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by H. GIFFORD FONG
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INTRODUCTION
Credit analysis is undergoing a dramatic transformation owing to rigorous
quantitative treatment. Probability theory, statistical modeling, and the modern
theories of finance are being applied to help establish the critical function
of how to determine credit risk. This book showcases a series of papers
drawn from the published works in the archives of the Journal Of Investment
Management (JOIM). Our intent is to bring together noted authors and
their work to provide a rich framework of research in the credit analysis area.
Our first chapter, “Estimating Default Probabilities Implicit in Equity
Prices,” by Janosi, Jarrow, and Yildirim, focuses on the use of equity prices
as input in the probability of default measure. Leland, in “Predictions of
Default Probabilities in Structural Models of Debt,” evaluates alternative
structural model methodologies. Das, in “Recovery Risk,” reviews the literature
for estimating recovery (loss given default). “Non-Parametric Analysis
of Rating Transition and Default Data,” by Fledelius, Lando, and Nielsen,
illustrates the use of non-parametric and smoothing methods for analyzing
rating transitions. Ho and Lee of term structure fame provide a model for
high-yield bond valuation. Jarrow and Protter provide new insights into the
comparison of structural versus reduced-form models in “Structural versus
Reduced-Form Models: A New Information-Based Perspective.” This topic
is further explored by Arova and Bohn in “Reduced-Form versus Structural
Models of Credit Risk.” The last two chapters focus on the issue
of correlated default. Das and Geng, in “Correlated Default Processes: A
Criterion-Based Copula Approach,” describe the use of copulas in modeling
correlated default, while Wise and Bhansali, in “Implications of Correlated
Default for Portfolio Allocation to Corporate Bonds,” consider the
optimization problem dealing with correlated default.
Our thanks to the authors for their contributions to this book and to
the general literature. Thanks also to Christine Proctor of Gifford Fong
Associates and John Wiley and Sons, Inc. for their tireless efforts on behalf
of this book.
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