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Produktbild: Credit Securitisations and Derivatives

Credit Securitisations and Derivatives Challenges for the Global Markets

Aus der Reihe Wiley Finance Series

Fr. 123.00

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Verlag

John Wiley & Sons

Seitenzahl

462

Maße (L/B/H)

25.3/17.4/3 cm

Gewicht

937 g

Auflage

2. Auflage

Sprache

Englisch

ISBN

978-1-119-96396-7

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Verlag

John Wiley & Sons

Seitenzahl

462

Maße (L/B/H)

25.3/17.4/3 cm

Gewicht

937 g

Auflage

2. Auflage

Sprache

Englisch

ISBN

978-1-119-96396-7

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  • Produktbild: Credit Securitisations and Derivatives
  • Foreword xiii

    PART I INTRODUCTION

    1 Credit Securitizations and Derivatives 3

    1.1 Economic Cycles and Credit Portfolio Risk 3

    1.2 Credit Portfolio Risk Measurement 6

    1.3 Credit Portfolio Risk Tranching 7

    1.4 Credit Ratings 7

    1.5 Actuarial vs. Market Credit Risk Pricing 7

    1.6 Regulation 8

    1.7 Thank You 9

    References 9

    2 Developments in Structured Finance Markets 11

    2.1 Impairments of Asset-Backed Securities and Outstanding Ratings 11

    2.2 Issuance of Asset-backed Securities and Outstanding Volume 17

    2.3 Global CDO Issuance and Outstanding Volume 19

    Concluding Remarks 29

    Notes 29

    References 31

    PART II CREDIT PORTFOLIO RISK MEASUREMENT

    3 Mortgage Credit Risk 35

    3.1 Introduction 35

    3.2 Five "C"s of Credit and Mortgage Credit Risk 38

    3.3 Determinants of Mortgage Default, Loss Given Default and Exposure at Default 41

    3.3.1 Determinants of Mortgage Default 41

    3.3.2 Determinants of Mortgage LGD 43

    3.3.3 Determinants of Mortgage EAD 48

    3.4 Modeling Methods for Default, LGD and EAD 48

    3.5 Model Risk Management 48

    3.6 Conclusions 51

    References 51

    4 Credit Portfolio Correlations and Uncertainty 53

    4.1 Introduction 53

    4.2 Gaussian and Semi-Gaussian Single Risk Factor Model 54

    4.3 Individual and Simultaneous Confidence Bounds and Intervals 55

    4.4 Confidence Intervals for Asset Correlations 57

    4.5 Confidence Intervals for Default and Survival Time Correlations 59

    4.5.1 Confidence Intervals for Default Correlations 60

    4.5.2 Confidence Intervals for Survival Time Correlations 61

    4.6 Example 63

    4.7 Conclusion 65

    Appendix 66

    Notes 69

    References 69

    5 Credit Portfolio Correlations with Dynamic Leverage Ratios 71

    5.1 Introduction 71

    5.2 The Hui et al. (2007) Model 72

    5.2.1 The Method of Images for Constant Coefficients 73

    5.2.2 The Method of Images for Time-Varying Coefficients 74

    5.3 Modelling Default Correlations in a Two-Firm Model 75

    5.3.1 Default Correlations 75

    5.3.2 A Two-Firm Model with Dynamic Leverage Ratios 75

    5.3.3 Method of Images for Constant Coefficients at Certain Values of rho12 78

    5.3.4 Method of Images for Time-Varying Coefficients at Certain Values of rho12 79

    5.3.5 Alternative Methodologies for General Values of rho12 81

    5.4 Numerical Results 81

    5.4.1 Accuracy 83

    5.4.2 The Impact of Correlation between Two Firms 84

    5.4.3 The Impact of Dfferent Credit Quality Paired Firms 86

    5.4.4 The Impact of Volatilities 87

    5.4.5 The Impact of Drift Levels 88

    5.4.6 The Impact of Initial Value of Leverage Ratio Levels 89

    5.4.7 Impact of Correlation between Firms and Interest Rates 89

    5.4.8 The Price of Credit-Linked Notes 91

    5.5 Conclusion 92

    Notes 93

    References 94

    6 A Hierarchical Model of Tail-Dependent Asset Returns 95

    6.1 Introduction 95

    6.2 The Variance Compound Gamma Model 97

    6.2.1 Multivariate Process for Logarithmic Asset Returns 97

    6.2.2 Dependence Structure 101

    6.2.3 Sampling 105

    6.2.4 Copula Properties 105

    6.3 An Application Example 110

    6.3.1 Portfolio Setup 110

    6.3.2 Test Portfolios 113

    6.3.3 Parameter Setup 113

    6.3.4 Simulation Results 114

    6.4 Importance Sampling Algorithm 116

    6.5 Conclusions 120

    Appendix A: The VCG Probability Distribution Function 121

    Appendix B: HAC Representation for the VCG Framework 123

    Notes 124

    References 124

    7 Monte Carlo Methods for Portfolio Credit Risk 127

    7.1 Introduction 127

    7.2 Modeling Credit Portfolio Losses 128

    7.2.1 Risk Measures 128

    7.2.2 Modeling Dependency 129

    7.3 Estimating Risk Measures via Monte Carlo 129

    7.3.1 Crude Monte Carlo Estimators 130

    7.3.2 Importance Sampling 131

    7.4 Specific Models 133

    7.4.1 The Bernoulli Mixture Model 133

    7.4.2 Factor Models 135

    7.4.3 Copula Models 139

    7.4.4 Intensity Models 143

    7.4.5 An Example Point Process Model 145

    Appendix A: A Primer on Rare-event Simulation 146

    7.A.