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by Vincent Dessain, Hideto Motohashi, Anders Sjöman, George Chacko
Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments
Title Page
Copyright Page
Contents
About the Authors
Acknowledgments
Part I. What is Credit Risk
1. Introduction
A Disease Known as Credit Risk
Curing Credit Risk: Credit Derivatives
Who Suffers from Credit Risk?
How to Read This Book
Endnotes
2. About Credit Risk
The Building Blocks of Credit Risk
Credit Risk Definition
Measuring Credit Risk Through Credit Spread
Evaluating Default Probability: Credit Rating Agencies
Credit Risk Statistics
Credit Derivatives
Credit Derivatives Market
Endnotes
Part II. Credit Risk Modeling
3. Modeling Credit Risk: Structural Approach
What Do Credit Risk Models Do?
Structural Credit Risk Models
Review of Options
The Merton Model
Extending the Merton Model
Appendix to Chapter 3. The Longstaff and Schwartz Model
An Example of Applying Longstaff and Schwartz
Endnotes
4. Modeling Credit Risk: Alternative Approaches
Empirical Models of Default, or Credit Scoring Models
Reduced Form Modeling
Appendix to Chapter 4
Finding Default Intensity
Example Using Jarrow-Turnbull
Sensitivity Analysis of Jarrow-Turnbull Model
Endnotes
Part III. Typical Credit Derivatives
5. Credit Default Swaps
What Are Swaps?
Credit Default Swaps Defined
Pricing CDSs
The CDS Market
Endnotes
6. Collateralized Debt Obligations
The Mechanics of CDOs
CDO Credit Enhancement
The CDO Market
Appendix to Chapter 6. Pricing a CDO
Pricing a CDO: The Theory
An Alternative CDO Pricing Method: The Copula Function
Endnotes
7. Applications of Credit Derivatives and Financial Engineering
Power Plant Conversion
Capital Efficiency
Synthetic Credit Risk
Securitized Risk Conveyance
Endnotes
Index
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