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Duffie D., Singleton K.J. — Credit Risk. Pricing, Measurement and Management
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Íàçâàíèå: Credit Risk. Pricing, Measurement and ManagementÀâòîðû: Duffie D., Singleton K.J. Àííîòàöèÿ: In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies.
ßçûê: Ðóáðèêà: Ýêîíîìèêà è ôèíàíñû /Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö ed2k: ed2k stats Ãîä èçäàíèÿ: 2003Êîëè÷åñòâî ñòðàíèö: 396Äîáàâëåíà â êàòàëîã: 17.06.2006Îïåðàöèè: Ïîëîæèòü íà ïîëêó |
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Abken, P. 304 note 10 Accrued interest, on underlying note in credit swaps 184—185 Actual default probabilities 9 Actuarial credit spreads 105—106 106 109—110 Adverse selection 2 26—27 38 253 Affine models, basic affine process 65 67 346—353 Affine models, closed form 127—128 Affine models, default intensity 71 Affine models, estimating parameters of 11 362—366 Affine models, overview of 11 346—353 Affine models, risk-neutral 163 Affine models, term-structure models 353—354 355—356 362—366 Aging effect in bankruptcy prediction 81—84 81 Aging effect in credit rating transitions 87 91—92 Aging effect on default rates of callable and convertible debt 81 203—206 Aging effect, credit rating 80—84 81 Aging effect, speculative debt and 48—50 Agrawal, D. 106 Ahn, D.-H. 163 note 4 Akerlof, G. 21 note 253 Allied Irish Bank 7 Altman, E. 77 79 80 81 81 82 Amemiya, T. 77 Amihud,Y 135 Anderson, P. 75 76 Anderson, R. 55 Anderson, T. 323 Artzner, P. 36—37 37 104 Arvanitis, A. 142 Asian financial crisis (1998) 4 15 Asquith, P. 213 Asset substitution 18 Asset swaps 190—193 Asset-swap spread 190—193 Asynchronous swap payments 307—308 At-market swaps 290 Backward-recursive pricing algorithm 205 figure 207—208 Bakshi, G. 168 346 357 Bank for International Settlements (BIS) 33 39—42 40 139 286 288—289 289 Bank of America 192 table Bank of New England 4 Bankers Trust 33 Bankruptcy, accuracy 79 table 80 Bankruptcy, aging effects 81—84 81 Bankruptcy, bankruptcy prediction 74—84 Bankruptcy, comparing prediction methods 77—79 Bankruptcy, coupon bond claims 128—130 130 Bankruptcy, default-time densities 77—78 Bankruptcy, discriminant-analysis model 76—77 78 79 79 Bankruptcy, duration model 75—76 77—78 82—84 Bankruptcy, logit model 76 77 79 Bankruptcy, probit model 76 78 79 79 Bankruptcy, proportional-hazards model 75—76 78 79—80 Bankruptcy, qualitative-response models 76 78 79 79 Bankruptcy, restructuring versus 29 Bankruptcy, types 44 note l Barings 7 Barlow, R. 249 note 9—10 Basel Accord 39 Basel Committee on Banking Supervision 33 note 13 41 Baseline hazard rate 75 77 79—80 Basic affine process 65 67 346—353 Bates, D. 346 357 Bayes’ rule 50 50 52 60 61 76—77 127 BDS Securities 125 Beaglehole, D. R. 163 note 4 Behar, R. 87 92 Benzoni, L. 323 Bernanke, B. 139 Bielecki, T. 101 note 1 142 367 Bilateral netting, of OTC credit derivatives 286 299—300 306—307 310—311 311f Binomial-tree pricing algorithm 207—210 208 209 BIS see “Bank for International Setdements” Black — Scholes option pricing model 112 221 326 329 339—343 Black — Scholes — Merton debt pricing model, applying 57—59 Black — Scholes — Merton debt pricing model, default risk valuation 112—113 119—121 Black — Scholes — Merton debt pricing model, described 53—54 54 Black — Scholes — Merton debt pricing model, yield spreads 169 Black, R. 9 53 55 112 169 202 231 Blackwell — Girschick theorem 17 note l Blume, M. 47 81—82 93 Bollerslev, T. 319 319 Bollier, T. 298 306 Bonn, J. 120 Borgan, O. 75 76 Boulware, Michael 199 note Boyarchenko, S. 114 Brady bonds 148 171 195 Brandt, M. 364—365 Brennan, M. 215 Bridge 169 Briys, E. 170 note 8 Brownian motion 53—55 66 72 167—168 172 197 255—256 323 Bulow, J. 146—147 Burnout factor 225 Business cycle, credit rating transitions and 87—91 Business cycle, default process and 45—49 81—82 90 103 157—158 Business cycle, yield spreads and 156—161 Buy-in 182 Call speed parameter 217 Call-forcing conversion 210—213 Callable and convertible debt valuation 194 201—228 Callable and convertible debt valuation, aging effect on default rates 81 203—206 Callable and convertible debt valuation, call-forcing conversion 210—213 Callable and convertible debt valuation, capital structure effects 202—206 Callable and convertible debt valuation, convertible, bond pricing model 215—28 