Credit risk modelling: facts, theory and applications

by Benzschawel, Terry

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Title Statements

Full title :Credit risk modelling : facts, theory and applications / by Terry Benzschawel.

Edition Statements

Publication Date:©2012.

Publication Statements

Publisher(s):Risk Books
Place of Publication:London
Language:eng
Publication Date:©2012.

The Physical Object

Description:xxi, 502 pages : : illustrations ; : 24 cm

Edition Identifiers

ISBN:1906348588, 9781906348588
oclc:ocn783736934
LC Classification:HG3751
Dewey Decimal:332.7

Credit risk -- Rating agencies, default rates, and loss given default -- Bond yields, credit spreads and their relation to default -- Fundamental analysis and statistical models -- Statistical and reduced-form credit models -- Structural and hybrid credit models -- Market implied default models -- Models of loss given default -- Credit momentum, beta, and relative value -- Estimating losses on credit portfolios -- Optimising risk and return in credit portfolios -- Analysing portfolio risk and relative value -- Structured credit products -- Default contingent cash flows -- Cash flow model for credit default swaps -- Pricing corporate loans -- Hedging liquidity risk with tradable assets -- Cross-sector analysis and portfolio optimisation.

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