<p>Author: Darrell Duffie and Kenneth J. Singleton</p><p>Content (Total 414 pages)<br/>------------------------------<br/>Preface xi<br/>Acknowledgments xiii<br/>1 Introduction 1<br/>1.1. A Brief Zoology of Risks 3<br/>1.2. Organization of Topics 7<br/>2 Economic Principles of Risk Management 12<br/>2.1. What Types of Risk Count Most? 13<br/>2.2. Economics of Market Risk 15<br/>2.3. Economic Principles of Credit Risk 26<br/>2.4. Risk Measurement 29<br/>2.5. Measuring Credit Risk 38<br/>3 Default Arrival:Historical<br/>Patterns and Statistical Models 43<br/>3.1. Introduction 43<br/>3.2. Structural Models of Default Probability 53<br/>3.3. From Theory to Practice: Using Distance<br/>to Default to Predict Default 57<br/>3.4. Default Intensity 59<br/>3.5. Examples of Intensity Models 64<br/>3.6. Default-Time Simulation 72<br/>3.7. Statistical Prediction of Bankruptcy 74<br/>4 Ratings Transitions:Historical Patterns and Statistical Models 85<br/>4.1. Average Transition Frequencies 85<br/>4.2. Ratings Risk and the Business Cycle 87<br/>vii<br/>viii Contents<br/>4.3. Ratings Transitions and Aging 91<br/>4.4. Ordered Probits of Ratings 92<br/>4.5. Ratings as Markov Chains 94<br/>5 Conceptual Approaches to<br/>Valuation of Default Risk 100<br/>5.1. Introduction 100<br/>5.2. Risk-Neutral versus Actual Probabilities 102<br/>5.3. Reduced-Form Pricing 106<br/>5.4. Structural Models 112<br/>5.5. Comparisons of Model-Implied Spreads 114<br/>5.6. From Actual to Risk-Neutral Intensities 118<br/>6 Pricing Corporate and Sovereign Bonds 122<br/>6.1. Uncertain Recovery 122<br/>6.2. Reduced-Form Pricing with Recovery 125<br/>6.3. Ratings-Based Models of Credit Spreads 137<br/>6.4. Pricing Sovereign Bonds 146<br/>7 Empirical Models of Defaultable Bond Spreads 156<br/>7.1. Credit Spreads and Economic Activity 156<br/>7.2. Reference Curves for Spreads 162<br/>7.3. Parametric Reduced-Form Models 166<br/>7.4. Estimating Structural Models 169<br/>7.5. Parametric Models of Sovereign Spreads 171<br/>8 Credit Swaps 173<br/>8.1. Other Credit Derivatives 173<br/>8.2. The Basic Credit Swap 175<br/>8.3. Simple Credit-Swap Spreads 178<br/>8.4. Model-Based CDS Rates 185<br/>8.5. The Role of Asset Swaps 190<br/>9 Optional Credit Pricing 194<br/>9.1. Spread Options 194<br/>9.2. Callable and Convertible Corporate Debt 201<br/>9.3. A Simple Convertible Bond Pricing Model 215<br/>Contents ix<br/>10 Correlated Defaults 229<br/>10.1. Alternative Approaches to Correlation 229<br/>10.2. CreditMetrics Correlated Defaults 230<br/>10.3. Correlated Default Intensities 233<br/>10.4. Copula-Based Correlation Modeling 237<br/>10.5. Empirical Methods 242<br/>10.6. Default-Time Simulation Algorithms 243<br/>10.7. Joint Default Events 247<br/>11 Collateralized Debt Obligations 250<br/>11.1. Introduction 250<br/>11.2. Some Economics of CDOs 252<br/>11.3. Default-Risk Model 255<br/>11.4. Pricing Examples 260<br/>11.5. Default Loss Analytics 271<br/>11.6. Computation of Diversity Scores 280<br/>12 Over-the-Counter Default Risk and Valuation 285<br/>12.1. Exposure 285<br/>12.2. OTC Credit Risk Value Adjustments 295<br/>12.3. Additional Swap Credit Adjustments 304<br/>12.4. Credit Spreads on Currency Swaps 311<br/>13 Integrated Market and Credit Risk Measurement 314<br/>13.1. Market Risk Factors 315<br/>13.2. Delta-Gamma for Derivatives with Jumps 326<br/>13.3. Integration of Market and Credit Risk 332<br/>13.4. Examples of VaR with Credit Risk 334<br/>Appendix A Introduction to Affine Processes 346<br/>Appendix B Econometrics of Affine Term-Structure Models 362<br/>Appendix C HJM Spread Curve Models 367<br/>References 371<br/>Index 385<br/><br/></p>

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