Credit Risk Modelling

Authors

Introduction

I. PRICING CREDIT RISK

• Credit Derivatives Made Simple

Lane Hughston and Stuart Turnbull

• Applying HJM to Credit Risk

Robert Maksymiuk and Dariusz Gatarek

• The Price of Credit

Philippe Khuong-Huu, Vladimir Finlestein and Bruce Broder

• Price and Probability

Richard Martin, Kevin Thompson and Christopher Browne

• Distance to Default

Marco Avellaneda and Jingyi Zhu

• Equity to Credit Pricing

George Pan

• Getting the Pricing Right

Angelo Arvanitis

• On the Edge of Completeness

Angelo Arvanitis and Jean-Paul Laurent

II. MEASURING DEFAULT RISK

• Measuring Default Accurately

Jorge Sobehart and Sean Keenan

• A Credit Risk Catwalk

Sean Keenan and Jorge Sobehart

• The Need for Hybrid Models

Jorge Sobehart and Sean Keenan

III. DEPENDENCE IN DEFAULTS AND RECOVERIES

• Devil in the Parameters

H. Ugur Koyluoglu, Anil Bangia and Thomas Garside

• Modelling Default Correlation

Krishan Nagpal and Reza Bahar

• How Dependent are Defaults?

Richard Martin, Kevin Thompson and Christopher Browne

• Copulas and Credit Models

Rüdiger Frey, Alexander McNeil and Mark Nyfeler

• Collateral Damage

Jon Frye

• Depressing Recoveries

Jon Frye

IV. VALUE-AT-RISK FOR CREDIT PORTFOLIOS

• Integrating Correlations

Peter Bürgisser, Alexandre Kurth, Armin Wagner and Michael Wolf

• Taking to the Saddle

Richard Martin, Kevin Thompson and Christopher Browne

• Calculating Portfolio Loss

Sandro Merino and Mark Nyfeler

V. BASEL II

• IRB Approach Explained

Tom Wilde

• Pro-cyclicality in the New Basel Accord

D. Wilson Ervin and Tom Wilde

• The Maturity Effect on Credit Risk Capital

Michael Kalkbrener and Ludger Overbeck

VI. ASYMPTOTIC METHODS IN VAR

• Loan Portfolio Value

Oldrich Vasicek

• Probing Granularity

Tom Wilde

• Analytical Approach to Credit Risk Modelling

Michael Pykhtin and Ashish Dev

• Unsystematic Credit Risk

Richard Martin and Tom Wilde

VII. PRICING MULTI-NAME DEFAULT RISK

• Copula Vulnerability

Umberto Cherubini and Elisa Luciano

• Pricing Default Baskets

Wolfgang Schmidt and Ian Ward

• Long or Short in CDOs

Hans Boscher and Ian Ward

• Extreme Events and Default Baskets

Roy Mashal and Marco Naldi

VIII. VALUE-AT-RISK FOR ASSET SECURITISATIONS

• Credit Risk in Asset Securitisations: An Analytical Model

Michael Pykhtin and Ashish Dev

• Coarse-grained CDOs

Michael Pykhtin and Ashish Dev

• Random Tranches

Michael Gordy and David Jones