What is included with this book?
Greg N. Gregoriou is Professor of Finance in theSchool of Business and Economics at State University of New York.
Paul Ali is an Associate Professorin the Faculty of Law, University of Melbourne.
Acknowledgments | p. xi |
Editors | p. xiii |
Contributors | p. xv |
Innovations in Credit Default Swaps | |
The Changing Face of Credit Default Swaps | p. 3 |
Introduction | p. 3 |
Credit Default Swaps | p. 4 |
References | p. 12 |
Derivatives in Islamic Finance | p. 15 |
Introduction | p. 16 |
Types of Islamic Finance | p. 17 |
Implicit Derivatives: Identification and Evaluation | p. 22 |
Islamic Finance and Structured Finance | p. 31 |
Explicit Derivatives in Islamic Structured Finance: Credit Risk Transfer | p. 33 |
Assessment of Derivatives in Islamic Finance | p. 37 |
Conclusion: The Prospects of Islamic Derivatives | p. 43 |
Acknowledgments | p. 45 |
References | p. 45 |
Credit Derivatives and the Resolution of Financial Distress | p. 47 |
Introduction | p. 47 |
Chapter 11 Today | p. 48 |
Credit Derivatives and the Prebankruptcy Period | p. 49 |
Credit Derivatives in Chapter 11 | p. 52 |
Conclusion | p. 55 |
References | p. 55 |
Asymmetric Information and Opacity in Credit Derivatives Markets | p. 57 |
Introduction | p. 57 |
Related Literature | p. 60 |
The Model | p. 62 |
Asymmetric Information | p. 65 |
A Simple Model with Moral Hazard and Adverse Selection | p. 68 |
Conclusion | p. 70 |
Appendix | p. 71 |
References | p. 75 |
The Role of Macro and Country-Specific Factors on the Use of Credit Derivatives: Sovereign Credit Default Swap Market | p. 77 |
Introduction | p. 77 |
Credit Derivatives: A Brief Overview | p. 78 |
An Emerging Market Overview: Turkey | p. 82 |
Data and Methodology | p. 85 |
Estimation Results | p. 87 |
Conclusion | p. 89 |
References | p. 90 |
Pricing Credit Default Swaps | |
Pricing Credit Derivatives with a Copula-Based Actuarial Model for Credit Risk | p. 95 |
Introduction | p. 95 |
The Model for Default and Credit Migration | p. 97 |
Credit Derivatives | p. 104 |
Conclusion | p. 116 |
References | p. 117 |
Asset Dynamics Estimation and Its Impact on CDS Pricing | p. 121 |
Introduction | p. 122 |
No-Arbitrage Pricing of CDS | p. 123 |
The Structural Model of Credit Risk | p. 125 |
Estimation of Asset Value Dynamics | p. 127 |
Empirical Impact | p. 129 |
Analysis of the Pricing Error | p. 136 |
Conclusion | p. 140 |
References | p. 141 |
A Unified Approach to the Theory of Default Risk and Credit Derivatives | p. 143 |
Introduction | p. 143 |
A Simple Model of Credit Risk | p. 145 |
Normal Events and Rare Events | p. 147 |
The Poisson Distribution | p. 149 |
Credit Risk in the Framework of the B&S Differential Equation | p. 150 |
The Merton Model and its Extensions | p. 151 |
Dynamic Modeling of the Probability of Default: The Probabilities of Transition | p. 163 |
Credit Derivatives | p. 169 |
Other Approaches to Credit Risk | p. 178 |
Conclusion | p. 178 |
References | p. 179 |
Investigating the Link between Credit Default Swap Spreads and the U.S. Financial Market | p. 183 |
Introduction | p. 183 |
Data Set | p. 185 |
Econometric Study | p. 189 |
Investigating a Joint Evolution | p. 194 |
Linear Framework | p. 194 |
Conclusion | p. 198 |
References | p. 198 |
Design and Pricing of Collateralized Debt Obligations | |
Design of Collateralized Debt Obligations: The Impact of Target Ratings on the First Loss Piece | p. 203 |
Introduction | p. 203 |
Collateralized Debt Obligations | p. 204 |
Information Asymmetries in CDO Transactions | p. 212 |
Portfolio Construction and the Size of the First Loss Piece | p. 217 |
Conclusion | p. 226 |
References | p. 226 |
On the Pricing of Collateralized Debt Obligations | p. 229 |
Introduction | p. 229 |
Portfolio Credit Derivatives | p. 231 |
Model and Applications | p. 235 |
Conclusion | p. 246 |
Appendix | p. 246 |
References | p. 257 |
Pricing Forward-Starting Collateralized Debt Obligations Using Dynamic Copula Processes | p. 259 |
Introduction | p. 260 |
Archimedean Copulas within the Credit Framework | p. 263 |
Dynamic Copulas from a Levy Process Perspective | p. 268 |
Dynamic Copulas Based on Gamma-OU Process | p. 273 |
Comparing the Two Dynamic Copula Models | p. 278 |
Conclusion | p. 278 |
p. 282 | |
Simulating the Gamma-OU Process | p. 285 |
References | p. 286 |
Identifying Systemic and Idiosyncratic Risk from Standardized Single-Tranche Collateralized Debt Obligations | p. 289 |
Introduction | p. 289 |
A Brief Primer on CDOs | p. 291 |
Default Probability and Default Correlation in STCDOs | p. 294 |
Idiosyncratic and Systemic Risk in STCDO Tranches | p. 297 |
Data and Empirical Framework | p. 297 |
Results | p. 299 |
Conclusion | p. 301 |
References | p. 302 |
Default Contagion in Large Homogeneous Portfolios | p. 303 |
Introduction | p. 304 |
Intensity-Based Models in a Homogeneous Model Reinterpreted as Markov Jump Processes | p. 305 |
Using the Matrix-Analytic Approach to Find Multivariate Default Distributions and Related Quantities | p. 306 |
Calibrating the Model Parameters against CDO Tranche Spreads, Index CDS Spreads, and Average CDS Spreads | p. 316 |
Numerical Studies | p. 320 |
Conclusion | p. 330 |
Acknowledgments | p. 332 |
References | p. 332 |
Asset Allocation and Credit Derivatives | |
An Asset Allocation Problem with Credit Derivatives | p. 337 |
Introduction | p. 337 |
The Model | p. 339 |
The Optimal Portfolio | p. 348 |
Conclusion | p. 355 |
Appendix | p. 355 |
References | p. 358 |
Synthetic Collateralized-Debt-Obligation-Squared Pricing Methodologies | p. 361 |
Introduction | p. 362 |
Synthetic CDO-Squared Structures | p. 364 |
Synthetic CDO-Squared Pricing | p. 365 |
Conclusion | p. 374 |
References | p. 376 |
The Role of Credit and Credit Index Derivatives in Portfolio Management: Asset Allocation Issues and Opportunities | p. 379 |
Introduction | p. 379 |
Credit Market Performance | p. 380 |
The Role of Riskier Credit in Investment Portfolios | p. 383 |
Using Index Derivatives to Alter Portfolio Asymmetry Properties | p. 385 |
Allocation via Active Rules | p. 389 |
Conclusion | p. 393 |
References | p. 393 |
Index | p. 397 |
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