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The Foundations of Credit Risk Analysis
This authoritative collection of key papers provides an overview of the subject from its beginnings through to current scholarship in this area.
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Critical Acclaim
Contributors
Contents
More Information
The explosive growth of the credit risk industry is symbolic not only of the rapid expansion of finance into new and global markets, but is also representative of a widespread shift. The securitization of risk and, in particular, its transfer through the resulting credit derivatives, has dramatically changed the ways in which both the world economy and the finance industry work.
This authoritative collection of key papers provides an overview of the subject from its beginnings through to current scholarship in this area. While the experienced investigator will find this anthology a convenient collection of essential papers, the student new to the field will be quickly taken to the front lines of research. Consequently, this collection will be of interest to historians, researchers, and students.
This authoritative collection of key papers provides an overview of the subject from its beginnings through to current scholarship in this area. While the experienced investigator will find this anthology a convenient collection of essential papers, the student new to the field will be quickly taken to the front lines of research. Consequently, this collection will be of interest to historians, researchers, and students.
Critical Acclaim
‘From both theoretical and practical perspectives, credit risk engenders many of the outstanding questions in finance; thus, the topic provides numerous opportunities for research and profit. Pricing and managing credit risk are broadly and deeply imbedded in the bedrock of present-day economics and finance. This collection, assembled by Willi Semmler and Lucas Bernard, provides both a comprehensive review of the state-of-the-art of this topic and an educational tool for the many practitioners and students in finance and financial engineering who are concerned with these problems.’
– Charles S. Tapiero, Polytechnic University, New York, US
– Charles S. Tapiero, Polytechnic University, New York, US
Contributors
19 articles, dating from 1958 to 2007
Contributors include: F. Black, D. Duffie, J. Hull, R. Merton, S. Mittnik, F. Modigliani, M. Scholes, P. Schönbucher, J. Stiglitz
Contributors include: F. Black, D. Duffie, J. Hull, R. Merton, S. Mittnik, F. Modigliani, M. Scholes, P. Schönbucher, J. Stiglitz
Contents
Contents:
Acknowledgements
Introduction Willi Semmler and Lucas Bernard
PART I FOUNDATIONS
1. Franco Modigliani and Merton H. Miller (1958), ‘The Cost of Capital, Corporation Finance and the Theory of Investment’
2. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
3. Robert C. Merton (1974), ‘On the Pricing of Corporate Debt: The Risk Structure of Interest Rates’
4. J.E. Stiglitz and A. Weiss (1992), ‘Asymmetric Information in Credit Markets and its Implications for Macro-Economics’
PART II MEASURING CREDIT RISK
5. Marius J.L. Jonkhart (1979), ‘On the Term Structure of Interest Rates and the Risk of Default: An Analytical Approach’
6. John Hull and Alan White (1995), ‘The Impact of Default Risk on the Prices of Options and Other Derivative Securities’
7. Dilip B. Madan and Haluk Unal (1998), ‘Pricing the Risks of Default’
8. Michel Crouhy, Dan Galai and Robert Mark (2000), ‘A Comparative Analysis of Current Credit Risk Models’
9. Kay Giesecke and Lisa R. Goldberg (2004), ‘Forecasting Default in the Face of Uncertainty’
PART III CREDIT DERIVATIVES AND MODELING
10. John C. Hull and Alan White (2000), ‘Valuing Credit Default Swaps I: No Counterparty Default Risk’
11. John Hull and Alan White (2001), ‘Valuing Credit Default Swaps II: Modeling Default Correlations’
12. Philipp J. Schönbucher (2001), ‘Factor Models: Portfolio Credit Risk When Defaults Are Correlated’
13. Darrell Duffie (2005), ‘Credit Risk Modeling with Affine Processes’
14. Keith Kuester, Stefan Mittnik and Marc S. Paolella (2006), ‘Value-at-Risk Prediction: A Comparison of Alternative Strategies’
PART IV CONTROL AND MANAGEMENT OF CREDIT RISK
15. Douglas J. Lucas (1995), ‘Default Correlation and Credit Analysis’
16. Edward W. Frees and Emiliano A. Valdez (1998), ‘Understanding Relationships Using Copulas’
17. Lars Grüne and Willi Semmler (2005), ‘Default Risk, Asset Pricing, and Debt Control’
18. Francis A. Longstaff, Sanjay Mithal and Eric Neis (2005), ‘Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market’
19. Sanjiv R. Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita (2007), ‘Common Failings: How Corporate Defaults are Correlated’
Name Index
Acknowledgements
Introduction Willi Semmler and Lucas Bernard
PART I FOUNDATIONS
1. Franco Modigliani and Merton H. Miller (1958), ‘The Cost of Capital, Corporation Finance and the Theory of Investment’
2. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
3. Robert C. Merton (1974), ‘On the Pricing of Corporate Debt: The Risk Structure of Interest Rates’
4. J.E. Stiglitz and A. Weiss (1992), ‘Asymmetric Information in Credit Markets and its Implications for Macro-Economics’
PART II MEASURING CREDIT RISK
5. Marius J.L. Jonkhart (1979), ‘On the Term Structure of Interest Rates and the Risk of Default: An Analytical Approach’
6. John Hull and Alan White (1995), ‘The Impact of Default Risk on the Prices of Options and Other Derivative Securities’
7. Dilip B. Madan and Haluk Unal (1998), ‘Pricing the Risks of Default’
8. Michel Crouhy, Dan Galai and Robert Mark (2000), ‘A Comparative Analysis of Current Credit Risk Models’
9. Kay Giesecke and Lisa R. Goldberg (2004), ‘Forecasting Default in the Face of Uncertainty’
PART III CREDIT DERIVATIVES AND MODELING
10. John C. Hull and Alan White (2000), ‘Valuing Credit Default Swaps I: No Counterparty Default Risk’
11. John Hull and Alan White (2001), ‘Valuing Credit Default Swaps II: Modeling Default Correlations’
12. Philipp J. Schönbucher (2001), ‘Factor Models: Portfolio Credit Risk When Defaults Are Correlated’
13. Darrell Duffie (2005), ‘Credit Risk Modeling with Affine Processes’
14. Keith Kuester, Stefan Mittnik and Marc S. Paolella (2006), ‘Value-at-Risk Prediction: A Comparison of Alternative Strategies’
PART IV CONTROL AND MANAGEMENT OF CREDIT RISK
15. Douglas J. Lucas (1995), ‘Default Correlation and Credit Analysis’
16. Edward W. Frees and Emiliano A. Valdez (1998), ‘Understanding Relationships Using Copulas’
17. Lars Grüne and Willi Semmler (2005), ‘Default Risk, Asset Pricing, and Debt Control’
18. Francis A. Longstaff, Sanjay Mithal and Eric Neis (2005), ‘Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market’
19. Sanjiv R. Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita (2007), ‘Common Failings: How Corporate Defaults are Correlated’
Name Index