Callable and convertible debt valuation, equity derivative pricing 206—210 211f Callable and convertible debt valuation, evidence of delayed calls 213—215 214 Campbell, C. 213 214 214 225 Cantor, R. 150 Cao, C. 346 357 Capital asset pricing model (GAPM) 23 note 4 120 Capital structure in callable and convertible, debt valuation 202—206 Capital structure of financial firms 21—22 Capital structure, minimum capital requirements 17—22 33—34 39—42 139 Capital, allocation of 22—23 Capital, externally raised 21 Capital, principal-agent effects 21 CAPM see “Capital asset pricing model” Capped spread options 195 196 Carey, M. 123 Carty, L. 87 91—92 92 93 Cash flow at risk 34 Cash flow, collateralized debt obligation 250 Cash flow, credit swap 176—177 176 Cathcart, L. 170 Caton, G. 213 214 214 225 CBOs see “Collateralized bond obligations” CDO see “Collateral pool” CDOs see “Collateralized debt obligations” CdS see “Credit default swaps” Central limit theorem 324 Chava, S. 79 80 Chen, R.-R. 305 353—354 357 Chen, Z. 346 357 Chernov, M. 357 note 3 Cherry picking 253 Cheung, S. 93 93 Cholesky decomposition 232 238 Chou, R. 319 note l CIR intensity model 66—71 67 68 107 129 129 136 165 336 Citibank 125 150—151 Clean asset swap 191—193 CLOS see “Collateralized loan obligations” Collateral pool (CDO) 261—264 Collateralized bond obligations (CBOs) 252 Collateralized debt obligations (CDOs) 10 173 250—284 314 Collateralized debt obligations (CDOs), arbitrage 252—253 255 Collateralized debt obligations (CDOs), balance-sheet 252 Collateralized debt obligations (CDOs), cash flow 250 Collateralized debt obligations (CDOs), default loss analytics 271—280 Collateralized debt obligations (CDOs), default-risk model 255—260 262 Collateralized debt obligations (CDOs), default-time correlation 251 260—261 Collateralized debt obligations (CDOs), diversity scores 251 280—284 Collateralized debt obligations (CDOs), illiquidity sources 253—254 Collateralized debt obligations (CDOs), market value 250 Collateralized debt obligations (CDOs), mezzanine-tranche 250 265—271 269 271 273 279 282 Collateralized debt obligations (CDOs), pricing 260—71 Collateralized debt obligations (CDOs), senior-tranche 250 265—271 269 272 278 282 Collateralized debt obligations (CDOs), sinking-fund tranches 264—265 Collateralized loan obligations (CLOs) 252 Collateralized mortgage obligations (CMOs) 10 Collin — Dufresne, P. 113 114 114 116 139 160 167 170 293 Commutativity 96 141 Compensator simulation 73—74 74 Conditional distributions 15 Conditional expected recovery 130—131 Conditional probability of default 52 Conditioning down 74 Constantinides, G. 163 note 4 Continuous-time recovery 126—127 Convertible bond pricing model 215—228 Convertible bond pricing model, background modeling 215—216 Convertible bond pricing model, convertible debt as equity derivative 210 211f Convertible bond pricing model, convexity 225—228 Convertible bond pricing model, duration 225—228 Convertible bond pricing model, exposure to equity volatility 223—224 Convertible bond pricing model, hedging strategies 219—223 Convertible bond pricing model, issuer propensity to call 224—225 Convertible bond pricing model, model setup 216—218 Convertible bond pricing model, pricing algorithm 218—219 (see also “Callable and convertible debt valuation”) Cooper, I. 299 304 Copula-based correlation defaults 230 237—242 Core shocks 33 Corporate debt valuation 122—146 Corporate debt valuation, callable and convertible debt 221—228 Corporate debt valuation, ratings-transition risk 137—146 Corporate debt valuation, reduced-form pricing with recovery 125—137 Corporate debt valuation, uncertain recovery 122—125 123 “Yield Correlated defaults 229—249 Correlated defaults, alternative approaches to correlation 229—230 Correlated defaults, copula-based 230 237—242 Correlated defaults, correlated defaul, intensities 230 233—237 Correlated defaults, CreditMetrics 230—233 232 238 Correlated defaults, default-time simulation algorithms 243—247 Correlated defaults, empirical methods 242—243 Correlated defaults, joint default events 247—249 Cossin, D. 289 Costas, D. 327 Counterparty credit risk 2 7 309 Counterparty Risk Management Policy Group 38—39 Cox, J. 55 66 107 256 293 330 346 351 366 Crank — Nicholson algorithm 198 218 Credit conversion factor 288 Credit default swaps (CDS) 173 Credit default swaps (CDS), model-based