Credit Risk Modeling (eBook)

Theory and Applications

David Lando (Autor)

eBook Download: PDF

2009
328 Seiten
Princeton University Press (Verlag)
978-1-4008-2919-4 (ISBN)

Infos

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Autor

David Lando is Professor of Finance at the Copenhagen Business School. He is an associate editor of three finance journals and a member of Moody's Academic Advisory and Research Committee.

Produkt-Details

• Erscheint lt. Verlag: 13.12.2009
• Reihe/Serie: Princeton Series in Finance
• Reihe/Serie: Princeton Series in Finance
• Zusatzinfo: 45 line illus. 30 tables.
• Verlagsort: Princeton
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: adapted process • Arbitrage • asset • Asset Sales • Bankruptcy • Barrier Option • Basis Point • Binomial Approximation • Binomial Distribution • Bond (finance) • Bond Valuation • Bond Yield • Calculation • Call Option • capital structure • Comparative Advantage • Convenience Yield • Coupon • Coupon (bond) • Credit Default Swap • Credit Derivative • Credit (finance) • Credit Rating • credit risk • Credit spread (options) • Cumulative Dividend • Current liability • debt • Debt Issue • discount function • Discrete time and continuous time • dividend • Dividend Payout Ratio • Equity Value • Equivalent Martingale Measures • estimation • Estimator • exponential distribution • Fair value • Geometric Brownian motion • Government bond • High-yield debt • Implicit Cost • implied volatility • Information asymmetry • Interest Rate • Interest Rate Swap • issuer • jump process • Latent Variable • Least Squares • Leverage (finance) • Liability (financial accounting) • Libor • Logistic Regression • market liquidity • Market Value • Markov Chain • Markov model • mathematical finance • Merton Model • Moment-generating function • money market • Option (finance) • Par Yield Curve • path dependence • Payment • plain vanilla • predictable process • Present Value • Pricing • Probability • Probability of Default • Put Option • Random Variable • recapitalization • Repurchase Agreement • Risk Management • Risk-neutral measure • Risk Premium • semimartingale • Short Rate • state variable • Swap Curve • Swap (finance) • Swap rate • Swap spread • Synthetic CDO • Tax • Tax Advantage • Tax Shield • Trading Strategy • tranche • underlying security • Value (economics) • Variance • Vasicek model • Yield Curve • Yield spread • zero-coupon bond
• ISBN-10: 1-4008-2919-4 / 1400829194
• ISBN-13: 978-1-4008-2919-4 / 9781400829194