The Credit Market Handbook

Advanced Modeling Issues

H. Gifford Fong

250 pages, parution le 06/04/2006

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Résumé

In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default.

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.

Sommaire

Estimating Default Probabilities Implicit in Equity Prices
Predictions of Default Probabilities in Structural Models of Debt
Survey of the Recent Literature: Recovery Risk
Non-Parametric Analysis of Rating Transition and Default Data
Valuing High-Yield Bonds: A Business Modeling Approach
Structural versus Reduced-Form Models: A New Information-Based Perspective
Reduced-Form versus Structural Models of Credit Risk: A Case Study of Three Models
Implications of Correlated Default for Portfolio Allocation to Corporate Bonds
Correlated Default Processes: A Criterion-Based Copula Approach

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	H. Gifford Fong
Parution	06/04/2006
Nb. de pages	250
Format	16 x 24
Couverture	Relié
Poids	436g
Intérieur	Noir et Blanc
EAN13	9780471778622
ISBN13	978-0-471-77862-2