rates 185—190 Credit default swaps (CDS), synthesizing 180—182 Credit default swaps (CDS), term structure of forward default rates 189—190 Credit derivatives see “OTC credit derivatives” Credit ratings as naive measure of default risk 43—45 57—59 Credit ratings, aging effect on default rates 80—84 81 82 Credit ratings, corporate bond issuance by quality 159 figure Credit ratings, scores 260 table Credit ratings, sources of 9 Credit ratings, sovereign bond issuers 149—150 (see also “Ratings-transition risk”) Credit rationing 26 note 6 Credit risk 26—29 Credit risk as part of market risk 1—2 38 Credit risk measurement 38—42 Credit risk measurement, capital guidelines for risk exposures 33—34 39—42 40 139 Credit risk measurement, exposure to given counterparty 38—39 Credit risk measurement, internal-ratings-based approach 41—42 Credit risk measurement, market value of default loss 38 Credit risk measurement, selection of risk measure 30 Credit risk measurement, specialized measures in 38—39 Credit risk measurement, standardized approach 41 Credit risk of sovereign bonds 9—10 147—151 Credit risk, adverse selection 2 26—27 38 253 Credit risk, changes in credit spreads 1—2 4 5 Credit risk, concentration of 27—28 129 Credit risk, convertible bond 202 Credit risk, defined 3 4 Credit risk, economic factors in 3 Credit risk, information systems needed for 2—3 Credit risk, integration with market risk 332—334 Credit risk, loan portfolio VaR 335—339 340 341 344 Credit risk, moral hazard 2 28—29 38 253—255 Credit risk, options portfolio VaR 339—343 343 345 Credit risk, OTC derivative value adjustments 295—311 Credit risk, reporting 39 Credit risk, setdement risk as part of 2—3 Credit risk, time horizon for 2—3 160—161 161 Credit risk, winner’s curse 27—28 (see also “Default risk”) Credit spreads by sector 111 table Credit spreads, actuarial 105—106 106 109—110 Credit spreads, business cycle and 156—161 Credit spreads, changes in 1—2 4 5 Credit spreads, collateral 258—59 Credit spreads, currency swap 311—313 Credit spreads, off-market swap-rate 307 Credit spreads, ratings-based models 137—146 Credit spreads, sovereign bonds 151—156 171—172 Credit spreads, speculative debt 105 figure Credit spreads, term structure of 11 115 138 143—144 146 308—309 362—366 Credit spreads, time-series analysis of 168—169 Credit spreads, under perfect and imperfect information 117—118 117 Credit spreads, zero-coupon bond 108—109 110 142 Credit swaps 10 173—193 Credit swaps, accrued interest on underlying note 184—185 Credit swaps, cash flows of 176—177 176 Credit swaps, credit-swap spreads 178—185 Credit swaps, default swaps 173 177—178 180—182 185—190 Credit swaps, defined 173 Credit swaps, described 175—178 Credit swaps, other credit derivatives 173—175 190—193 Credit swaps, payment of accrued premium 183—184 Credit yield spread 69 CreditMetrics 86 142 143 230—233 232 238 Crouhy, M. 7 23 314 CS First Boston 27 note 7 Currency swaps 311—313 313 Dai, Q. 164 note 5 165 346 353 366 Das, S. 142 238 248 322 323 352 Davis, M 248 255 de Varenne, P. 170 note 8 Debt-equity ratio, of financial firms 21—22 Default density 62—63 Default intensity 59—74 Default intensity, affine models 71 Default intensity, arrival intensity as random process 60—62 61 Default intensity, CIR intensity models 66—71 67 68 107 129 129 136 165 336 Default intensity, classic Poisson-arrival model 59—60; Default intensity, collateralized debt obligations 255—260 262 Default intensity, comparison of jump and CIR intensities 69—71 70 Default intensity, continual random variation in 62—63 Default intensity, correlated defaults 230 233—237 Default intensity, defined 8 59 Default intensity, doubly stochastic model 62—63 Default intensity, HJM forward default rate models 71—72 142 367—369 Default intensity, mean-reverting intensity with jumps 64—67 64 69—71 70 129 234—236 Default intensity, recovery rates implicit in prices 134—135 Default node 198 Default process 43—84 Default process, bankruptcy prediction 74—84 Default process, business cycle and 45—49 81—82 90 103 157—1158 Default process, changing composition of speculative debt 47—49 Default process, credit ratings and 43—45 57—59 Default process, default intensity 59—74 Default process, forward default probabilities 50—52 56—57 57 Default process, historic default rates 44 figure 45 46 48
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