Àâòîðèçàöèÿ
Ïîèñê ïî óêàçàòåëÿì
Duffie D., Singleton K.J. — Credit Risk. Pricing, Measurement and Management
Îáñóäèòå êíèãó íà íàó÷íîì ôîðóìå Íàøëè îïå÷àòêó?
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 |
Ñêîïèðîâàòü ññûëêó äëÿ ôîðóìà | Ñêîïèðîâàòü ID
Ïðåäìåòíûé óêàçàòåëü
Mark, R. 7 314 Markdown 108 Market imperfections 12—13 Market risk 15—25 315—332 market risk and 4 36 Market risk measurement 30—37 Market risk measurement, coherency of measures 36—37 Market risk measurement, expected tail loss 11 34—35 35 37 315—317 Market risk measurement, measure 30 Market risk measurement, price of market value insurance 35—36 Market risk measurement, time horizon for 33 35—36 price”) Market risk, allocation of capital versus risk 22—23 Market risk, capital as scarce resource 20—21 Market risk, cash flow at risk 34 Market risk, conditional expected loss 34—35 35 Market risk, credit risk as part of 1—2 38 Market risk, defined 1 3 Market risk, delta-gamma derivatives with jumps 326—332 Market risk, financial distress and 31 Market risk, integration with credit risk 332—334 Market risk, leverage and risk for financial firms 21—22 Market risk, minimum capital requirements 17—20 33 Market risk, modeling return distributions 319—322 Market risk, nature of 4 Market risk, performance incentives 25 Market risk, principal-agent effects 20 21 Market risk, profit-loss asymmetries 13—15 14 16—17 18 Market risk, risk-adjusted return on capital 23—25 Market risk, shapes of return distributions 315—319 322—326 Market risk, standard deviation in measuring 24 (see also “Value at risk” “Volatility price”) Market value of firm 12—13 Markov processes in credit rating transitions 86—87 90 91 94—99 Markov processes, generator for Markov chain 94—97 Markov processes, jump diffusion 11 347—353 Markov processes, Lando’s stochastic transition-intensity model 97—99 142 Markov processes, multi-issuer default model 256—257 Markov processes, time-varying transition intensities 95—97 Markov processes, trapping state 94 Marshall, J. 289 Martin, J. 139 Mason, S. 109 169 McBrady, M. 147—148 McDonald, C 82—84 Mean-reverting default intensities with jumps (MRJ) 64—67 64 69—71 70 129 234—236 Mella-Barral, P. 55 Mello, A. 299 304 Mendelson, H. 135 Merrick, J. J. 171 Merrill Lynch 27 note 7 125 Merton, R. 9 36 53 112 169 202 231 308 Mezhlumian, Arthur 199 note Miller, Merton 12 16 Millken, Michael 48 Miltersen, K. 101 note 1 369 Minimum capital requirements for financial firms 21—22 Minimum capital requirements, Bank for International Settlements guidelines 33—34 39—42 139 Minimum capital requirements, establishing 17—20 MIX-GARCH model 320 321—322 322—323 322 324—325 Modigliani, Franco 12 16 Mody, A. 151 Momentum, in credit rating transitions 87 91—92 Monotonicity, of risk measures 37 Monte Carlo simulation in measuring credit risk 42 Monte Carlo simulation in measuring default risk 241 Monte Carlo simulation in measuring market risk 34 Monte Carlo simulation of default time 260—261 Monte Carlo simulation, credit-risk adjustment 300—301 300 Monte Carlo simulation, integration of market and credit risk 332—334 Moody’s 9 43—44 45 45 46 48 50 53 75 80 82 85—86 86 87—88 91—93 123 123 124 125 142—143 149 150 159 230 242 243 244 265 291 Moody’s Global Credit Research 65—66 Moody’s Investors Service 258—260 260 Moody’s Risk Management Services 57—59 234 234 238—239 243 261 Moral hazard 2 28—29 38 253—255 Morgan Stanley 27 note 7 Morris, C 160 Mortality rate, in bankruptcy prediction 80 Morton, A. 11 71—72 367 MRJ see “Mean-reverting default intensities with jumps” Mullins, D. 80 82 Multi-issuer default model 256—257 Multicompensator method of default-time simulation 244—245 Multivariate hazard construction 245 Myers, S. 21 Nagpal, K. 87 92 Nakazato, D. 142 NationsBank 254—255 Neal, R 160 Netting, of OTC credit derivatives 286 299—300 306—307 310—311 311 Nickell, P. 88 90 90 Nielsen, L. T. 170 note 8 Noe, X 5 Norros, I. 245 Nyborg, K. 215 Nychka, D. 293 Obligor default intensities 255—256 OECD see “Organization for Economic Cooperation and Development” Off-market swap-rate credit spreads 307 OgdenJ. 