The Foundations of Credit Risk Analysis


The Foundations of Credit Risk Analysis

9781847201485 Edward Elgar Publishing
Edited by Willi Semmler, Chair and Professor of Economics, New School for Social Research, New York and Lucas Bernard, Professor of Finance, Long Island University, US
Publication Date: 2007 ISBN: 978 1 84720 148 5 Extent: 552 pp
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
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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.
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
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


Introduction Willi Semmler and Lucas Bernard

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’

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’

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’

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’

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