The credit derivatives handbook : global perspectives, innovations, and market drivers / Greg N. Gregoriou, Paul U. Ali, editors.

Format:

Book

Contributor:

Gregoriou, Greg N., 1956-

Ali, Paul A. U.

Language:

English

Subjects (All):

Credit derivatives.

Physical Description:

xxiv, 406 pages : illustrations ; 24 cm

Place of Publication:

New York : McGraw-Hill, [2008]

Contents:

Part 1 Innovations in Credit Default Swaps

Chapter 1 The Changing Face of Credit Default Swaps / Paul U. Ali, Jan Job de Vries Robbe 3

Credit Default Swaps 4

Chapter 2 Derivatives in Islamic Finance / Andreas A. Jobst 15

Types of Islamic Finance 17

Implicit Derivatives: Identification and Evaluation 22

Islamic Finance and Structured Finance 31

Explicit Derivatives in Islamic Structured Finance: Credit Risk Transfer 33

Assessment of Derivatives in Islamic Finance 37

Conclusion: The Prospects of Islamic Derivatives 43

Chapter 3 Credit Derivatives and the Resolution of Financial Distress / Stephen J. Lubben 47

Chapter 11 Today 48

Credit Derivatives and the Prebankruptcy Period 49

Credit Derivatives in Chapter 11 52

Chapter 4 Asymmetric Information and Opacity in Credit Derivatives Markets / Antonio Nicolo, Loriana Pelizzon 57

Related Literature 60

The Model 62

Asymmetric Information 65

A Simple Model with Moral Hazard and Adverse Selection 68

Chapter 5 The Role of Macro and Country-Specific Factors on the Use of Credit Derivatives: Sovereign Credit Default Swap Market / Mehmet Orhan, M. Nihat Solakoglu 77

Credit Derivatives: A Brief Overview 78

An Emerging Market Overview: Turkey 82

Data and Methodology 85

Estimation Results 87

Part 2 Pricing Credit Default Swaps

Chapter 6 Pricing Credit Derivatives with a Copula-Based Actuarial Model for Credit Risk / Giovanni Masala, Massimiliano Menzietti, Marco Micocci 95

The Model for Default and Credit Migration 97

Credit Derivatives 104

Chapter 7 Asset Dynamics Estimation and Its Impact on CDS Pricing / Pascal Francois, Georges Hubner 121

No-Arbitrage Pricing of CDS 123

The Structural Model of Credit Risk 125

Estimation of Asset Value Dynamics 127

Empirical Impact 129

Analysis of the Pricing Error 136

Chapter 8 A Unified Approach to the Theory of Default Risk and Credit Derivatives / Francois-Eric Racicot, Raymond Theoret 143

A Simple Model of Credit Risk 145

Normal Events and Rare Events 147

The Poisson Distribution 149

Credit Risk in the Framework of the B&S Differential Equation 150

The Merton Model and its Extensions 151

Dynamic Modeling of the Probability of Default: The Probabilities of Transition 163

Credit Derivatives 169

Other Approaches to Credit Risk 178

Chapter 9 Investigating the Link between Credit Default Swap Spreads and the U.S. Financial Market / Hayette Gatfaoui 183

Data Set 185

Econometric Study 189

Investigating a Joint Evolution 194

Linear Framework 194

Part 3 Design and Pricing of Collateralized Debt Obligations

Chapter 10 Design of Collateralized Debt Obligations: The Impact of Target Ratings on the First Loss Piece / Marc Gurtler, Martin Hibbeln, Sven Olboeter 203

Collateralized Debt Obligations 204

Information Asymmetries in CDO Transactions 212

Portfolio Construction and the Size of the First Loss Piece 217

Chapter 11 On the Pricing of Collateralized Debt Obligations / Raquel M. Gaspar, Thorsten Schmidt 229

Portfolio Credit Derivatives 231

Model and Applications 235

Chapter 12 Pricing Forward-Starting Collateralized Debt Obligations Using Dynamic Copula Processes / Daniel Totouom, Margaret Armstrong 259

Archimedean Copulas within the Credit Framework 263

Dynamic Copulas from a Levy Process Perspective 268

Dynamic Copulas Based on Gamma-OU Process 273

Comparing the Two Dynamic Copula Models 278

Appendix 2 Simulating the Gamma-OU Process 285

Chapter 13 Identifying Systemic and Idiosyncratic Risk from Standardized Single-Tranche Collateralized Debt Obligations / Jorge A. Chan-Lau, Yinqiu Lu 289

A Brief Primer on CDOs 291

Default Probability and Default Correlation in STCDOs 294

Idiosyncratic and Systemic Risk in STCDO Tranches 297

Data and Empirical Framework 297

Results 299

Chapter 14 Default Contagion in Large Homogeneous Portfolios / Alexander Herbertsson 303

Intensity-Based Models in a Homogeneous Model Reinterpreted as Markov Jump Processes 305

Using the Matrix-Analytic Approach to Find Multivariate Default Distributions and Related Quantities 306

Calibrating the Model Parameters against CDO Tranche Spreads, Index CDS Spreads, and Average CDS Spreads 316

Numerical Studies 320

Part 4 Asset Allocation and Credit Derivatives

Chapter 15 An Asset Allocation Problem with Credit Derivatives / Francesco Menoncin 337

The Model 339

The Optimal Portfolio 348

Chapter 16 Synthetic Collateralized-Debt-Obligation-Squared Pricing Methodologies / Dominique Guegan, Julien P. Houdain 361

Synthetic CDO-Squared Structures 364

Synthetic CDO-Squared Pricing 365

Chapter 17 The Role of Credit and Credit Index Derivatives in Portfolio Management: Asset Allocation Issues and Opportunities / R. McFall Lamm, Jr. 379

Credit Market Performance 380

The Role of Riskier Credit in Investment Portfolios 383

Using Index Derivatives to Alter Portfolio Asymmetry Properties 385

Allocation via Active Rules 389.

Notes:

Includes bibliographical references and index.

ISBN:

9780071549523

0071549528

OCLC:

226304759

Online:

Contributor biographical information

Publisher description