Credit Risk Pricing Models : Theory and Practice

This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Whereas the first edition concentrated on the re­ search which I had done in the context of my PhD thesis, this second edition covers all importan...

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Main Author: Schmid, Bernd
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2004, 2004
Edition:2nd ed. 2004
Series:Springer Finance
Subjects:
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
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245 0 0 |a Credit Risk Pricing Models  |h Elektronische Ressource  |b Theory and Practice  |c by Bernd Schmid 
250 |a 2nd ed. 2004 
260 |a Berlin, Heidelberg  |b Springer Berlin Heidelberg  |c 2004, 2004 
300 |a XI, 383 p  |b online resource 
505 0 |a 1. Introduction -- 1.1 Motivation -- 1.2 Objectives, Structure, and Summary -- 2. Modeling Credit Risk Factors -- 2.1 Introduction -- 2.2 Definition and Elements of Credit Risk -- 2.3 Modeling Transition and Default Probabilities -- 2.4 Modeling Recovery Rates -- 3. Pricing Corporate and Sovereign Bonds -- 3.1 Introduction -- 3.2 Asset Based Models -- 3.3 Intensity Based Models -- 4. Correlated Defaults -- 4.1 Introduction -- 4.2 Correlated Asset Values -- 4.3 Correlated Default Intensities -- 4.4 Correlation and Copula Functions -- 5. Credit Derivatives -- 5.1 Introduction to Credit Derivatives -- 5.2 Technical Definitions -- 5.3 Single Counterparty Credit Derivatives -- 5.4 Multi Counterparty Credit Derivatives -- 6. A Three-Factor Defaultable Term Structure Model -- 6.1 Introduction -- 6.2 The Three-Factor Model -- 6.3 The Pricing of Defaultable Fixed and Floating Rate Debt -- 6.4 The Pricing of Credit Derivatives -- 6.5 A Discrete-Time Version of the Three-Factor Model -- 6.6 Fi 
653 |a Finance 
653 |a Economics, Mathematical  
653 |a Finance, general 
653 |a Quantitative Finance 
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520 |a This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Whereas the first edition concentrated on the re­ search which I had done in the context of my PhD thesis, this second edition covers all important credit risk models and gives a general overview of the subject. I put a lot of effort in explaining credit risk factors and show the latest results in default probability and recovery rate modeling. There is a special emphasis on correlation issues as well. The broad range of financial instruments I consider covers not only defaultable bonds, defaultable swaps and single counterparty credit derivatives but is further extended by multi counterparty in­ struments like index swaps, basket default swaps and collateralized debt obligations. I am grateful to Springer-Verlag for the great support in the realiza­ tion of this project and want to thank the readers of the first edition for their overwhelming feedback. Last but not least I want to thank Uli Göser for ongoing patience, en­ couragement, and support, my family and especially my sister Wendy for being there at all times. BemdSchmid Stuttgart, November 2003 Cpntents 1. Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Motivation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Objectives, Structure, and S:ummary . . . . . . . . . . . . . . . . . . . . . . 5 2. Modeling Credit Risk Factors. . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . 2. 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 2. 2 Definition and Elements of Credit Risk . . . . . . . . . . . . . . . . 13 . . . . 2. 3 Modeling Transition and Default Probabilities. . . . . . . . . . . . . 14 . 2. 3. 1 The Historical Method . . . . . . . . . . . . . . . . . . . . . . 15 . . . . .