Credit Risk : Models and Management
Building upon the work established in the first edition, this fully revised multi-author reference collection brings the reader up-to-date with a complete and cohesive examination on the latest techniques for credit risk assessment and management. Shimko collates and presents practical and timely information on how to use the newest modelling and measurement tools for managing credit risk with specially commissioned chapters, evaluation and comment from leading practitioners and academics actively involved within the industry. The authors utilise statistical evidence backed by astute commentary to provide a modern and relevant explanation on all the various elements of credit risk.
The book is subdivided into five main reference sections - each with introductions to illustrate their significance and explain the main points to be discussed: risky bonds in the portfolio and market context; valuation of risky debt; default probabilities, recoveries and credit ratings; structured credit products; and practitioners' tools to managing credit risk.
Table of Contents
CONTENTS Introduction David Shimko Section 1: Risky Bonds In The Portfolio and Market Context Introduction David Shimko 1 Defaults and Returns in the High-Yield Bond Market: The Year 2003 in Review and Market Outlook Edward I. Altman, Gonzalo Fanjul 2 Portfolio Credit Risk (I) Thomas C. Wilson 3 Portfolio Credit Risk (II) Thomas C. Wilson Section 2: Valuation of Risky Debt Introduction David Shimko 4 On the Pricing of Corporate Debt: The Risk Structure of Interest Rates Robert C. Merton 5 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt Francis A. Longstaff, Eduardo S. Schwartz 6 Credit Risk Revisited Michel Crouhy Dan Galai Robert M. Mark 7 Assessing the Probability of Bankruptcy Stephen A. Hillegeist Elizabeth K. Keating Donald P. Cram Kyle G. Lundstedt Section 3: Default Probabilities, Recoveries and Credit Ratings Introduction David Shimko 8 ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations Edward I. Altman Robert G. Haldeman P. Narayanan 9 What Do We Know About Loss Given Default? Til Schuermann 10 Performance Evaluation for Credit Spread and Default Risk Models Jorge R. Sobehart, Sean C. Keenan 11 Testing Rating Accuracy Bernd Engelmann, Dirk Tasche Section 4: Structured Credit Products Introduction David Shimko 12 Pricing Derivatives on Financial Securities Subject to Credit Risk Robert A. Jarrow Stuart M. Turnbull 13 Credit Swap Valuation Darrell Duffie 14 Comparing the Dependence Structure of Equity and Asset Returns Roy Mashal, Marco Naldi, Assaf Zeevi 15 An Introduction to CDO Modelling and Applications Christian Bluhm Ludger Overbeck Section 5: Practitioners Tools for Managing Credit Risk Introduction David Shimko 16 Credit Risk Modelling and Valuation: An Introduction Kay Giesecke 17 Contributions to Credit Risk Alexandre Kurth Dirk Tasche 18 Enhancing Credit Performance with Market-Implied Credit Measures and Default Swaps Tim Backshall 19 Practical Usage of Credit Risk Models in Loan Portfolio and Counterparty Exposure Management: An Update Robert A. Jarrow Donald R. van Deventer 20 A Comparison of Stochastic Default Rate Models Christopher C. Finger