Credit Risk Modeling: Theory and Applications

David Lando

Published by Princeton University Press 2004

Credit Risk Modeling

Theory and Applications

David Lando

In the series Princeton Series in Finance

https://doi.org/10.1515/9781400829194

Overview
Contents

About this book

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk.

David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Author / Editor information

David Lando is Professor of Finance at the Copenhagen Business School. He is an associate editor of three finance journals and a member of Moody's Academic Advisory and Research Committee.

Reviews

"This is an excellent book for researchers, financial engineers, and advanced practitioners in the field of credit risk. It is a remarkable contribution to our field."—Didier Cossin, Ecole des Hautes Etudes Commerciales, University of Lausanne

"This very well written book represents a superb presentation of both credit risk theory and its empirical evidence. It is a complete introduction to the topic, enabling the reader to access and understand current research."—Robert Jarrow, Cornell University

"Credit Risk Modeling provides the broadest coverage of topics I have seen in a book on credit risk. Lando successfully guides the reader through the maze of a very active field of research by clearly identifying the leading problems and the attempts that have been made to solve these problems. At the same time, never does he neglect the statistical estimation of the models he presents. This is a very valuable book to any practitioner, student, or researcher in credit risk, written by one of the leading experts in the field."—Philipp Schönbucher, Swiss Federal Institute of Technology Zurich (ETH), author of Credit Derivatives Pricing Models

Topics

Frontmatter Publicly Available Download PDF	i
Contents Publicly Available Download PDF	vii
Preface Publicly Available Download PDF	xi
1 An Overview Requires Authentication Unlicensed Licensed Download PDF	1
2 Corporate Liabilities as Contingent Claims Requires Authentication Unlicensed Licensed Download PDF	7
3 Endogenous Default Boundaries and Optimal Capital Structure Requires Authentication Unlicensed Licensed Download PDF	59
4 Statistical Techniques for Analyzing Defaults Requires Authentication Unlicensed Licensed Download PDF	75
5 Intensity Modeling Requires Authentication Unlicensed Licensed Download PDF	109
6 Rating-Based Term-Structure Models Requires Authentication Unlicensed Licensed Download PDF	145
7 Credit Risk and Interest-Rate Swaps Requires Authentication Unlicensed Licensed Download PDF	169
8 Credit Default Swaps, CDOs, and Related Products Requires Authentication Unlicensed Licensed Download PDF	197
9 Modeling Dependent Defaults Requires Authentication Unlicensed Licensed Download PDF	213
Appendix A Discrete-Time Implementation Requires Authentication Unlicensed Licensed Download PDF	251
Appendix B Some Results Related to Brownian Motion Requires Authentication Unlicensed Licensed Download PDF	259
Appendix C Markov Chains Requires Authentication Unlicensed Licensed Download PDF	267
Appendix D Stochastic Calculus for Jump-Diffusions Requires Authentication Unlicensed Licensed Download PDF	275
Appendix E A Term-Structure Workhorse Requires Authentication Unlicensed Licensed Download PDF	291
References Requires Authentication Unlicensed Licensed Download PDF	297
Index Requires Authentication Unlicensed Licensed Download PDF	307