THE CREDIT MARKET HANDBOOK：ADVANCED MODELING ISSUES
商品資訊
商品簡介
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:
* Estimating default probabilities implicit in equity prices
* Structural versus reduced form models: a new information-based perspective
* Valuing high-yield bonds
* Predictions of default probabilities in structural models of debt
* And much more
Filled with in-depth insight and expert advice, this invaluable resource offers you the critical information you need to succeed within today's credit market.
作者簡介
目次
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.
您曾經瀏覽過的商品
購物須知
外文書商品之書封，為出版社提供之樣本。實際出貨商品，以出版社所提供之現有版本為主。部份書籍，因出版社供應狀況特殊，匯率將依實際狀況做調整。
無庫存之商品，在您完成訂單程序之後，將以空運的方式為你下單調貨。為了縮短等待的時間，建議您將外文書與其他商品分開下單，以獲得最快的取貨速度，平均調貨時間為1~2個月。
為了保護您的權益，「三民網路書店」提供會員七日商品鑑賞期(收到商品為起始日)。
若要辦理退貨，請在商品鑑賞期內寄回，且商品必須是全新狀態與完整包裝(商品、附件、發票、隨貨贈品等)否則恕不接受退貨。