Structured credit portfolio analysis, baskets & CDOs. (©2007)

• Record Type: Book
• Further Information: Note: Christian Bluhm, Ludger Overbeck.
• Other Names: Bluhm, Christian; Overbeck, Ludger
• Contents: From Single Credit Risks to Credit Portfolios; Modeling Single-Name Credit Risk; Ratings and Default Probabilities; Credit Exposure; Loss Given Default; Modeling Portfolio Credit Risk; Systematic and Idiosyncratic Credit Risk; Loss Distribution of Credit Portfolios; Practicability Versus Accuracy; Default Baskets; Introductory Example: Duo Baskets; First- and Second-to-Default Modeling; Derivation of PD Term Structures; A Time-Homogeneous Markov Chain Approach; A Non-Homogeneous Markov Chain Approach; Extrapolation Problems for PD Term Structures; Duo Basket Evaluation for Multi-Year Horizons; Dependent Default Times; Default Times and PD Term Structures; Survival Function and Hazard Rate; Calculation of Default Time Densities and Hazard; Rate Functions; From Latent Variables to Default Times; Dependence Modeling via Copula Functions; Copulas in Practice; Visualization of Copula Differences and Mathematical; Description by Dependence Measures; Impact of Copula Differences to the Duo Basket; A Word of Caution; Nth-to-Default Modeling; Nth-to-Default Basket with the Gaussian Copula; Nth-to-Default Basket with the Student-t Copula; Nth-to-Default Basket with the Clayton Copula; Nth-to-Default Simulation Study; Evaluation of Cash Flows in Default Baskets; Scenario Analysis; Example of a Basket Credit-Linked Note (CLN); Collateralized Debt and Synthetic Obligations; A General Perspective on CDO Modeling; A Primer on CDOs; Risk Transfer; Spread and Rating Arbitrage; Funding Benefits; Regulatory Capital Relief; CDO Modeling Principles; CDO Modeling Approaches; Introduction of a Sample CSO; A First-Order Look at CSO Performance; Monte Carlo Simulation of the CSO; Implementing an Excess Cash Trap; Multi-Step and First Passage Time Models; Analytic, Semi-Analytic, and Comonotonic CDO Evaluation Approaches; Single-Tranche CDOs (STCDOs); Basics of Single-Tranche CDOs; CDS Indices as Reference Pool for STCDOs; ITraxx Europe Untranched; ITraxx Europe Index Tranches: Pricing, Delta; Hedging, and Implied Correlations; Tranche Risk Measures; Expected Shortfall Contributions; Tranche Hit Contributions of Single Names; Applications: Asset Selection, Cost-to-Securitize; Remarks on Portfolios of CDOs; Some Practical Remarks; Suggestions for Further Reading; Appendix; The Gamma Distribution; The Chi-Square Distribution; The Student-t Distribution; A Natural Clayton-Like Copula Example; Entropy-Based Rationale for Gaussian and Exponential; Distributions as Natural Standard Choices; Tail Orientation in Typical Latent Variable Credit Risk Models; The Vasicek Limit Distribution; One-Factor Versus Multi-Factor Models; Description of the Sample Portfolio; CDS Names in CDX.NA.IG and iTraxx Europe
• Publisher Details: Boca Raton, FL : Chapman & Hall/CRC
• Publication Date: 2007
• Copyright Date: 2007
• Extent: 1 online resource (xvii, 357 pages), illustrations
• Subjects: 332.64/5; Portfolio management; Investment analysis; Investments -- analysis; Financial Management; Gestion de portefeuille; Analyse financière; BUSINESS & ECONOMICS -- Investments & Securities -- General; Investment analysis; Portfolio management; Portfolio-analyse; Wiskundige modellen; Risikoanalyse; Strukturiertes Finanzprodukt; Electronic books
• Languages: English
• ISBNs: 9781420011470; 1420011472; 1584886471; 9781584886471
• Notes: Note: Includes bibliographical references (pages 339-347) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.