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Duffie D., Singleton K.J. Ч Credit Risk. Pricing, Measurement and Management
Duffie D., Singleton K.J. Ч Credit Risk. Pricing, Measurement and Management

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Ќазвание: Credit Risk. Pricing, Measurement and Management

јвторы: Duffie D., Singleton K.J.


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.
Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets.

язык: en

–убрика: Ёкономика и финансы/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

√од издани€: 2003

 оличество страниц: 396

ƒобавлена в каталог: 17.06.2006

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
ѕредметный указатель
Abken, P.      304 note 10
Accrued interest, on underlying note in credit swaps      184Ч185
Actual default probabilities      9
Actuarial credit spreads      105Ч106 106 109Ч110
Adverse selection      2 26Ч27 38 253
Affine models, basic affine process      65 67 346Ч353
Affine models, closed form      127Ч128
Affine models, default intensity      71
Affine models, estimating parameters of      11 362Ч366
Affine models, overview of      11 346Ч353
Affine models, risk-neutral      163
Affine models, term-structure models      353Ч354 355Ч356 362Ч366
Aging effect in bankruptcy prediction      81Ч84 81
Aging effect in credit rating transitions      87 91Ч92
Aging effect on default rates of callable and convertible debt      81 203Ч206
Aging effect, credit rating      80Ч84 81
Aging effect, speculative debt and      48Ч50
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.      36Ч37 37 104
Arvanitis, A.      142
Asian financial crisis (1998)      4 15
Asquith, P.      213
Asset substitution      18
Asset swaps      190Ч193
Asset-swap spread      190Ч193
Asynchronous swap payments      307Ч308
At-market swaps      290
Backward-recursive pricing algorithm      205 figure 207Ч208
Bakshi, G.      168 346 357
Bank for International Settlements (BIS)      33 39Ч42 40 139 286 288Ч289 289
Bank of America      192 table
Bank of New England      4
Bankers Trust      33
Bankruptcy, accuracy      79 table 80
Bankruptcy, aging effects      81Ч84 81
Bankruptcy, bankruptcy prediction      74Ч84
Bankruptcy, comparing prediction methods      77Ч79
Bankruptcy, coupon bond claims      128Ч130 130
Bankruptcy, default-time densities      77Ч78
Bankruptcy, discriminant-analysis model      76Ч77 78 79 79
Bankruptcy, duration model      75Ч76 77Ч78 82Ч84
Bankruptcy, logit model      76 77 79
Bankruptcy, probit model      76 78 79 79
Bankruptcy, proportional-hazards model      75Ч76 78 79Ч80
Bankruptcy, qualitative-response models      76 78 79 79
Bankruptcy, restructuring versus      29
Bankruptcy, types      44 note l
Barings      7
Barlow, R.      249 note 9Ч10
Basel Accord      39
Basel Committee on Banking Supervision      33 note 13 41
Baseline hazard rate      75 77 79Ч80
Basic affine process      65 67 346Ч353
Bates, D.      346 357
BayesТ rule      50 50 52 60 61 76Ч77 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 299Ч300 306Ч307 310Ч311 311f
Binomial-tree pricing algorithm      207Ч210 208 209
BIS      see УBank for International SetdementsФ
Black Ч Scholes option pricing model      112 221 326 329 339Ч343
Black Ч Scholes Ч Merton debt pricing model, applying      57Ч59
Black Ч Scholes Ч Merton debt pricing model, default risk valuation      112Ч113 119Ч121
Black Ч Scholes Ч Merton debt pricing model, described      53Ч54 54
Black Ч Scholes Ч Merton debt pricing model, yield spreads      169
Black, R.      9 53 55 112 169 202 231
Blackwell Ч Girschick theorem      17 note l
Blume, M.      47 81Ч82 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.      364Ч365
Brennan, M.      215
Bridge      169
Briys, E.      170 note 8
Brownian motion      53Ч55 66 72 167Ч168 172 197 255Ч256 323
Bulow, J.      146Ч147
Burnout factor      225
Business cycle, credit rating transitions and      87Ч91
Business cycle, default process and      45Ч49 81Ч82 90 103 157Ч158
Business cycle, yield spreads and      156Ч161
Buy-in      182
Call speed parameter      217
Call-forcing conversion      210Ч213
Callable and convertible debt valuation      194 201Ч228
Callable and convertible debt valuation, aging effect on default rates      81 203Ч206
Callable and convertible debt valuation, call-forcing conversion      210Ч213
Callable and convertible debt valuation, capital structure effects      202Ч206
Callable and convertible debt valuation, convertible, bond pricing model      215Ч28
Callable and convertible debt valuation, equity derivative pricing      206Ч210 211f
