Advanced Credit Risk Analysis – Financial Approaches & Mathematical Models to Assess, Price & Manage Credit Risk

Acknowledgements.
<br />
<br /> Introduction.
<br /> CREDIT RISK PRICING.
<br /> Introduction to Modern Credit Risk Pricing.
<br /> Merton′s Approach: The Intuition Behind Structural Models.
<br /> Subsequent Financial Engineering.
<br /> Stochastic Interest Rates and Credit Risk.
<br /> Advanced Considerations on Bankruptcy Endogeneity.
<br /> Reduced–Form/Mixed Approaches.
<br /> CREDIT RISK OF DERIVATIVES.
<br /> Swap Credit Risk Pricing.
<br /> Credit Risk in Options: Vulnerable Options.
<br /> THEORETICAL WRAP–UP AND EMPIRICAL EVIDENCE.
<br /> Introduction.
<br /> Literature Wrap–Up.
<br /> Empirical Evidence.
<br /> A PROPOSITION FOR A STRUCTURAL MODEL.
<br /> Introduction.
<br /> The Pricing Model.
<br /> Comparative Statics.
<br /> The Practical Implementation and Final Issues.
<br /> COLLATERALIZATION, MARKING–TO–MARKET, AND THEIR IMPACT ON CREDIT RISK.
<br /> Introduction.
<br /> A Structural Methodology for Haircut Determination and the Pricing of Credit Risk with Risky Collateral.
<br /> Credit Risk Collateral Control as an Impulse Control Problem.
<br /> MANAGEMENT OF CREDIT RISK.
<br /> Advanced Management Tools.
<br /> Financial Structuring with Credit Derivatives.
<br /> Appendix A: It&ocirc;′s Lemma.
<br /> Appendix B: A Review of Interest Rate Models.
<br /> General Bibliography.
<br /> Index.