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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.
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Ïðåäìåòíûé óêàçàòåëü
Default process, reduced-form models of default risk 8—9 43 100 106—111 115 116—117 118—119 Default process, structural models of default risk 8—9 53—59 Default risk 8 Default risk valuation 100—121 Default risk valuation, actual versus risk-neutral probabilities 9 102—106 117—121 Default risk valuation, comparisons of model-implied spreads 114—117 Default risk valuation, reduced-form pricing 8—9 43 100 106—111 115 116—117 118—119 Default risk valuation, risk-neutral probabilities 9 100—106 134 184 Default risk valuation, structural pricing 8—9 53—59 112—116 119—121 169—171 240 241 Default risk, business cycle and 45—49 81—82 103 157—158 Default risk, credit rating as naive measure 43—45 57—58 Default risk, distribution across population 26 Default risk, estimated default frequency 53 57—59 68—69 Default risk, interest rates and 163 203—206 225—228 307 Default risk, one-sided 296—300 Default risk, OTC derivative 295—311 305 Default risk, ratings-transition risk in 143—144 145 146 Default risk, reduced-form 8—9 43 100 106—111 115 116—117 118—119 Default risk, risk-neutral versus actual default probabilities 9 102—106 117—121 134 Default risk, sovereign bond 147—148 Default risk, structural 8—9 53—59 112—116 119—121 169—171 240 241 Default risk, two-sided 300—304 (see also “Correlated defaults” “Credit “Default Default swaps 173 177—178 Default swaps, model-based rates 185—190 Default swaps, synthesizing 180—182 Default swaps, term structure of forward default rates 189—190 Default, defined by Moody’s 44 note l Default, recovery post-default 9 Default, risk valuation 107 default-adjusted short rate 131 133 203—206 336 Default-time densities, in bankruptcy prediction 77—78 Default-time simulation algorithms 243—247 Default-time simulation algorithms, first-defaults simulation 245—246 Default-time simulation algorithms, multicompensator method 244—245 Default-time simulation algorithms, recursive inverse CDF simulation 246—247 Delbaen, F. 36—37 37 101 104 Delianedis, G. 54 Delta hedge 220—221 223 Delta-gamma approach 11 326—332 327 331 DeMarzo, R 17 note 1 253 255 Demchak, B. 120 162 Derivative product company (DPC) 22 note 2 derivatives see “OTC credit derivatives” Derivatives Policy Group (DPG) 27 27 32—33 286 297 Deutsche Bank Research 33 150 151 Dewatripont, M. 19 28 Dilution effects 215 217 Discriminant-analysis model of bankruptcy prediction 76—77 78 79 79 Distance to default 232—233 Dittmar, R R 163 note 4 Diversification 25 Doubly stochastic model, correlated defaults 230 Doubly stochastic model, credit rating transition 90 97—99 DPC see “Derivative product company” DPG see “Derivatives Policy Group” Drexel Burnham Lambert 4 48 Drift, in credit rating transitions 91—92 Duff and Phelps Credit Rating 260 table Duffee, G. 139 157 165 166 171 365 366 Duffle, D. 17 note 1 56 63 106 115 117—118 117 117 122 126 128 129 130 131 134 137 138 143 144 151 152 154 155 165 171 172 180—182 185 185 185 200 235—237 246 250 253 255 256 273 293 299 300 303 304 305 309 310 311 312—313 313 335 336 337 337 338 340 341 343 344 345 346 347 354 356—359 360 362—363 364 367 368 Duration model of bankruptcy prediction 75—76 77—78 82—84 Dybvig, P. 116 note 6 Eaton, J. 146 Eber, J. 36—37 37 Economist, Intelligence Unit 149 Ecuador, Eurocurrency