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＜電子ブック＞
Credit Risk Pricing Models : Theory and Practice / by Bernd Schmid
(Springer Finance. ISSN:21950687)

版	2nd ed. 2004.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2004
本文言語	英語
大きさ	XI, 383 p : online resource
著者標目	*Schmid, Bernd author SpringerLink (Online service)
件　名	LCSH:Finance LCSH:Social sciences -- Mathematics  全ての件名で検索 FREE:Financial Economics FREE:Mathematics in Business, Economics and Finance
一般注記	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 Fitting the Model to Market Data -- 6.7 Portfolio Optimization under Credit Risk -- A. Some Definitions of S&P -- A.1 Definition of Credit Ratings -- A.1.1 Issue Credit Ratings -- A.1.2 Issuer Credit Ratings -- A.2 Definition of Default -- A.2.1 S&P’s definition of corporate default -- A.2.2 S&P’s definition of sovereign default -- B. Technical Proofs -- B.1 Proof of Lemma 6.2.1 -- B.3 Proofs of Lemma 6.3.1 and Lemma 6.4.2 -- B.4 Proof of Lemma 6.4.3 -- B.5 Tools for Pricing Non-Defaultable Contingent Claims -- C. Pricing of Credit Derivatives: Extensions -- List of Figures -- List of Tables -- References 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 . . . . . HTTP:URL=https://doi.org/10.1007/978-3-540-24716-6

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