Saddle - Richard Martin, Kevin Thompson and Christopher Browne Reconciling Ratings - Stefan Blochwitz, Stefan Hohl Weighting for risk - Jon Frye IRB Approach Explained - Tom Wilde Modelling Default Correlation - Krishan Nagpal and Reza Bahar Measuring Default Accurately - Jorge Sobehart and Sean Keenan Price and Probability - Richard Martin, Kevin Thompson and Christopher Browne Collateral Damage - Jon Frye Devil in the Parameters - Ugur Koyluoglu, Anil Bangia and Thomas Garside On the Edge of Completeness - Angelo Arvanitis and Jean-Paul Laurent Integrating Correlations - Peter Burgisser, Alexander Kurth, Armin Wagner and Michael Wolf Applying HJM to Credit Risk - Robert Maksymiuk and Dariusz Gatarek A credit Risk Catwalk - Sean Keenan, Jorge Sobehart Depressing Recoveries - Jon Frye Getting the Pricing Right - Angelo Arvanitis Credit Derivatives Made Simple - Lane Hughston and Stuart Turnbull

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Author Information

Michael Gordy is a senior economist in the research and statistics division of the Federal Reserve Board. His current research focuses on the design, calibration, computation and validation of models of portfolio credit risk, and on the adaptation of these models to setting regulatory capital requirements. Michael received his PhD in economics from MIT in 1994 and a BA in mathematics and philosophy from Yale University in 1985.

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