信用风险的建模、评估和对冲 英文PDF|Epub|txt|kindle电子书版本网盘下载

信用风险的建模、评估和对冲 英文PDF格式电子书版下载

注意：本站所有压缩包均有解压码： 点击下载压缩包解压工具

Part Ⅰ．Structural Approach3

1．Introduction to Credit Risk3

1.1 Corporate Bonds4

1.1.1 Recovery Rules5

1.1.2 Safety Covenants6

1.1.3 Credit Spreads7

1.1.4 Credit Ratings7

1.1.5 Corporate Coupon Bonds8

1.1.6 Fixed and Floating Rate Notes9

1.1.7 Bank Loans and Sovereign Debt11

1.1.8 Cross Default11

1.1.9 Default Correlations11

1.2 Vulnerable Claims12

1.2.1 Vulnerable Claims with Unilateral Default Risk12

1.2.2 Vulnerable Claims with Bilateral Default Risk13

1.2.3 Defaultable Interest Rate Contracts14

1.3 Credit Derivatives16

1.3.1 Default Swaps and Options18

1.3.2 Total Rate of Return Swaps21

1.3.3 Credit Linked Notes22

1.3.4 Asset Swaps24

1.3.5 First-to-Default Contracts24

1.3.6 Credit Spread Swaps and Options25

1.4 Quantitative Models of Credit Risk26

1.4.1 Structural Models26

1.4.2 Reduced-Form Models27

1.4.3 Credit Risk Management29

1.4.4 Liquidity Risk30

1.4.5 Econometric Studies30

2．Corporate Debt31

2.1 Defaultable Claims33

2.1.1 Risk-Neutral Valuation Formula34

2.1.2 Self-Financing Trading Strategies37

2.1.3 Martingale Measures38

2.2 PDE Approach40

2.2.1 PDE for the Value Function44

2.2.2 Corporate Zero-Coupon Bonds47

2.2.3 Corporate Coupon Bond50

2.3 Merton's Approach to Corporate Debt51

2.3.1 Merton's Model with Deterministic Interest Rates51

2.3.2 Distance-to-Default57

2.4 Extensions of Merton's Approach58

2.4.1 Models with Stochastic Interest Rates59

2.4.2 Discontinuous Value Process60

2.4.3 Buffet's Approach64

3．First-Passage-Time Models65

3.1 Properties of First Passage Times66

3.1.1 Probability Law of the First Passage Time67

3.1.2 Joint Probability Law of Y and τ69

3.2 Black and Cox Model71

3.2.1 Corporate Zero-Coupon Bond71

3.2.2 Corporate Coupon Bond79

3.2.3 Corporate Consol Bond81

3.3 Optimal Capital Structure82

3.3.1 Black and Cox Approach82

3.3.2 Leland's Approach84

3.3.3 Leland and Toft Approach86

3.3.4 Further Developments88

3.4 Models with Stochastic Interest Rates90

3.4.1 Kim,Ramaswamy and Sundaresan Approach96

3.4.2 Longstaff and Schwartz Approach98

3.4.3 Cathcart and E1-Jahel Approach103

3.4.4 Briys and de Varenne Approach104

3.4.5 Saá-Requejo and Santa-Clara Approach107

3.5 Further Developments113

3.5.1 Convertible Bonds113

3.5.2 Jump-Diffusion Models113

3.5.3 Incomplete Accounting Data113

3.6 Dependent Defaults:Structural Approach114

3.6.1 Default Correlations:J.P.Morgan's Approach116

3.6.2 Default Correlations:Zhou's Approach117

Part Ⅱ．Hazard Processes123

4．Hazard Function of a Random Time123

4.1 Conditional Expectations w.r.t.Natural Filtrations123

4.2 Martingales Associated with a Continuous Hazard Function127

4.3 Martingale Representation Theorem131

4.4 Change of a Probability Measure133

4.5 Martingale Characterization of the Hazard Function137

4.6 Compensator of a Random Time140

5．Hazard Process of a Random Time141

5.1 Hazard Process Γ141

5.1.1 Conditional Expectations143

5.1.2 Semimartingale Representation of the Stopped Process150

5.1.3 Martingales Associated with the Hazard Process Γ152

5.1.4 Stochastic Intensity of a Random Time155

5.2 Martingale Representation Theorems156

5.2.1 General Case156

5.2.2 Case of a Brownian Filtration159

5.3 Change of a Probability Measure162

6．Martingale Hazard Process165

6.1 Martingale Hazard Process Λ165

6.1.1 Martingale Invariance Property166

6.1.2 Evaluation of Λ: Special Case167

6.1.3 Evaluation of Λ: General Case169

6.1.4 Uniqueness of a Martingale Hazard Process Λ172

6.2 Relationships Between Hazard Processes Γ and Λ173

6.3 Martingale Representation Theorem177

6.4 Case of the Martingale Invariance Property179

6.4.1 Valuation of Defaultable Claims180

6.4.2 Case of a Stopping Time182

6.5 Random Time with a Given Hazard Process183

6.6 Poisson Process and Conditional Poisson Process186

7．Case of Several Random Times197

7.1 Minimum of Several Random Times197

7.1.1 Hazard Function198

7.1.2 Martingale Hazard Process198

7.1.3 Martingale Representation Theorem200

7.2 Change of a Probability Measure203

7.3 Kusuoka's Counter-Example209

7.3.1 Validity of Condition(F.2)216

7.3.2 Validity of Condition(M.1)218

Part Ⅲ．Reduced-Form Modeling221

8．Intensity-Based Valuation of Defaultable Claims221

8.1 Defaultable Claims222

8.1.1 Risk-Neutral Valuation Formula223

8.2 Valuation via the Hazard Process225

