By Niklas Wagner
Divided into six sections, the ebook
• Explores the speedily constructing zone of credits spinoff items, together with iTraxx Futures, iTraxx Default Swaptions, and relentless share debt duties
• Addresses the relationships among the DJ iTraxx credits default switch (CDS) index and the inventory industry in addition to CDS spreads and macroeconomic elements
• Investigates systematic and firm-specific default chance components, compares CDS pricing effects from the CreditGrades benchmark to a trinomial tree process, and applies the Hull–White intensity-based version to the pricing of names from the CDX index
• Analyzes mixture default and restoration premiums on company bond defaults over a twenty-year interval, the responses of possibility premiums to adjustments in a suite of monetary variables, low-default portfolios, and assessments at the accuracy of the Basel II framework
• Describes benchmark versions of implied credits correlation probability, copula-based default dependence suggestions, the healthy of assorted copula types, and a typical issue version of systematic credits probability
• reviews the pricing of concepts on single-name CDSs, the pricing of credits derivatives, collateralized debt legal responsibility (CDO) rate info, the pricing of CDO tranches, purposes of Gaussian and Student’s t copula features, and the pricing of CDOs
Using mathematical versions and methodologies, this quantity offers the basic wisdom to correctly deal with credits danger and make sound monetary decisions.
Read or Download Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series) PDF
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Extra resources for Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series)
Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series) by Niklas Wagner