Credit The complete guide to pricing hedging and risk management 1st Edition by Jon Gregory, Angelo Arvanitis ISBN 978-1899332731 1899332731
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Product details:
ISBN 10: 1899332731
ISBN 13: 978-1899332731
Author: Jon Gregory, Angelo Arvanitis
Short listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance
Provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes.
Emphasises fixed income instruments rather than loans, where stochastic future exposures are modelled accurately.
Examines loans, credit derivatives, interest rate derivatives with risky conterparties and convertible bonds.
Provides a thorough analysis of the pricing and hedging of basket credit derivatives and other credit contingent products.
Adapts credit derivative modelling techniques in order to price and hedge the credit component in fixed income derivatives.
It provides a practical discussion of market frictions that impact credit trading.
Complex theoretical issues are illustrated with an unusually high number of examples, tables and figures that have been designed with the practitioner in mind.
It is self-sufficient. Proofs and technicalities are discussed in the appendices of each chapter.
It has both an appendix of 6 papers and is followed by a glossary.
Table of contents:
PART I-CREDIT RISK MANAGEMENT
1 – Overview of Credit Risk
1.1 Components of Credit Risk
1.2 Factors Determining the Credit Risk of a Portfolio
1.3 Traditional Approaches to Managing Credit Risk
1.4 Market Risk versus Credit Risk
1.5 Historical Data
1.6 An Example of Default Loss Distribution
1.7 Credit Risk Models
1.8 Conclusion
2 – Exposure Measurement
2.1 Introduction
2.2 Exposure Simulation
2.3 Typical Exposures
2.4 Conclusion
3 – A Framework for Credit Risk Management
3.1 Credit Loss Distribution and Unexpected Loss
3.2 Generating the Loss Distribution
3.3 Example – One Period Model
3.4 Multiple Period Model
3.5 Loan Equivalents
3.6 Conclusion
Appendix A – Derivation of the Formulas for Loan Equivalent Exposures
Appendix B – Example Simulation Algorithm
4 – Advanced Techniques for Credit Risk Management
4.1 Analytical Approximations to the Loss Distribution
4.2 Monte Carlo Acceleration Techniques
4.3 Extreme Value Theory
4.4 Marginal Risk
4.5 Portfolio Optimisation
4.6 Credit Spread Model
4.7 Conclusion
PART II – PRICING AND HEDGING OF CREDIT RISK
5 – Credit Derivatives
5.1 Introduction
5.2 Fundamental Credit Products
5.3 Fundamental Ideas on Pricing Credit
5.4 Pricing Fundamental Credit Products
5.5 Credit Spread Options
5.6 Multiple Underlying Products
5.7 Conclusion
6 – Pricing Counterparty Risk in Interest Rate Derivatives
6.1 Introduction
6.2 Overview
6.3 Expected Loss versus Economic Capital
6.4 Portfolio Effect
6.5 The Model
6.6 Interest Rate Swaps
6.7 Cross-Currency Swaps
6.8 Caps and Floors
6.9 Swaptions
6.10 Portfolio Pricing
6.11 Extensions of the Model
6.12 Hedging
6.13 Conclusion
Appendix A – Derivation of the Formula for the Expected Loss on an Interest Rate Swap
Appendix B – The Formula for the Expected Loss on an Interest Rate Cap or Floor
Appendix C – Derivation of the Formula for the Expected Loss on an Interest Rate Swaption (Hull and White Interest Rate Model)
Appendix D – Derivation of the Formula for the Expected Loss on a Cancellable Interest Rate Swap
Appendix E-Market Parameters used for the Computations
7 – Credit Risk in Convertible Bonds
7.1 Introduction
7.2 Basic Features of Convertibles
7.3 General Pricing Conditions
7.4 Interest Rate Model
7.5 Firm Value Model
7.6 Credit Spread Model
7.7 Comparison of the two Models
7.8 Hedging of Credit Risk
7.9 Conclusion
Appendix A – Firm Value Model – Analytic Pricing Formulae
Appendix B – Derivation of Formulae for Trinomial Tree with Default Branch
Appendix C – Effect of Sub-optimal Call Policy
Appendix D – Incorporation of “Smile” in the Firm Value Model
8 – Market Imperfections
8.1 Liquidity Risk
8.2 Discrete Hedging
8.3 Asymmetric Information
8.4 Conclusion
Appendix
1. Credit Swap Valuation – Darrel Duffie
2. Practical use of Credit Risk Models in Loan Portfolio and Counterparty Exposure Management – Robert A. Jarrow and Donald R. van Deventer
3. An Empirical Analysis of Corporate Rating Migration, Default and Recovery – Sean C. Keenan, Lea V. Carty and David T. Hamilton
4. Modelling Credit Migration – Bill Demchak
5. Haircuts for Hedge Funds – Ray Meadows
6. Generalising with HJM – Dmitry Pugachevsky
Glossary
Index
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