8.2.1 Canonical Construction of a Default Time227

8.2.2 Integral Representation of the Value Process230

8.2.3 Case of a Deterministic Intensity232

8.2.4 Implied Probabilities of Default234

8.2.5 Exogenous Recovery Rules236

8.3 Valuation via the Martingale Approach239

8.3.1 Martingale Hypotheses242

8.3.2 Endogenous Recovery Rules243

8.4 Hedging of Defaultable Claims246

8.5 General Reduced-Form Approach250

8.6 Reduced-Form Models with State Variables253

8.6.1 Lando's Approach253

8.6.2 Duffie and Singleton Approach255

8.6.3 Hybrid Methodologies259

8.6.4 Credit Spread Models264

9．Conditionally Independent Defaults265

9.1 Basket Credit Derivatives266

9.1.1 Mutually Independent Default Times267

9.1.2 Conditionally Independent Default Times268

9.1.3 Valuation of the ith-to-Default Contract274

9.1.4 Vanilla Default Swaps of Basket Type281

9.2 Default Correlations and Conditional Probabilities284

9.2.1 Default Correlations284

9.2.2 Conditional Probabilities287

10．Dependent Defaults293

10.1 Dependent Intensities295

10.1.1 Kusuoka's Approach295

10.1.2 Jarrow and Yu Approach296

10.2 Martingale Approach to Basket Credit Derivatives306

10.2.1 Valuation of the ith-to-Default Claims311

11．Markov Chains313

11.1 Discrete-Time Markov Chains314

11.1.1 Change of a Probability Measure316

11.1.2 The Law of the Absorption Time320

11.1.3 Discrete-Time Conditionally Markov Chains322

11.2 Continuous-Time Markov Chains324

11.2.1 Embedded Discrete-Time Markov Chain329

11.2.2 Conditional Expectations329

11.2.3 Probability Distribution of the Absorption Time332

11.2.4 Martingales Associated with Transitions333

11.2.5 Change of a Probability Measure334

11.2.6 Identification of the Intensity Matrix338

11.3 Continuous-Time Conditionally Markov Chains340

11.3.1 Construction of a Conditionally Markov Chain342

11.3.2 Conditional Markov Property346

11.3.3 Associated Local Martingales347

11.3.4 Forward Kolmogorov Equation350

12．Markovian Models of Credit Migrations351

12.1 JLT Markovian Model and its Extensions352

12.1.1 JLT Model: Discrete-Time Case354

12.1.2 JLT Model: Continuous-Time Case362

12.1.3 Kijima and Komoribayashi Model367

12.1.4 Das and Tufano Model369

12.1.5 Thomas,Allen and Morkel-Kingsbury Model371

12.2 Conditionally Markov Models373

12.2.1 Lando's Approach374

12.3 Correlated Migrations376

12.3.1 Huge and Lando Approach380

13．Heath-Jarrow-Morton Type Models385

13.1 HJM Model with Default386

13.1.1 Model's Assumptions386

13.1.2 Default-Free Term Structure388

13.1.3 Pre-Default Value of a Corporate Bond390

13.1.4 Dynamics of Forward Credit Spreads392

13.1.5 Default Time of a Corporate Bond394

13.1.6 Case of Zero Recovery397

13.1.7 Default-Free and Defaultable LIBOR Rates398

13.1.8 Case of a Non-Zero Recovery Rate400

13.1.9 Alternative Recovery Rules403

13.2 HJM Model with Credit Migrations405

13.2.1 Model's Assumption405

13.2.2 Migration Process407

13.2.3 Special Case408

13.2.4 General Case410

13.2.5 Alternative Recovery Schemes413

13.2.6 Defaultable Coupon Bonds415

13.2.7 Default Correlations416

13.2.8 Market Prices of Interest Rate and Credit Risk417

13.3 Applications to Credit Derivatives421

13.3.1 Valuation of Credit Derivatives421

13.3.2 Hedging of Credit Derivatives422

14．Defaultable Market Rates423

14.1 Interest Rate Contracts with Default Risk424

14.1.1 Default-Free LIBOR and Swap Rates424

14.1.2 Defaultable Spot LIBOR Rates426

14.1.3 Defaultable Spot Swap Rates427

14.1.4 FRAs with Unilateral Default Risk428

14.1.5 Forward Swaps with Unilateral Default Risk432

14.2 Multi-Period IRAs with Unilateral Default Risk434

14.3 Multi-Period Defaultable Forward Nominal Rates438

14.4 Defaultable Swaps with Unilateral Default Risk441

14.4.1 Settlement of the 1st Kind442

14.4.2 Settlement of the 2nd Kind444

14.4.3 Settlement of the 3rd Kind445

14.4.4 Market Conventions446

14.5 Defaultable Swaps with Bilateral Default Risk447

14.6 Defaultable Forward Swap Rates449

14.6.1 Forward Swaps with Unilateral Default Risk449

14.6.2 Forward Swaps with Bilateral Default Risk450

15．Modeling of Market Rates451

15.1 Models of Default-Free Market Rates452

15.1.1 Modeling of Forward LIBOR Rates452

15.1.2 Modeling of Forward Swap Rates458

15.2 Modeling of Defaultable Forward LIBOR Rates465

15.2.1 Lotz and Schl？gl Approach465

15.2.2 Sch？nbucher's Approach469

References479

Basic Notation495

Subject Index497