{"product_id":"credit-risk-2","title":"Credit Risk","description":"\u003cp\u003eFeaturing contributions from leading international academics and practitioners, \u003cb\u003eCredit Risk: Models, Derivatives, and Management\u003c\/b\u003e 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.\u003c\/p\u003e\u003cp\u003eDivided into six sections, the book \u003c\/p\u003e\u003cp\u003e• Explores the rapidly developing area of credit derivative products, including iTraxx Futures, iTraxx Default Swaptions, and constant proportion debt obligations \u003c\/p\u003e\u003cp\u003e• Addresses the relationships between the DJ iTraxx credit default swap (CDS) index and the stock market as well as CDS spreads and macroeconomic factors \u003c\/p\u003e\u003cp\u003e• Investigates systematic and firm-specific default risk factors, compares CDS pricing results from the CreditGrades industry benchmark to a trinomial tree approach, and applies the Hull–White intensity-based model to the pricing of names from the CDX index \u003c\/p\u003e\u003cp\u003e• Analyzes aggregate default and recovery rates on corporate bond defaults over a twenty-year period, the responses of hazard rates to changes in a set of economic variables, low-default portfolios, and tests on the accuracy of the Basel II framework \u003c\/p\u003e\u003cp\u003e• Describes benchmark models of implied credit correlation risk, copula-based default dependence concepts, the fit of various copula models, and a common factor model of systematic credit risk \u003c\/p\u003e\u003cp\u003e• Studies the pricing of options on single-name CDSs, the pricing of credit derivatives, collateralized debt obligation (CDO) price data, the pricing of CDO tranches, applications of Gaussian and Student’s \u003ci\u003et\u003c\/i\u003e copula functions, and the pricing of CDOs \u003c\/p\u003e\u003cp\u003eUsing mathematical models and methodologies, this volume provides the essential knowledge to properly manage credit risk and make sound financial decisions.\u003c\/p\u003e","brand":"Taylor \u0026 Francis Inc","offers":[{"title":"Default Title","offer_id":54257349853528,"sku":"9781584889946","price":235.6,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0278\/1295\/4195\/files\/9781584889946.jpg?v=1769073329","url":"https:\/\/agendabookshop.com\/products\/credit-risk-2","provider":"Agenda Bookshop","version":"1.0","type":"link"}