The credit market handbook : advanced modeling issues
著者
書誌事項
The credit market handbook : advanced modeling issues
(Wiley finance series)
J. Wiley & Sons, c2006
- : cloth
大学図書館所蔵 全2件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references and index
内容説明・目次
内容説明
In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to todaya s dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default. In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include: aeo Estimating default probabilities implicit in equity prices aeo Structural versus reduced form models: a new information--based perspective aeo Valuing high--yield bonds aeo Predictions of default probabilities in structural models of debt aeo And much more Filled with in--depth insight and expert advice, this invaluable resource offers you the critical information you need to succeed within todaya s credit market.
目次
Introduction. Executive Chapter Summaries. CHAPTER 1: Estimating Default Probabilities Implicit in Equity Prices (Tibor Janosi, Robert Jarrow, and Yildiray Yildirim). Introduction. The Model Structure. Description of the Data. Estimation of the State Variable Process Parameters. Equity Return Estimation. Analysis of the Time Series Properties of the Parameters. Analysis of Fama--French Four--Factor Model with No Default. Analysis of a Bubble Component (P/E ratio) in Stock Prices. Analysis of the Default Intensity. Relative Performance of the Equity Return Models. Comparison of Default Intensities Based on Debt versus Equity. Conclusions. Notes. References. Appendix. CHAPTER 2: Predictions of Default Probabilities in Structural Models of Debt (Hayne E. Leland). Introduction. Recent Empirical Studies. Structural Models and Default Risk. The Default Boundary in Exogenous and Endogenous Cases. The Default Probability with Constant Default Barrier. Calibration of Models: The Base Case. Matching Empirical Default Frequencies with the L--T Model. Matching Empirical DPS with the L--S Model. The Moody's--KMV Approach. Some Preliminary Thoughts on the Relationship Between the KMV Approach and L--S/L--T. Conclusions. Acknowledgments. Postscript. Appendix. Notes. References. CHAPTER 3: Survey of the Recent Literature: Recovery Risk (Sanjiv R. Das). Introduction. Empirical Attributes. Recovery Conventions. Recovery in Structural Models. Recovery in Reduced--Form Models. Measure Transformations. Summary and Speculation. References. CHAPTER 4: Non--Parametric Analysis of Rating Transition and Default Data (Peter Fledelius, David Lando, and Jens Perch Nielsen). Introduction. Data and Outline of Methodology. Estimating Transition Intensities in Two Dimensions. One--Dimensional Hazards and Marginal Integration. Confidence Intervals. Transitions: Dependence on Previous Move and Duration. Multiplicative Intensities. Concluding Remarks. Acknowledgments. Notes. References. CHAPTER 5: Valuing High--Yield Bonds: A Business Modeling Approach (Thomas S. Y. Ho and Sang Bin Lee). Introduction. Specification of the Model. A Numerical Illustration. Empirical Evidence. Implications of the Model. Conclusions. Acknowledgments. Appendix. Notes. References. CHAPTER 6: Structural versus Reduced--Form Models: A New Information--Based Perspective (Robert A. Jarrow and Philip Protter). Introduction. The Setup. Structural Models. Reduced--Form Models. A Mathematical Overview. Observable Information Sets. Conclusion. Acknowledgment. Notes. References. CHAPTER 7: Reduced--Form versus Structural Models of Credit Risk: A Case Study of Three Models (Navneet Arora, Jeffrey R. Bohn, and Fanlin Zhu). Introduction. Merton, Vasicek--Kealhofer, and Hull--White Models. Data and Empirical Methodology. Results. Conclusion. Acknowledgments. Notes. References. CHAPTER 8: Implications of Correlated Default for Portfolio Allocation to Corporate Bonds (Mark B. Wise and Vineer Bhansali). Introduction. A Model for Default. The Portfolio Problem. Sample Portfolios with Zero Recovery Fractions. Sample Portfolios with Nonzero Recovery Fractions. Concluding Remarks. Acknowledgments. Notes. References. CHAPTER 9: Correlated Default Processes: A Criterion--Based Copula Approach (Sanjiv R. Das and Gary Geng). Introduction. Description of the Data. Copulas and Features of the Data. Determining the Joint Default Process. Simulating Correlated Defaults and Model Comparisons. Discussion. Acknowledgments. Appendix: The Skewed Double Exponential Distribution. Notes. References. Index.
「Nielsen BookData」 より