Book description
A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management
Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.
Table of contents
- Cover
- Series
- Title Page
- Copyright Page
- Foreword
- Part I: Introduction
-
Part II: Credit Portfolio Risk Measurement
- Chapter 3: Mortgage Credit Risk
-
Chapter 4: Credit Portfolio Correlations and Uncertainty
- 4.1 INTRODUCTION
- 4.2 GAUSSIAN AND SEMI-GAUSSIAN SINGLE RISK FACTOR MODEL
- 4.3 INDIVIDUAL AND SIMULTANEOUS CONFIDENCE BOUNDS AND INTERVALS
- 4.4 CONFIDENCE INTERVALS FOR ASSET CORRELATIONS
- 4.5 CONFIDENCE INTERVALS FOR DEFAULT AND SURVIVAL TIME CORRELATIONS
- 4.6 EXAMPLE
- 4.7 CONCLUSION
- APPENDIX
- NOTES
- REFERENCES
- Chapter 5: Credit Portfolio Correlations with Dynamic Leverage Ratios
- Chapter 6: A Hierarchical Model of Tail-Dependent Asset Returns
- Chapter 7: Monte Carlo Methods for Portfolio Credit Risk
- Chapter 8: Credit Portfolio Risk and Diversification
-
Part III: Credit Portfolio Risk Securitization and Tranching
-
Chapter 9: Differences in Tranching Methods: Some Results and Implications
- 9.1 INTRODUCTION
- 9.2 DEFINING A TRANCHE
- 9.3 THE MATHEMATICS OF TRANCHING
- 9.4 THE EL OF A TRANCHE NECESSARILY INCREASES WHEN EITHER THE ATTACHMENT POINT OR THE DETACHMENT POINT IS DECREASED
- 9.5 UPPER BOUND ON TRANCHE EXPECTED LGD (LGDt) ASSUMPTION GIVEN EL-BASED TRANCHES
- 9.6 “SKIPPING” OF SOME TRANCHES IN THE EL-BASED APPROACH
- 9.7 CONCLUSION
- NOTES
- REFERENCES
- Chapter 10: Global Structured Finance Rating
-
Chapter 9: Differences in Tranching Methods: Some Results and Implications
-
Part IV: Credit Derivatives
- Chapter 11: Analytic Dynamic Factor Copula Model
- Chapter 12: Dynamic Modeling of Credit Derivatives
- Chapter 13: Pricing and Calibration in Market Models
-
Chapter 14: Counterparty Credit Risk and Clearing of Derivatives – From the Perspective of an Industrial Corporate with a Focus on Commodity Markets
- 14.1 INTRODUCTION
- 14.2 CREDIT EXPOSURES IN COMMODITY BUSINESS
- 14.3 EX ANTE EXPOSURE-REDUCING TECHNIQUES
- 14.4 EX ANTE RISK-REDUCING TECHNIQUES
- 14.5 EX POST RISK-REDUCING TECHNIQUES
- 14.6 EX POST WORK OUT CONSIDERATIONS
- 14.7 PRACTICAL CREDIT RISK MANAGEMENT AND PRICING
- 14.8 PECULIARITIES OF COMMODITY MARKETS
- 14.9 PECULIARITIES OF COMMODITY RELATED CREDIT PORTFOLIOS
- 14.10 CREDIT RISK CAPITAL FOR A COMMODITY RELATED PORTFOLIO – MEASURED WITH AN EXTENSION OF CREDITMETRICS
- 14.11 CASE STUDY: CREDITRISK+ APPLIED TO A COMMODITY RELATED CREDIT PORTFOLIO
- 14.12 OUTLOOK
- NOTES
- REFERENCES
- Chapter 15: CDS Industrial Sector Indices, Credit and Liquidity Risk
- Chapter 16: Risk Transfer and Pricing of Illiquid Assets with Loan CDS
-
Part V: Regulation
- Chapter 17: Regulatory Capital Requirements for Securitizations
-
Chapter 18: Regulating OTC Derivatives
- 18.1 OVERVIEW
- 18.2 THE WALL STREET TRANSPARENCY AND ACCOUNTABILITY PART OF THE DODD–FRANK ACT OF 2010
- 18.3 EVALUATION OF PROPOSED REFORMS
- 18.4 CLEARING, MARGINS, TRANSPARENCY AND SYSTEMIC RISK OF CLEARINGHOUSES
- 18.5 CONCLUSION: HOW WILL THE DERIVATIVES REFORMS AFFECT GLOBAL FINANCE IN FUTURE?
- APPENDIX A: ITEMS CONCERNING OTC DERIVATIVES LEFT BY THE DODD–FRANK ACT FOR FUTURE STUDY
- APPENDIX B: CURRENT OTC DISCLOSURE PROVIDED BY DEALER BANKS
- APPENDIX C: SOVEREIGN CREDIT DEFAULT SWAPS MARKETS
- NOTES
- REFERENCES
- Chapter 19: Governing Derivatives after the Financial Crisis: The Devil is in the Details
- About the Authors
- Index
Product information
- Title: Credit Securitisations and Derivatives: Challenges for the Global Markets
- Author(s):
- Release date: May 2013
- Publisher(s): Wiley
- ISBN: 9781119963967
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