Callable and convertible debt valuation, evidence of delayed calls      213Ч215 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      202Ч206
Capital structure of financial firms      21Ч22
Capital structure, minimum capital requirements      17Ч22 33Ч34 39Ч42 139
Capital, allocation of      22Ч23
Capital, externally raised      21
Capital, principal-agent effects      21
CAPM      see УCapital asset pricing modelФ
Capped spread options      195 196
Carey, M.      123
Carty, L.      87 91Ч92 92 93
Cash flow at risk      34
Cash flow, collateralized debt obligation      250
Cash flow, credit swap      176Ч177 176
Cathcart, L.      170
Caton, G.      213 214 214 225
CBOs      see УCollateralized bond obligationsФ
CDO      see УCollateral poolФ
CDOs      see УCollateralized debt obligationsФ
CdS      see УCredit default swapsФ
Central limit theorem      324
Chava, S.      79 80
Chen, R.-R.      305 353Ч354 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      66Ч71 67 68 107 129 129 136 165 336
Citibank      125 150Ч151
Clean asset swap      191Ч193
CLOS      see УCollateralized loan obligationsФ
Collateral pool (CDO)      261Ч264
Collateralized bond obligations (CBOs)      252
Collateralized debt obligations (CDOs)      10 173 250Ч284 314
Collateralized debt obligations (CDOs), arbitrage      252Ч253 255
Collateralized debt obligations (CDOs), balance-sheet      252
Collateralized debt obligations (CDOs), cash flow      250
Collateralized debt obligations (CDOs), default loss analytics      271Ч280
Collateralized debt obligations (CDOs), default-risk model      255Ч260 262
Collateralized debt obligations (CDOs), default-time correlation      251 260Ч261
Collateralized debt obligations (CDOs), diversity scores      251 280Ч284
Collateralized debt obligations (CDOs), illiquidity sources      253Ч254
Collateralized debt obligations (CDOs), market value      250
Collateralized debt obligations (CDOs), mezzanine-tranche      250 265Ч271 269 271 273 279 282
Collateralized debt obligations (CDOs), pricing      260Ч71
Collateralized debt obligations (CDOs), senior-tranche      250 265Ч271 269 272 278 282
Collateralized debt obligations (CDOs), sinking-fund tranches      264Ч265
Collateralized loan obligations (CLOs)      252
Collateralized mortgage obligations (CMOs)      10
Collin Ч Dufresne, P.      113 114 114 116 139 160 167 170 293
Commutativity      96 141
Compensator simulation      73Ч74 74
Conditional distributions      15
Conditional expected recovery      130Ч131
Conditional probability of default      52
Conditioning down      74
Constantinides, G.      163 note 4
Continuous-time recovery      126Ч127
Convertible bond pricing model      215Ч228
Convertible bond pricing model, background modeling      215Ч216
Convertible bond pricing model, convertible debt as equity derivative      210 211f
Convertible bond pricing model, convexity      225Ч228
Convertible bond pricing model, duration      225Ч228
Convertible bond pricing model, exposure to equity volatility      223Ч224
Convertible bond pricing model, hedging strategies      219Ч223
Convertible bond pricing model, issuer propensity to call      224Ч225
Convertible bond pricing model, model setup      216Ч218
Convertible bond pricing model, pricing algorithm      218Ч219 (see also УCallable and convertible debt valuationФ)
Cooper, I.      299 304
Copula-based correlation defaults      230 237Ч242
Core shocks      33
Corporate debt valuation      122Ч146
Corporate debt valuation, callable and convertible debt      221Ч228
Corporate debt valuation, ratings-transition risk      137Ч146
Corporate debt valuation, reduced-form pricing with recovery      125Ч137
Corporate debt valuation, uncertain recovery      122Ч125 123 УYield
Correlated defaults      229Ч249
Correlated defaults, alternative approaches to correlation      229Ч230
Correlated defaults, copula-based      230 237Ч242
Correlated defaults, correlated defaul, intensities      230 233Ч237
Correlated defaults, CreditMetrics      230Ч233 232 238
Correlated defaults, default-time simulation algorithms      243Ч247
Correlated defaults, empirical methods      242Ч243
Correlated defaults, joint default events      247Ч249
Cossin, D.      289
Costas, D.      327
Counterparty credit risk      2 7 309
Counterparty Risk Management Policy Group      38Ч39
Cox, J.      55 66 107 256 293 330 346 351 366
Crank Ч Nicholson algorithm      198 218
Credit conversion factor      288
Credit default swaps (CDS)      173
Credit default swaps (CDS), model-based rates      185Ч190
