Credit risk : models, derivatives, and management / edited by Niklas Wagner.

Includes bibliographical references and index.

Pt. I. View on Credit Derivatives --
Ch. 1. Single Name Credit Default Swap Valuation: A Review / Anouk C. P. Claes and Marc J. K. De Ceuster --
Ch. 2. Valuation of Credit Derivatives with Counterparty Risk / Volker Lager, Andreas Oehler, Marco Rummer and Dirk Schiefer --
Ch. 3. Integrated Credit Portfolio Management: A Preview / Jochen Felsenheimer and Philip Gisdakis --
Ch. 4. Credit Default Swaps and an Application to the Art Market: A Proposal / Rachel A. J. Campbell and Christian Wiehenkamp --
Pt. II. Credit Risk, Spreads, and Spread Determinants --
Ch. 5. Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market / Hans Bystrom --
Ch. 6. Determinants of Credit Default Swap Prices: An Industry-Based Investigation / Danielle Sougne, Cedric Heuchenne and Georges Hubner --
Ch. 7. Credit Spread Dynamics: Evidence from Latin America / Kannan Thuraisamy, Gerry Gannon and Jonathan A. Batten --
Ch. 8. Accounting Data Transparency and Credit Spreads: Clinical Studies / Umberto Cherubini --
Ch. 9. Anticipating Credit Events Using Credit Default Swaps: An Application to Sovereign Debt Crises / Jorge Antonio Chan-Lau --
Pt. III. Credit Risk Modeling and Pricing --
Ch. 10. Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models / Gurdip Bakshi, Dilip Madan and Frank Xiaoling Zhang --
Ch. 11. Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees / Christian Stewart and Niklas Wagner --
Ch. 12. Pricing CDX Credit Default Swaps Using the Hull-White Model / Bastian Hofberger and Niklas Wagner --
Pt. IV. Default Risk, Recovery Risk, and Rating --
Ch. 13. Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications / Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi Ch. 14. Business and Financial Indicators: What Are the Determinants of Default Probability Changes? / Fabien Couderc, Olivier Renault and Olivier Scaillet --
Ch. 15. Managing Credit Risk for Retail Low-Default Portfolios / Gabriele Sabato --
Ch. 16. Tests on the Accuracy of Basel II / Simone Varotto --
Pt. V. Credit Risk Dependence and Dependent Defaults --
Ch. 17. Correlation Risk: What the Market Is Telling Us and Does It Make Sense? / Vineer Bhansali --
Ch. 18. Copula-Based Default Dependence Modeling: Where Do We Stand? / Elisa Luciano --
Ch. 19. Correlated Default Processes: A Criterion-Based Copula Approach / Sanjiv R. Das and Gary Geng --
Ch. 20. Systematic Credit Risk: CDX Index Correlation and Extreme Dependence / Sofiane Aboura and Niklas Wagner --
Pt. VI. Options, Portfolios, and Pricing Loss Distribution Tranches --
Ch. 21. CDS Options through Candidate Market Models and the CDS-Calibrated CIR++ Stochastic Intensity Model / Damiano Brigo --
Ch. 22. Arbitrage Pricing of Credit Derivatives / Siu Lam Ho and Lixin Wu --
Ch. 23. Empirical Analysis of CDO Data / Vincent Leijdekker, Martijn van der Voort and Ton Vorst --
Ch. 24. Pricing Tranched Credit Products with Generalized Multifactor Models / Manuel Moreno, Juan I. Pena and Pedro Serrano --
Ch. 25. CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing / Jean-Michel Bourdoux, Georges Hubner and Jean-Roch Sibille --
Ch. 26. Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach / Manuel Moreno and Pedro Serrano.

Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sections, the book Explores the rapidly developing area of credit derivative products, including iTraxx Futures, iTraxx Default Swaptions, and constant proportion debt obligations Addresses the relationships between the DJ iTraxx credit d.