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Credit Risk Pricing Models

Theory and Practice

  • Book
  • © 2004

Overview

Authors:
  1. Bernd Schmid

    1. risklab germany GmbH, Munich, Germany

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  • Contains the latest developments in credit risk research
  • Gives a broad overview of credit risk models

Part of the book series: Springer Finance (FINANCE)

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Table of contents (6 chapters)

  1. Front Matter

    Pages I-XI
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  2. Introduction

    • Bernd Schmid
    Pages 1-11

  3. Modeling Credit Risk Factors

    • Bernd Schmid
    Pages 13-97

  4. Pricing Corporate and Sovereign Bonds

    • Bernd Schmid
    Pages 99-123

  5. Correlated Defaults

    • Bernd Schmid
    Pages 125-136

  6. Credit Derivatives

    • Bernd Schmid
    Pages 137-178

  7. A Three-Factor Defaultable Term Structure Model

    • Bernd Schmid
    Pages 179-325

  8. Back Matter

    Pages 327-383
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Keywords

About this book

This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Whereas the first edition concentrated on the re­ search which I had done in the context of my PhD thesis, this second edition covers all important credit risk models and gives a general overview of the subject. I put a lot of effort in explaining credit risk factors and show the latest results in default probability and recovery rate modeling. There is a special emphasis on correlation issues as well. The broad range of financial instruments I consider covers not only defaultable bonds, defaultable swaps and single counterparty credit derivatives but is further extended by multi counterparty in­ struments like index swaps, basket default swaps and collateralized debt obligations. I am grateful to Springer-Verlag for the great support in the realiza­ tion of this project and want to thank the readers of the first edition for their overwhelming feedback. Last but not least I want to thank Uli Göser for ongoing patience, en­ couragement, and support, my family and especially my sister Wendy for being there at all times. BemdSchmid Stuttgart, November 2003 Cpntents 1. Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Motivation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Objectives, Structure, and S:ummary . . . . . . . . . . . . . . . . . . . . . . 5 2. Modeling Credit Risk Factors. . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . 2. 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 2. 2 Definition and Elements of Credit Risk . . . . . . . . . . . . . . .. 13 . . . . 2. 3 Modeling Transition and Default Probabilities. . . . . . . . . . . . . 14 . 2. 3. 1 The Historical Method . . . . . . . . . . . . . . . . . . . . . . 15 . . . . . .

Authors and Affiliations

  • risklab germany GmbH, Munich, Germany

    Bernd Schmid

Bibliographic Information

  • Book Title: Credit Risk Pricing Models

  • Book Subtitle: Theory and Practice

  • Authors: Bernd Schmid

  • Series Title: Springer Finance

  • DOI: https://doi.org/10.1007/978-3-540-24716-6

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2004

  • Hardcover ISBN: 978-3-540-40466-8Published: 21 January 2004

  • Softcover ISBN: 978-3-642-07335-9Published: 26 March 2011

  • eBook ISBN: 978-3-540-24716-6Published: 07 November 2012

  • Series ISSN: 1616-0533

  • Series E-ISSN: 2195-0687

  • Edition Number: 2

  • Number of Pages: XI, 383

  • Additional Information: Originally published with the title "Pricing Credit Linked Financial Instruments" as volume 516 in the series: Lecture Notes in Economics and Mathematical Systems

  • Topics: Finance, general, Quantitative Finance

  • Industry Sectors: Biotechnology, Finance, Business & Banking

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