Credit default swaps (CDS), synthesizing      180Ч182
Credit default swaps (CDS), term structure of forward default rates      189Ч190
Credit derivatives      see УOTC credit derivativesФ
Credit ratings as naive measure of default risk      43Ч45 57Ч59
Credit ratings, aging effect on default rates      80Ч84 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      149Ч150 (see also УRatings-transition riskФ)
Credit rationing      26 note 6
Credit risk      26Ч29
Credit risk as part of market risk      1Ч2 38
Credit risk measurement      38Ч42
Credit risk measurement, capital guidelines for risk exposures      33Ч34 39Ч42 40 139
Credit risk measurement, exposure to given counterparty      38Ч39
Credit risk measurement, internal-ratings-based approach      41Ч42
Credit risk measurement, market value of default loss      38
Credit risk measurement, selection of risk measure      30
Credit risk measurement, specialized measures in      38Ч39
Credit risk measurement, standardized approach      41
Credit risk of sovereign bonds      9Ч10 147Ч151
Credit risk, adverse selection      2 26Ч27 38 253
Credit risk, changes in credit spreads      1Ч2 4 5
Credit risk, concentration of      27Ч28 129
Credit risk, convertible bond      202
Credit risk, defined      3 4
Credit risk, economic factors in      3
Credit risk, information systems needed for      2Ч3
Credit risk, integration with market risk      332Ч334
Credit risk, loan portfolio VaR      335Ч339 340 341 344
Credit risk, moral hazard      2 28Ч29 38 253Ч255
Credit risk, options portfolio VaR      339Ч343 343 345
Credit risk, OTC derivative value adjustments      295Ч311
Credit risk, reporting      39
Credit risk, setdement risk as part of      2Ч3
Credit risk, time horizon for      2Ч3 160Ч161 161
Credit risk, winnerТs curse      27Ч28 (see also УDefault riskФ)
Credit spreads by sector      111 table
Credit spreads, actuarial      105Ч106 106 109Ч110
Credit spreads, business cycle and      156Ч161
Credit spreads, changes in      1Ч2 4 5
Credit spreads, collateral      258Ч59
Credit spreads, currency swap      311Ч313
Credit spreads, off-market swap-rate      307
Credit spreads, ratings-based models      137Ч146
Credit spreads, sovereign bonds      151Ч156 171Ч172
Credit spreads, speculative debt      105 figure
Credit spreads, term structure of      11 115 138 143Ч144 146 308Ч309 362Ч366
Credit spreads, time-series analysis of      168Ч169
Credit spreads, under perfect and imperfect information      117Ч118 117
Credit spreads, zero-coupon bond      108Ч109 110 142
Credit swaps      10 173Ч193
Credit swaps, accrued interest on underlying note      184Ч185
Credit swaps, cash flows of      176Ч177 176
Credit swaps, credit-swap spreads      178Ч185
Credit swaps, default swaps      173 177Ч178 180Ч182 185Ч190
Credit swaps, defined      173
Credit swaps, described      175Ч178
Credit swaps, other credit derivatives      173Ч175 190Ч193
Credit swaps, payment of accrued premium      183Ч184
Credit yield spread      69
CreditMetrics      86 142 143 230Ч233 232 238
Crouhy, M.      7 23 314
CS First Boston      27 note 7
Currency swaps      311Ч313 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      21Ч22
Default density      62Ч63
Default intensity      59Ч74
Default intensity, affine models      71
Default intensity, arrival intensity as random process      60Ч62 61
Default intensity, CIR intensity models      66Ч71 67 68 107 129 129 136 165 336
Default intensity, classic Poisson-arrival model      59Ч60;
Default intensity, collateralized debt obligations      255Ч260 262
Default intensity, comparison of jump and CIR intensities      69Ч71 70
Default intensity, continual random variation in      62Ч63
Default intensity, correlated defaults      230 233Ч237
Default intensity, defined      8 59
Default intensity, doubly stochastic model      62Ч63
Default intensity, HJM forward default rate models      71Ч72 142 367Ч369
Default intensity, mean-reverting intensity with jumps      64Ч67 64 69Ч71 70 129 234Ч236
Default intensity, recovery rates implicit in prices      134Ч135
Default node      198
Default process      43Ч84
Default process, bankruptcy prediction      74Ч84
Default process, business cycle and      45Ч49 81Ч82 90 103 157Ч1158
Default process, changing composition of speculative debt      47Ч49
Default process, credit ratings and      43Ч45 57Ч59
Default process, default intensity      59Ч74
Default process, forward default probabilities      50Ч52 56Ч57 57
Default process, historic default rates      44 figure 45 46 48
1 2 3 4
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