169 One-sided default risk 296—300 Operational risk, defined 3—4 6 Operational risk, examples of 6—7 Optional credit pricing 10 194—228 Optional credit pricing, callable and convertible corporate debt 194 201—228 Optional credit pricing, rational-exercise American option pricing model 204—206 Optional credit pricing, spread options 194—201 ordered probits of credit ratings 88 92—93 Organization for Economic Cooperation and Development (OECD) 40 41 OTC credit derivatives 4 10 39 OTC credit derivatives, adverse selection and credit exposure 26—27 OTC credit derivatives, asset swaps 190—193 OTC credit derivatives, bilateral netting 286 299—300 306—307 310—311 311f OTC credit derivatives, credit-risk value adjustments 295—304 OTC credit derivatives, currency swaps 311—313 OTC credit derivatives, exposure 38—39 285—295 OTC credit derivatives, forward contracts 296—298 OTC credit derivatives, interest-rate swaps 10—11 287 289—295 298 301—311 OTC credit derivatives, moral hazard 28—29 OTC credit derivatives, options portfolio credit risk 339—343 343 345 OTC credit derivatives, spread options 175 195—197 OTC credit derivatives, swaptions 302 figure 303 OTC credit derivatives, total-return swaps 173—175 (see also “Credit swaps” “Default Overshooting 320 Packer, R 150 Page, M 327 Pages, H. 171 Pakistan, Eurobonds exchange 147—148 149 Pan, J. 128 322 335 337 337 338 340 341 343 344 345 347 350 352 356—359 357 Par spreads 228 figure Par spreads, collateralized debt obligation 268—271 Par-bond spreads 136 Paris Club 149 Partial differential equations (PDE) 304 Patel, S. 81—82 Paul, A. 80 82 PDE see “Partial differential equations” Pearson, N. 305 Pedersen, A. 364—365 Pedersen, L. 135 165 Penn Central Railroad 45 Perfect capital markets 12—13 Performance incentives 25 Perold, A. 36 Perraudin, W. 88 90 90 314 Phelan, M.J. 320 Philippines, bonds of 151 Pirotte, H. 289 Pitts, C. 308 note 13 Plain-vanilla (conventional) options 9 289—291 294 298 306 Potential credit exposure 38—39 Potential exposure 286—288 Powell, J. 77 Prentice, R. 75 Principal-agent effects 20 21 Probit model of bankruptcy prediction 76 78 79 79 Profit centers, allocating risk to 22—23 Profit centers, relative earnings of 25 Profit centers, “bidding” on additional market value 23—24 Profit-loss asymmetries 13—15 14 16—17 18 Progressive tax schedule 16—17 16 Propensity to call 224—225 Proportional-hazards model of bankruptcy prediction 75—76 78 79—80 Proschan, F. 249 note 9—10 Protter, P. 72 note l2 358 Punjabi, S. 252 Pye, G. 109 Pyle, D. 21 Qualitative-response models of bankruptcy prediction 76 78 79 79 Quality pricing 2 RAACE see “Restructuring as a Covered Credit Event” Ramaswamy, K. 170 Ratings momentum 87 91—92 Ratings-transition risk 45 85—92 137—146 Ratings-transition risk, aging effect 87 91—92 Ratings-transition risk, applications 139 Ratings-transition risk, average transition frequencies 85—87 86 87 Ratings-transition risk, calibrating model to historical data 142—146 Ratings-transition risk, defined 8 Ratings-transition risk, gapping risk 9 138—139 Ratings-transition risk, general pricing framework 139—142 Ratings-transition risk, Markov-chain assumption 86—87 90 91 94—99 Ratings-transition risk, multiyear transition probabilities 90 90 Ratings-transition risk, ordered probits of ratings 88 92—93 Ratings-transition risk, ratings risk and business cycle 87—91 Rational-exercise American option pricing model 204—206 Recovery risk 9 125—137 Recovery risk, assumption of independent 155 Recovery risk, collateralized debt obligation 258 Recovery risk, comparing recovery assumptions 135—137 Recovery risk, conditional expected recovery 130—131 Recovery risk, fractional recovery of