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
Table of Contents:
  • 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