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Derivative Credit Risk

Derivative Credit Risk

Derivative Credit Risk

Publisher: Risk Books
ISBN: 9781899332489
Published In: September 1999
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Focuses on uncertain credit exposure and the range of challenges facing institutions wishing to achieve optimal credit risk management.

Completely revised and updated edition
New writing examines a range of issues including uncertain credit exposures, risk migration and aggregation and credit risk as part of the entire risk management strategy
Includes three main sections: management and measurement; simulation and state variables; and portfolio diversification and hedging
Analyses credit risk as part of the entire risk management strategy

Introduction

DAVID LANDO

Derivative Credit Risk: The Modelling Perspective

COLIN ALEXANDER

An Empirical Analysis of Corporate Rating Migration, Default and Recovery

SEAN KEENAN / LEA CARTY

Capital Allocation: A Capital Problem

JESSICA JAMES

Managing Default Risk in Portfolios of Derivatives

STEPHEN KEALHOFER

Simulating for the Long-Term

ALVIN KURUC / MICHAEL BRADLEY

Integrated Risk Management

JAMES LAM

The Value-at-Risk Approach to Credit Risk Measurement

DAVID LAWRENCE

Measuring Credit Risk and Required Capital

DOUGLAS LUCAS

Integrated Credit Risk Management

BOB MARK

Managing the Credit Risk of Credit Derivatives Portfolios

TOM MCNERNEY

Hedging Derivative Credit Risk

JOHAN BEUMEE / BIANCA HILBERINK / SAMIR PATEL / PETER WALSH

Credit Default Swaps: Transferring Corporate & Sovereign Credit Risk

MARY ROONEY

Aggregating Market-Driven Credit Exposures: A Multiple Risk Source Approach

DAVID M ROWE / MICHAEL MULHOLLAND NEW

“The classic text on derivatives’ credit risk. The focus is on derivatives in the capital markets. However, the issues and modelling solutions are applicable to all OTC derivatives markets, and especially the energy markets“

Glyn Holton, Contingency Analysis

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