Structured Credit Products : Pricing, Rating, Risk Management and Basel II - Perraudin, William

Structured Credit Products : Pricing, Rating, Risk Management and Basel II

William Perraudin

Yayınevi: Risk Books

Yayın tarihi: 09/2004

ISBN: 9781904339267

Ciltli | İngilizce | 392 Sayfa |

Tür: Ekonomi

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CONTENTS

Section 1: Pricing 1. A Survey of Dependency Modelling: Copulas, Tail Dependence and Estimation Rudiger Kiesel
Rafael Schmidt University of Ulm
LSE 2. Pricing European Structured Product Securities Alexander Batchvarov Merrill Lynch 3. On Correlation in Intensity Models David Lando Copenhagen Business School Section 2: Rating 4. Rating Transitions in Global Structured Finance Jian Hu Moody's Investors Service 5. Credit Risk Analysis and Structured Finance Ratings: Qualitative and Quantitative Methods Kai Gilkes, Nobert Jobst Standard and Poor's 6. CDOs and Correlation Analysis Richard V. Hrvatin, Matthias Neugebauer Fitch 7. The Impact of Credit Rating Changes on the Pricing of Asset-Backed Securities John Ammer, Nathanael Clinton Federal Reserve Board Section 3: Risk Management 8. A Survey of CDOs and Their Use in Bank Balance Sheet Management Domenico Picone Royal Bank of Scotland 9. Asymptotic Model of Economic Capital for Securitisations Michael Pykhtin KeyCorp 10. A Comparative Analysis of CDO Risk Models Olivier Renault

Tom Dewyspelaere, Joao B.C. Garcia Standard and Poor's

Dexia Group 11. Patterns of Risk Diversification in a Securitisation Jeroen de Smet, Viktor Tchistiakov ING Group 12. How Risky are Structured Exposures Compared with Corporate Bonds? William Perraudin

Astrid Van Landschoot Imperial College and Bank of England

National Bank of Belgium Section 4: Basel II 13. Model Foundations for the Supervisory Formula Approach Michael Gordy Federal Reserve Board 14. Capital for Structured Products Vlad Peretyatkin

William Perraudin Birkbeck College

Imperial College and Bank of England 15. An Empirical Test of Basel Risk Weights Applied to Securitisation Alexander Batchvarov

Domenico Picone
Peter-Paul Hoogbruin
Jeroen de Smet
Viktor Tchistiakov Merrill Lynch
Royal Bank of Scotland
ING Group 16. The IRBA treatment of Purchased Receivables Ruediger Gebhard BaFin

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