Advanced Credit Risk Analysis
Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk
Résumé
The rapid growth of derivative instruments, the majority of which are traded over-the-counter, combined with the creation of credit derivatives, has highlighted the necessity for financial institutions to use more sophisticated methods to value, rather than simply ration their credit risk exposure.
In Advanced Credit Risk Analysis two specialists in the analysis of credit risk present the latest and Most advanced modelling techniques for credit risk pricing and credit risk management, together with a discussion of their application in practice.
Contents
Credit risk pricing
- Introduction to modern credit risk pricing
- Merton's approach : the intuition behind structural
models
- Subsequent financial engeneering
- Stochastic interest rates and credit risk
- Advanced considerations on bankruptcy endogeneity
- Reduced-form/mixed approaches
Credit risk of derivatives
- Swap credit risk pricing
- Credit risk in options : vulnerable options
Theorical Wrap-up and empirical evidence
- Introduction
- Literature wrap-up
- Empirical evidence
A proposition for a structural model
- Introduction
- The pricing model
- Comparative statics
- The practical implementation and final issues
Collateralization, marking-to-market, and their impact on credit risk
- Introduction
- A structural methodology for haircut determination and
the pricing of credit risk with risky collateral
- Credit risk collateral control as an impulse control
problem
Management of credit risk
- Advanced management tools
- Financial structuring with credit derivatives
Appendixes
L'auteur - Didier Cossin
Didier Cossin (Didier Cossin is Professor of Finance at
HEC, University of Lausanne as well as Adjunct Professor at
IMD, Switzerland. He holds a Ph.D. in Business Economics
from Harvard University (Robert C. Merton Thesis Chair) and
is a former Visiting Scholar (Fulbright Fellow) from the
Department of Economics of the Massachusetts Institute of
Technology. He is also a former student from ENS (rue
d'Ulm) Paris. He has taught at Harvard University where he
obtained two Derek Bok Awards for excellence in teaching.
Didier Cossin is currently member of the American Finance
Association, the Financial Management Association and the
European Finance Association. He has taught numerous
executive education courses with major corporations, banks,
central banks and is a consultant with the United Nations
as well as with banks and corporations in Europe and
elsewhere.
L'auteur - Hugues Pirotte
Hugues Pirotte est professeur à la SBS (ULB) et partenaire de FinMetrics. Responsable du module Corporate Finance de l'Académie Suisse d'Expertise Comptable, il est aussi Academic Expert à la Luxembourg School of Finance.
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Wiley |
| Auteur(s) | Didier Cossin, Hugues Pirotte |
| Parution | 15/03/2000 |
| Nb. de pages | 400 |
| Format | 17 x 25 |
| Couverture | Relié |
| Poids | 777g |
| Intérieur | Noir et Blanc |
| EAN13 | 9780471987239 |
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