This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...

Introduction -- Part I Fundamentals: Credit Derivatives and Markets -- Mathematical Preliminaries -- Part II Static Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models -- Large Homogeneous Cell Approximation for Factor Copula...

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the European Central Bank (ECB) refinancing operations. This paper focuses on ABS backed by auto loans or loans granted to Small and Medium Enterprises (SMEs) and explores ways to measure...

Durch den volatilen Kredit- und Finanzmarkt der letzten Jahre und die fehlenden Regelungen zu seiner Neuordnung ist dies das erste Buch, das sich mit den Auswirkungen der Krise was Modellierung, Märkte und Regulierung betrifft, beschäftigt.

pt. 1. Expert views -- pt. 2. Credit derivatives : methods -- pt. 3. Credit derivatives : products -- pt. 4. Counterparty risk pricing and credit valuation adjustment -- pt. 5. Equity to credit -- pt. 6. Miscellanea : liquidity, ratings, risk contributions, and simulation.

This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He...