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Credit Modelling: Advanced Topics
Discipline: Quantitative Analysis, Credit, Derivatives & Options
First published:
ISBN: 9781782722595
Building on the best-selling first edition, author Terry Benzschawel advances the topics covered in Credit Risk Modelling by outlining the reality of defaults and recoveries, then detailing credit models and credit instruments before presenting some real-world applications.
You’ll learn how to measure, hedge and predict the credit-risk premium – reliable techniques for making money in credit markets – and be able to help your firm better manage their exposure to credit risk.
Contents
Credit Models Past and Present
Credit Models: Looking to the Future
Predicting Annual Default Rates and Implications for Market Prices
An Ensemble Model for Recovery Value in Default
The Corporate Bond Credit Risk Premium
The Credit Default Swap Risk Premium
The Municipal Build America Bond Risk Premium
Predicting Bank Defaults
Beating Credit Benchmarks
Hedging the Credit Risk Premium
Managing Pension Fund Liabilities
Credit Cycle-dependent Stochastic Credit Spreads and Rating Category Transitions
Managing Systemic Liquidity Risk: Systems and Early Warning Signals