Author | Schmid, Bernd. author |
---|---|
Title | Credit Risk Pricing Models [electronic resource] : Theory and Practice / by Bernd Schmid |
Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2004 |
Edition | Second Edition |
Connect to | http://dx.doi.org/10.1007/978-3-540-24716-6 |
Descript | XI, 383 p. online resource |
1. Introduction -- 1.1 Motivation -- 1.2 Objectives, Structure, and Summary -- 2. Modeling Credit Risk Factors -- 2.1 Introduction -- 2.2 Definition and Elements of Credit Risk -- 2.3 Modeling Transition and Default Probabilities -- 2.4 Modeling Recovery Rates -- 3. Pricing Corporate and Sovereign Bonds -- 3.1 Introduction -- 3.2 Asset Based Models -- 3.3 Intensity Based Models -- 4. Correlated Defaults -- 4.1 Introduction -- 4.2 Correlated Asset Values -- 4.3 Correlated Default Intensities -- 4.4 Correlation and Copula Functions -- 5. Credit Derivatives -- 5.1 Introduction to Credit Derivatives -- 5.2 Technical Definitions -- 5.3 Single Counterparty Credit Derivatives -- 5.4 Multi Counterparty Credit Derivatives -- 6. A Three-Factor Defaultable Term Structure Model -- 6.1 Introduction -- 6.2 The Three-Factor Model -- 6.3 The Pricing of Defaultable Fixed and Floating Rate Debt -- 6.4 The Pricing of Credit Derivatives -- 6.5 A Discrete-Time Version of the Three-Factor Model -- 6.6 Fitting the Model to Market Data -- 6.7 Portfolio Optimization under Credit Risk -- A. Some Definitions of S&P -- A.1 Definition of Credit Ratings -- A.1.1 Issue Credit Ratings -- A.1.2 Issuer Credit Ratings -- A.2 Definition of Default -- A.2.1 S&Pโs definition of corporate default -- A.2.2 S&Pโs definition of sovereign default -- B. Technical Proofs -- B.1 Proof of Lemma 6.2.1 -- B.3 Proofs of Lemma 6.3.1 and Lemma 6.4.2 -- B.4 Proof of Lemma 6.4.3 -- B.5 Tools for Pricing Non-Defaultable Contingent Claims -- C. Pricing of Credit Derivatives: Extensions -- List of Figures -- List of Tables -- References