An Introduction to Credit Risk Modeling, Vol. 1 Book

1	The Basics of Credit Risk Management	15
1.1	Expected Loss	16
1.2	Unexpected Loss	28
1.3	Regulatory Capital and the Basel Initiative	51
2	Modeling Correlated Defaults	55
2.1	The Bernoulli Model	56
2.2	The Poisson Model	62
2.3	Bernoulli Versus Poisson Mixture	65
2.4	An Overview of Today's Industry Models	66
2.5	One-Factor/Sector Models	83
2.6	Loss Distributions by Means of Copula Functions	103
2.7	Working Example: Estimation of Asset Correlations	113
3	Asset Value Models	123
3.1	Introduction and a Small Guide to the Literature	123
3.2	A Few Words about Calls and Puts	124
3.3	Merton's Asset Value Model	133
3.4	Transforming Equity into Asset Values: A Working Approach	141
4	The CreditRisk[superscript +] Model	149
4.1	The Modeling Framework of CreditRisk[superscript +]	150
4.2	Construction Step 1: Independent Obligors	153
4.3	Construction Step 2: Sector Model	154
5	Alternative Risk Measures and Capital Allocation	165
5.1	Coherent Risk Measures and Conditional Shortfall	166
5.2	Contributory Capital	171
6	Term Structure of Default Probability	183
6.1	Survival Function and Hazard Rate	183
6.2	Risk-neutral vs. Actual Default Probabilities	186
6.3	Term Structure Based on Historical Default Information	188
6.4	Term Structure Based on Market Spreads	205
7	Credit Derivatives	211
7.1	Total Return Swaps	212
7.2	Credit Default Products	214
7.3	Basket Credit Derivatives	218
7.4	Credit Spread Products	229
7.5	Credit-linked Notes	232
8	Collateralized Debt Obligations	237
8.1	Introduction to Collateralized Debt Obligations	237
8.2	Different Roles of Banks in the CDO Market	253
8.3	CDOs from the Modeling Point of View	264
8.4	Rating Agency Models: Moody's BET	271
8.5	Conclusion	279
8.6	Some Remarks on the Literature	280
	References	283
	Index	292