bond default 148 Ederington, L. 45 45 93 213 214 214 225 EDF see “Estimated default frequency” Eichengreen, B. 151 Eisenberg, L. 5 El-Jahel, L. 170 Elton, E. 106 Emblow, A. 41 42 Enron 5 7 56—57 116 193 Eom, Y 170 Estimated default frequency (EDF) 53 57—59 68—69 Estrella, A. 327 330 Ethier, S. 358 note 4 Euler discretization 163—164 Eurocurrency bonds, laws governing 148 Eurocurrency bonds, legal registration 151 Eurocurrency bonds, restructuring or default 147—149 152—155 Euromoney 149 European currency crisis (1992) 317—319 Exchangeable bonds 210 Expected swap exposures 293—295 Exposure 38—39 285—295 exposure to 223—224 Exposure, BIS add-ons for 288—289 289 Exposure, potential 286—288 Factor-loading coefficients 164—165 257 Fat-tailed distributions 315 316—317 317 Feller, W. 66—67 256 348 349 363 Felsovalyi, A. 150 Fernandes, C 215 Financial distress, avoiding costs of 20—21 Financial distress, costs of 17 18 Financial distress, market risk and 31 (see also “Bankruptcy”) Financial risk, market value of firm and 12—13 Financial risk, nature of 13—14 Financial risk, types of 3—7 (see also “Risk management” “Specific Finger, C 314 Fire sales 15 First-call date 204 First-defaults simulation of default time 245—246 First-passage default models 55—57 56 57 100 113—115 169 240 241 Fischer, E. R. 55 FISD, Inc. 194 Fisher, M. 293 Fitch Investors Service 260 table Floored asset swap 223 note 5 Fons, J. 45 47 87 91—92 92 93 105 106 109—110 Ford Motor Credit 193 Foreign debt see “Sovereign debt valuation” Forward default rate 56—57 57 63 67—68 Forward default risk 50—52 56—57 57 296—298 Fourier transform 234 Fractional recovery of face value 125—130 135 Fractional recovery of market value 131—135 166 Fractional recovery, changing assumed coefficients 141—142 335 Freed, L. 238 Fridson, M 45 47 81 84 Friedman, B. 139 Front-running 253—254 Froot, K 17 G10 see “Group of Ten” G30 see “Group of Thirty” Galai, D. 7 215 314 Gallant, A. R. 163 note 4 Gapping risk 9 138—139 GARCH see “Generalized autoregressive conditional heteroskedasticity model” Garleanu, Nicolae 135 218 250 256 273 355 360 Garman, M. 24 note 5 Generalized autoregressive conditional heteroskedasticity (GARCH) model 319—321 322 322 325 Geng, G. 238 Gersovitz, M. 146 Geske, R. 54 113 Ghysels, E. 357 note 3 Gibson, R. 146 152 Gill, R. 75 76 Global Crossing 248 Global Crossing Asia 248 Global risk 27 257—258 Gluck, J. 259—260 272—273 Goh, J. 214 Goldman Sachs 27 note 7 125 215 318 Goldstein, R. 113 114 114 116 139 170 Gordy, M. 41 note 314 Granularity adjustment 41—42 Gregory, J. 142 Grinblatt, G. 293 Group of Ten (G10) 39 Group of Thirty (G30) 286 Gruber, D. 106 Gupton, G. 125 Haircut 287 Harrison, M. 101 Haugen, D. 20—21 Hazard rate 52 63 He, J. 109 110 Heath, D. 11 36—37 37 71—72 367 Hedging strategies 219—23 Hedging strategies, delta hedge 220—221 223 Hedging strategies, vega hedge 221 Hedging strategies, volatility hedges 221—223 Heinkel, R. 55 Heldring, O. 289 HelwegeJ. 110 170 308—309 308 Hendricks, D. 330 note 7 Heston, S. 346 356—357 Hilberink, B. 114 HJM forward default rate models 71—72 142 367—369 Homogeneity, of risk measures 37 Hu, W. 109 110 Huang, J. 121 Huang, J.