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Credit Risk : Models, Derivatives, and Management. 信用リスク－モデル・デリバティブと管理
・ISBN 978-1-58488-994-6 hard GB£ 210.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-0-429-14465-3
| 著者・編者 | Wagner, Niklas (ed.), |
|---|---|
| シリーズ | Chapman & Hall/CRC Financial Mathematics Series |
| 出版社 | (CRC Pr., US) |
| 出版年月 | 2008 |
| ページ数 | 598 pp. |
| 言語 | ENG |
| ニュース番号 | ＜549-283 549-513＞ |
解説
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results.
Divided into six sections, the book
* Explores the rapidly developing area of credit derivative products, including iTraxx Futures, iTraxx Default Swaptions, and constant proportion debt obligations
* Addresses the relationships between the DJ iTraxx credit default swap (CDS) index and the stock market as well as CDS spreads and macroeconomic factors
* Investigates systematic and firm-specific default risk factors, compares CDS pricing results from the CreditGrades industry benchmark to a trinomial tree approach, and applies the Hull-White intensity-based model to the pricing of names from the CDX index
* Analyzes aggregate default and recovery rates on corporate bond defaults over a twenty-year period, the responses of hazard rates to changes in a set of economic variables, low-default portfolios, and tests on the accuracy of the Basel II framework
* Describes benchmark models of implied credit correlation risk, copula-based default dependence concepts, the fit of various copula models, and a common factor model of systematic credit risk
* Studies the pricing of options on single-name CDSs, the pricing of credit derivatives, collateralized debt obligation (CDO) price data, the pricing of CDO tranches, applications of Gaussian and Student's t copula functions, and the pricing of CDOs
Using mathematical models and methodologies, this volume provides the essential knowledge to properly manage credit risk and make sound financial decisions.