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Acknowledgments xi
Editors xiii
Contributors xv
Innovations in Credit Default Swaps
The Changing Face of Credit Default Swaps Paul U. Ali Jan Job de Vries Robbe 3
Introduction 3
Credit Default Swaps 4
References 12
Derivatives in Islamic Finance Andreas A. Jobst 15
Introduction 16
Types of Islamic Finance 17
Implicit Derivatives: Identification and Evaluation 22
Islamic Finance and Structured Finance 31
Explicit Derivatives in Islamic Structured Finance: Credit Risk Transfer 33
Assessment of Derivatives in Islamic Finance 37
Conclusion: The Prospects of Islamic Derivatives 43
Acknowledgments 45
References 45
Credit Derivatives and the Resolution of Financial Distress Stephen J. Lubben 47
Introduction 47
Chapter 11 Today 48
Credit Derivatives and the Prebankruptcy Period 49
Credit Derivatives in Chapter 11 52
Conclusion 55
References 55
Asymmetric Information andOpacity in Credit Derivatives Markets Antonio Nicolo Loriana Pelizzon 57
Introduction 57
Related Literature 60
The Model 62
Asymmetric Information 65
A Simple Model with Moral Hazard and Adverse Selection 68
Conclusion 70
Appendix 71
References 75
The Role of Macro and Country-Specific Factors on the Use of Credit Derivatives: Sovereign Credit Default Swap Market Mehmet Orhan M. Nihat Solakoglu 77
Introduction 77
Credit Derivatives: A Brief Overview 78
An Emerging Market Overview: Turkey 82
Data and Methodology 85
Estimation Results 87
Conclusion 89
References 90
Pricing Credit Default Swaps
Pricing Credit Derivatives with a Copula-Based Actuarial Model for Credit Risk Giovanni Masala Massimiliano Menzietti Marco Micocci 95
Introduction 95
The Model for Default and Credit Migration 97
Credit Derivatives 104
Conclusion 116
References 117
Asset Dynamics Estimation and Its Impact on CDS Pricing Pascal Francois Georges Hubner 121
Introduction 122
No-Arbitrage Pricing of CDS 123
The Structural Model of Credit Risk 125
Estimation of Asset Value Dynamics 127
Empirical Impact 129
Analysis of the Pricing Error 136
Conclusion 140
References 141
A Unified Approach to the Theory of Default Risk and Credit Derivatives Francois-Eric Racicot Raymond Theoret 143
Introduction 143
A Simple Model of Credit Risk 145
Normal Events and Rare Events 147
The Poisson Distribution 149
Credit Risk in the Framework of the B&S Differential Equation 150
The Merton Model and its Extensions 151
Dynamic Modeling of the Probability of Default: The Probabilities of Transition 163
Credit Derivatives 169
Other Approaches to Credit Risk 178
Conclusion 178
References 179
Investigating the Link between Credit Default Swap Spreads and the U.S. Financial Market Hayette Gatfaoui 183
Introduction 183
Data Set 185
Econometric Study 189
Investigating a Joint Evolution 194
Linear Framework 194
Conclusion 198
References 198
Design and Pricing of Collateralized Debt Obligations
Design of Collateralized Debt Obligations: The Impact of Target Ratings on the First Loss Piece Marc Gurtler Martin Hibbeln Sven Olboeter 203
Introduction 203
Collateralized Debt Obligations 204
Information Asymmetries in CDO Transactions 212
Portfolio Construction and the Size of the First Loss Piece 217
Conclusion 226
References 226
On the Pricing of Collateralized Debt Obligations Raquel M. Gaspar Thorsten Schmidt 229
Introduction 229
Portfolio Credit Derivatives 231
Model and Applications 235
Conclusion 246
Appendix 246
References 257
Pricing Forward-Starting Collateralized Debt Obligations Using Dynamic Copula Processes Daniel Totouom Margaret Armstrong 259
Introduction 260
Archimedean Copulas within the Credit Framework 263
Dynamic Copulas from a Levy Process Perspective 268
Dynamic Copulas Based on Gamma-OU Process 273
Comparing the Two Dynamic Copula Models 278
Conclusion 278
Appendix 1 282
Simulating the Gamma-OU Process 285
References 286
Identifying Systemic and Idiosyncratic Risk from Standardized Single-Tranche Collateralized Debt Obligations Jorge A. Chan-Lau Yinqiu Lu 289
Introduction 289
A Brief Primer on CDOs 291
Default Probability and Default Correlation in STCDOs 294
Idiosyncratic and Systemic Risk in STCDO Tranches 297
Data and Empirical Framework 297
Results 299
Conclusion 301
References 302
Default Contagion in Large Homogeneous Portfolios Alexander Herbertsson 303
Introduction 304
Intensity-Based Models in a Homogeneous Model Reinterpreted as Markov Jump Processes 305
Using the Matrix-Analytic Approach to Find Multivariate Default Distributions and Related Quantities 306
Calibrating the Model Parameters against CDO Tranche Spreads, Index CDS Spreads, and Average CDS Spreads 316
Numerical Studies 320
Conclusion 330
Acknowledgments 332
References 332
Asset Allocation and Credit Derivatives
An Asset Allocation Problem with Credit Derivatives Francesco Menoncin 337
Introduction 337
The Model 339
The Optimal Portfolio 348
Conclusion 355
Appendix 355
References 358
Synthetic Collateralized-Debt-Obligation-Squared Pricing Methodologies Dominique Guegan Julien P. Houdain 361
Introduction 362
Synthetic CDO-Squared Structures 364
Synthetic CDO-Squared Pricing 365
Conclusion 374
References 376
The Role of Credit and Credit Index Derivatives in Portfolio Management: Asset Allocation Issues and Opportunities R. McFall Lamm, Jr. 379
Introduction 379
Credit Market Performance 380
The Role of Riskier Credit in Investment Portfolios 383
Using Index Derivatives to Alter Portfolio Asymmetry Properties 385
Allocation via Active Rules 389
Conclusion 393
References 393
Index 397
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