face value 125—130 135 Recovery risk, fractional recovery of market value 131—135 166 Recovery risk, impact on derivative price 199 200 Recovery risk, sovereign debt 126 147 150—151 Recovery risk, zero-recovery assumption 142—143 Recovery-of-face-value (RFV) 125—130 135—137 185 Recovery-of-market value (RMV) 130—137 166 Recursive-inverse-CDF simulation 246—247 Reduced-form default risk 8—9 43 100 106—111 118—119 Reduced-form default risk, corporate bond valuation with recovery 125—137 Reduced-form default risk, default risk valuation 100 106—111 115 116—117 118—119 127 Reduced-form default risk, yield spread determination 166—169 Reference curves, for credit spreads 162—166 Regime switch risk 147 Regional risk 27 257—258 Regulatory risk 6—7 Reisen, H. 150 Remeza, H. 259—260 272—273 Rendleman, R. 304 note 10 Repo 180 181 Repo special 180—182 Restructuring as a Covered Credit Event (RAACE) 177—178 Restructuring risk 147 Revaluation risk 1—2 RFV see “Recovery-of-face-value” Risk capital 36 Risk management 12—42 Risk management, nature of 14—15 risk management, purpose of 13 14—15 Risk management, state of economy and 15 Risk management, time horizon for 14—15 (see also “Risk measurement” “Specific Risk measurement 29—42 Risk measurement, coherency of 36—37 Risk measurement, conditional expected loss 35—36 35 Risk measurement, delta-gamma approach to 11 326—32 327 331 Risk measurement, key elements 29—30 29 Risk measurement, price of market value insurance 35—36 Risk measurement, selection of risk measure 30 Risk measurement, standard deviation in 22—23 24 Risk measurement, stochastic volatility in 11 Risk measurement, value at risk 31—34 (see also “Credit risk measurement” “Market Risk-free condition, of risk measures 37 Risk-neutral default probabilities 9 100—106 117—121 134—135 Risk-neutral default probabilities, callable and convertible corporate debt 206—209 216 217—219 Risk-neutral default probabilities, default swaps 184 189 Risk-weighted assets 39—42 RiskCalc 125 RiskMetrics 320 339 342 342 RMV see “Recovery-of-market value” Rochet, J.-C. 5 Rogers, C 114 Rogoff, K. 146—147 Rogue traders 6 7 Rolling historical volatility model 319 Rolph, D. 160 Rosenfeld, E. 109 169 Rosenthal, J. 95 95 Ross, S. 66 107 116 256 293 346 351 366 Roubini, N. 147—148 Rubinstein, M. 330 Ruml, E. 299 Russia, debt restructuring (1993—1999) 149 152—155 152 153 172 Russia, financial crisis (1998) 4 10 15 172 Rutkowski, M. 101 note 1 142 367 SaaRequejo, J. 170 note 8 Safety premium, convertible debt 213 Saidenberg, M. 314 Salomon Brothers 4 27 31 Sandmann, K. 101 note 1 Santa-Clara, P. 170 note 8 364—365 Sarig, O. 88 109 Sariniti, D. 169 170 Savings-and-loan debacle 28 Schachermayer, W. 101 Scharfstein, D. 17 Schneller, M. 215 Scholes, M. 9 53 112 169 202 231 Schonbucher, P. 130 154 234 238 Schorin, C 251 254 259 260 261 Schroder, M. 126 note l Schubert, D. 238 Schwartz, E. 55 113 170 171 215 Scott, L. 305 353—354 357 Seasholes, M. 147—148 sec see “Securities and Exchange Commission U.S.” Sectoral risk 27 111 257—258 Securities and Exchange Commission (SEC), U.S. 21 32—33 Selby, M 308 note l3 Senbet, L. 20—21 Setdement risk, as part of credit risk 2—3 Shaked, M 243 note 6 245 Shane, H. 158 Shanthikumar, J. 243 note 6 245 Shareholders, potential conflict between creditors and 18—19 Shareholders, principal-agent effects 20 21 Sharpe ratio 120 121 Sharpe, W. 120 Shimko, D. 202—203 Shin, S. 330 note 7 Short squeeze 182 Short-option aspect 271 Shuffling symmetry 272 Shumway, T. 79 Singleton, K. 122 128 129 131 134 137 138 143 144 154 164 165 171 200 235—237 293 294 305 336 346 347 353 354 357 366 367 368 Sinking-fund tranches 264—265 Sinking-fund tranches, mezzanine-tranche 250 265—271 269 271 273 279 282 Sinking-fund tranches, senior-tranche 250 265—271 269 272 278 282 skewness 315—316 316 317 323 324 Skiadas, C 126 note l Skodeberg, T. 87 92 Smith, C 289
Ðåêëàìà
|
|
Î ïðîåêòå