-Z. 170 Huang, M. 121 299 300 304 305 309 310 311 312—313 313 Huge, B. 140 304 306—307 Hull, J. 304 note 10 313 Hurt, L. 150 Iben, T 109 IMF see “International Monetary Fund” in forward default rate 67—68 67 68 In-the-money swaps 10—11 291 Independent recovery 155 Infectious default model 248 Information asymmetries 2 Information asymmetries for credit risk 117—118 117 Information asymmetries for default risk 56 Ingersoll, J. 66 107 116 212—213 256 293 346 351 366 Innes, R. 254 Institutional investor 149 Interest-rate swaps 10—11 Interest-rate swaps, credit risk adjustments 295—311 305 Interest-rate swaps, exposure on 287 291 293—295 Interest-rate swaps, midmarket revaluation 291—293 Interest-rate swaps, netting provision 286 299—300 306—307 310—311 311f Interest-rate swaps, plain-vanilla 9 289—291 294 298 306 Interest-rate swaps, synthetic 292 table Internal filtration 245 International Monetary Fund (IMF) 147—48 International Swaps and Derivatives Association (ISDA) 175 177—178 285—286 Inverse-CDF simulation 72 246—247 IOSCO 33 note l3 Irrevocable lines of credit 2 195 ISDA see “International Swaps and Derivatives Association” Israel, R. 95 95 Ito’s lemma 197 note l J. P. Morgan 33 86 120 162 193 320 J. P. Morgan Emerging Market Bond Index 148 Jackson, P. 41 42 Japanese bank debt (JBD) 5 6 Japanese government bonds (JGBs) 5 Jarrow, R. A. 11 71—72 79 80 94—95 118 122 142 304 306—307 354 JBD see “Japanese bank debt” Jegadeesh, N. 293 Jensen’s Inequality 16—17 18 18 105 129 221 269—271 300 JGBs see “Japanese government bonds” Johnson, R. 308 note l3 Joint default events 247—249 Jones, E. 109 169 Jonsson, J. 45 47 81 84 Jump diffusion (PJD) model 322—326 Jump-diffusion spreads 167—168 330 Jump-intensity model 64—67 64 69—71 70 141 234—236 326—332 Junk bonds 48 Kalbfleisch, J. 75 Kambhu, J. 330 note 7 Kan, R. 346 Kapadia, N. 238 Kaplan, R. 93 Kawathas, D. 87 92 96 Kealhofer, S. 57 Keiding, N. 75 76 Keim, D. 47 81—82 Keswani, A. 171 171 Kiesel, R. 314 Kim, J. 170 Kishore, V. 80 81 Kliger, D. 88 KMV Corporation 53 57—58 68—69 120 232—33 243 Kreps, D. 101 Kroner, K. 319 note l kurtosis 315—316 317 325 Kurtz, T. 358 note 4 Kusuoka, S. 62—63 note 7 Kuttner, K. 139 Lando, D. 56 63 87 92 94—95 97—99 106 115 117—118 117 117 126 139—142 230 304 306—307 354 Lang, L. 109 110 Langetieg, T. 164 Laplace transform 55 234 Latin America, concentration of credit risk in 29 Lattice-based solution method 198 199 202 Laurent, J. 142 Legal risk 6—7 LEGSI see “Lehman Brothers Eurasia Group Stability Index” Lehman Brothers 5 figure 27 106 125 156—157 167 168 170 318 319 Lehman Brothers Eurasia Group Stability Index (LEGSI) 149 Leippold, M. 163 note 4 Leland, H. 21 55 113 117 Lemon’s premium 21 26 253 Lennox, C. 78—79 Leverage, of financial firms 21—22 Li, H. 140 note 5 142 304 Lim, F. 93 Liquidation value of firm 18 18 19 Liquidity risk 7 Liquidity risk of financial firms 21—22 Liquidity risk, bid-ask spreads and 4 Liquidity risk, collateralized debt obligations 253 Liquidity risk, defined 3 Liquidity risk, examples of 4—5 Liquidity risk, illiquidity episodes 4—5 22 Liquidity risk, nature of 4 Liquidity risk, yield spreads and 201 202 Litterman, R. 109 319 Litzenberger, R. 289 Liu, J. 185 185 Lo, A. 77 78 Lo, V. 248 255 loan guarantees 2 Loan Pricing Corporation 125 Log-logistic model of bankruptcy prediction 75 Logit model of bankruptcy prediction 76 77 79 London Club 149 Long-Term Capital Management 4 15 22 Longstaff, E 55 113 170 171 Lonski, J. 48 Look-back horizon 319 Lopez, J. 314 Lowenstein, R. 15 22 Lucas, D. 48 Lund, J. 323 Lyden, S. 169 170 MacKinlay, C 93 Madan, D. 135 note 4 168 Majluf, N. 21 MaltzanJ. 150 Management errors 7 Mann, C 106
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