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Preface ix
Editor xix
Contributors xxi
PART I A VIEW ON CREDIT DERIVATIVES
CHAPTER 1 & Single Name Credit Default Swap Valuation:
A Review 3
Anouk G.P. Claes and Marc J.K. De Ceuster
CHAPTER 2 & Valuation of Credit Derivatives with Counterparty Risk 21
Volker Läger, Andreas Oehler, Marco Rummer, and Dirk Schiefer
CHAPTER 3 & Integrated Credit Portfolio Management: A Preview 39
Jochen Felsenheimer and Philip Gisdakis
CHAPTER 4 & Credit Default Swaps and an Application to the
Art Market: A Proposal 53
Rachel A.J. Campbell and Christian Wiehenkamp
PART II CREDIT RISK, SPREADS, AND SPREAD DETERMINANTS
CHAPTER 5 & Credit Default Swaps and Equity Prices: The iTraxx
CDS Index Market 69
Hans Byström
CHAPTER 6 & The Determinants of Credit Default Swap Prices:
An Industry-Based Investigation 85
Danielle Sougné, Cédric Heuchenne, and Georges Hübner
CHAPTER 7 & Credit Spread Dynamics: Evidence from Latin America 97
Kannan Thuraisamy, Gerry Gannon, and Jonathan A. Batten
CHAPTER 8 & Accounting Data Transparency and Credit Spreads:
Clinical Studies 115
Umberto Cherubini
CHAPTER 9 & Anticipating Credit Events Using Credit Default Swaps:
An Application to Sovereign Debt Crises 139
Jorge Antonio Chan-Lau
PART III CREDIT RISK MODELING AND PRICING
CHAPTER 10 & Investigating the Role of Systematic and Firm-Specific
Factors in Default Risk: Lessons from Empirically
Evaluating Credit Risk Models 157
Gurdip Bakshi, Dilip Madan, and Frank Xiaoling Zhang
CHAPTER 11 & Pricing CDX Credit Default Swaps with CreditGrades
and Trinomial Trees 181
Christian Stewart and Niklas Wagner
CHAPTER 12 & Pricing CDX Credit Default Swaps Using
the Hull–White Model 197
Bastian Hofberger and Niklas Wagner
PART IV DEFAULT RISK, RECOVERY RISK, AND RATING
CHAPTER 13 & The Link between Default and Recovery Rates:
Theory, Empirical Evidence, and Implications 211
Edward I. Altman, Brooks Brady, Andrea Resti, and Andrea Sironi
CHAPTER 14 & Business and Financial Indicators: What Are the
Determinants of Default Probability Changes? 235
Fabien Couderc, Olivier Renault, and Olivier Scaillet
CHAPTER 15 & Managing Credit Risk for Retail Low-Default Portfolios 269
Gabriele Sabato
CHAPTER 16 & Tests on the Accuracy of Basel II 289
Simone Varotto
PART V CREDIT RISK DEPENDENCE AND DEPENDENT DEFAULTS
CHAPTER 17 & Correlation Risk: What the Market Is Telling Us
and Does It Make Sense? 317
Vineer Bhansali
CHAPTER 18 & Copula-Based Default Dependence Modeling:
Where Do We Stand? 327
Elisa Luciano
CHAPTER 19 & Correlated Default Processes: A Criterion-Based
Copula Approach 347
Sanjiv R. Das and Gary Geng
CHAPTER 20 & Systematic Credit Risk: CDX Index Correlation
and Extreme Dependence 377
Sofiane Aboura and Niklas Wagner
PART VI OPTIONS, PORTFOLIOS, AND PRICING LOSS DISTRIBUTION
TRANCHES
CHAPTER 21 & CDS Options through Candidate Market Models
and the CDS-Calibrated CIRþþ Stochastic Intensity Model 393
Damiano Brigo
CHAPTER 22 & Arbitrage Pricing of Credit Derivatives 427
Siu Lam Ho and Lixin Wu
CHAPTER 23 & An Empirical Analysis of CDO Data 457
Vincent Leijdekker, Martijn van der Voort, and Ton Vorst
CHAPTER 24 & Pricing Tranched Credit Products with Generalized
Multifactor Models 485
Manuel Moreno, Juan I. Peña, and Pedro Serrano
CHAPTER 25 & CDO Prices and Risk Management: A Comparative
Study of Alternative Approaches for iTraxx Pricing 511
Jean-Michel Bourdoux, Georges Hübner, and Jean-Roch Sibille
CHAPTER 26 & Numerical Pricing of Collateral Debt Obligations:
A Monte Carlo Approach 527
Manuel Moreno and Pedro Serrano
About the Contributors 551
Index 565