内容

目次

Preface xi Acknowledgments xiii 1. Introduction 1 1.1. A BriefZoology of Risks 3 1.2. Organization of Topics 7 2. Economic Principles ofRisk Management 12 2.1. What Types of Risk Count Most?13 2.2. Economics ofMarket Risk 15 2.3. Economic Principles of Credit Risk 26 2.4. RiskMeasurement 29 2.5. Measuring Credit Risk 38 3. Default Arrival: HistoricalPatterns and Statistical Models 43 3.1. Introduction 43 3.2. StructuralModels of Default Probability 53 3.3. From Theor to Practice: Using Distanceto Default to Predict Default 57 3.4. Default Intensity 59 3.5. Examples ofIntensity Models 64 3.6. Default-Time Simulation 72 3.7. StatisticalPrediction of Bankruptcy 74 4. Ratings Transitions: Historical Patterns andStatistical Models 85 4.1. Average Transition Frequencies 85 4.2. RatingsRisk and the Business Cycle 87 4.3. Ratings Transitions and Aging 91 4.4.Ordered Probits of Ratings 92 4.5. Ratings as Markov Chains 94 5.Conceptual Approaches to Valuation of Default Risk 100 5.1. Introduction 1005.2. Risk-Neutral versus Actual Probabilities 102 5.3. Reduced-Form Pricing106 5.4. Structural Models 112 5.5. Comparisons of Model-Implied Spreads114 5.6. From Actual to Risk-Neutral Intensities 118 6. Pricing Corporateand Sovereign Bonds 122 6.1. Uncertain Recover 122 6.2. Reduced-FormPricing with Recover 125 6.3. Ratings-Based Models of Credit Spreads 1376.4. Pricing Sovereign Bonds 146 7. Empirical Models of Defaultable BondSpreads 156 7.1. Credit Spreads and Economic Activity 156 7.2. ReferenceCurves for Spreads 162 7.3. Parametric Reduced-Form Models 166 7.4.Estimating Structural Models 169 7.5. Parametric Models of Sovereign Spreads171 8. Credit Swaps 173 8.1. Other Credit Derivatives 173 8.2. The BasicCredit Swap 175 8.3. Simple Credit-Swap Spreads 178 8.4. Model-Based CDSRates 185 8.5. The Role of Asset Swaps 190 9. Optional Credit Pricing 1949.1. Spread Options 194 9.2. Callable and Convertible Corporate Debt 2019.3. A Simple Convertible Bond Pricing Model 215 10. Correlated Defaults 22910.1. Alternative Approaches to Correlation 229 10.2. CreditMetricsCorrelated Defaults 230 10.3. Correlated Default Intensities 233 10.4.Copula-Based Correlation Modeling 237 10.5. Empirical Methods 242 10.6.Default-Time Simulation Algorithms 243 10.7. Joint Default Events 247 11.Collateralized Debt Obligations 250 11.1. Introduction 250 11.2. SomeEconomics of CDOs 252 11.3. Default-Risk Model 255 11.4. Pricing Examples260 11.5. Default Loss Analytics 271 11.6. Computation of Diversity Scores280 12. Over-the-Counter Default Risk and Valuation 285 12.1. Exposure 28512.2. OTC Credit Risk Value Adjustments 295 12.3. Additional Swap CreditAdjustments 304 12.4. Credit Spreads on Currency Swaps 311 13. IntegratedMarket and Credit Risk Measurement 314 13.1. Market Risk Factors 315 13.2.Delta-Gamma for Derivatives with Jumps 326 13.3. Integration of Market andCredit Risk 332 13.4. Examples of VaR with Credit Risk 334 Appendix AIntroduction to Affine Processes 346 Appendix B Econometrics of AffineTerm-Structure Models 362 Appendix C HJM Spread Curve Models 367 References371 Index 385