Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments

Index

A

ABSs (asset-backed securities), 198

Acme, Inc., balance sheets, 67

adjusted market value, 223

advance rates, market-value CDOs, 223-224

Altman’s initial Z-score paper, 128-129

Altman, Edward I., 125, 129

American option, 72

arbitrage CDOs versus balance-sheet CDOs, 229

arbitrage motivated CDOs, 204-205

arrival rate, 136

arrivals, 135

asset price volatility, 87

asset value

comparing Black and Cox model and Merton model, 114

sensitivity analysis of Merton model, 104-106

asset value models, 66

asset volatility

comparing Black and Cox model and Merton model, 115

sensitivity analysis of Merton model, 101-102

asset-backed securities (ABSs), 198

assets, 66

attachment point, 201

B

bad loans, 3

balance sheets

balance sheet motivated CDOs, 203 ...