000			11933cam a2200697Mi 4500
001			ocn849718777
003			OCoLC
005			20171224114344.0
006			m o d
007			cr |n|||||||||
008			130519s2013 enk ob 001 0 eng d
040			_aQ2U _beng _epn _cQ2U _dOCLCO _dN$T _dDG1 _dCUS _dUMI _dYDXCP _dIDEBK _dNLE _dDEBSZ _dUA@ _dOCLCQ _dOCLCF _dOCLCQ _dDG1
019			_a839660044 _a859779328
020			_a1119966043 _q(electronic bk.)
020			_a9781119966043 _q(electronic bk.)
020			_a9781118818503 _q(electronic bk.)
020			_a1118818504 _q(electronic bk.)
020			_a9781119966050
020			_a1119966051
020			_z9781119963967
020			_z1119963966
029	1		_aDEBBG _bBV041912919
029	1		_aDEBBG _bBV042743725
029	1		_aDEBSZ _b397521995
029	1		_aDEBSZ _b449353958
029	1		_aGBVCP _b790209527
029	1		_aNZ1 _b15341890
029	1		_aNZ1 _b15905510
035			_a(OCoLC)849718777 _z(OCoLC)839660044 _z(OCoLC)859779328
037			_aCL0500000306 _bSafari Books Online
050		4	_aHG6024.A3 _bC74 2013
072		7	_aBUS _x036000 _2bisacsh
082	0	4	_a332.63/2 _223
049			_aMAIN
245	0	0	_aCredit securitizations and derivatives : _bchallenges for the global markets / _cedited by Daniel Rösch, Harald Scheule.
260			_aChichester, West Sussex : _bWiley, _c2013.
300			_a1 online resource (xiv, 448 pages).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aWiley finance series
504			_aIncludes bibliographical references and index.
588	0		_aOnline resource; title from PDF title page (Wiley, viewed September 13, 2013).
505	0		_aForeword -- PART I INTRODUCTION -- Credit Securitizations and Derivatives -- Economic Cycles and Credit Portfolio Risk -- Credit Portfolio Risk Measurement -- Credit Portfolio Risk Tranching -- Credit Ratings -- Actuarial vs. Market Credit Risk Pricing -- Regulation -- Developments in Structured Finance Markets -- Impairments of Asset-Backed Securities and Outstanding Ratings -- Issuance of Asset-backed Securities and Outstanding Volume -- Global CDO Issuance and Outstanding Volume -- PART II CREDIT PORTFOLIO RISK MEASUREMENT -- Mortgage Credit Risk -- Five C's of Credit and Mortgage Credit Risk -- Determinants of Mortgage Default, Loss Given Default and Exposure at Default -- Determinants of Mortgage Default -- Determinants of Mortgage LGD -- Determinants of Mortgage EAD -- Modeling Methods for Default, LGD and EAD -- Model Risk Management -- Credit Portfolio Correlations and Uncertainty -- Introduction -- Gaussian and Semi-Gaussian Single Risk Factor Model -- Individual and Simultaneous Confidence Bounds and Intervals -- Confidence Intervals for Asset Correlations -- Confidence Intervals for Default and Survival Time Correlations -- Confidence Intervals for Default Correlations -- Confidence Intervals for Survival Time Correlations -- Credit Portfolio Correlations with Dynamic Leverage Ratios -- The Hui et al.
505	0		_a(2007) Model -- The Method of Images for Constant Coefficients -- The Method of Images for Time-Varying Coefficients -- Modelling Default Correlations in a Two-Firm Model -- Default Correlations -- A Two-Firm Model with Dynamic Leverage Ratios -- Method of Images for Constant Coefficients -- Method of Images for Time-Varying Coefficients -- Alternative Methodologies for General Values -- Numerical Results -- Accuracy -- The Impact of Correlation between Two Firms -- The Impact of Different Credit Quality Paired Firms -- The Impact of Volatilities -- The Impact of Drift Levels -- The Impact of Initial Value of Leverage Ratio Levels -- Impact of Correlation between Firms and Interest Rates -- The Price of Credit-Linked Notes -- A Hierarchical Model of Tail-Dependent Asset Returns -- The Variance Compound Gamma Model -- Multivariate Process for Logarithmic Asset Returns -- Dependence Structure -- Sampling -- Copula Properties -- An Application Example -- Portfolio Setup -- Test Portfolios -- Parameter Setup -- Simulation Results -- Importance Sampling Algorithm -- Conclusions -- Appendix A: The VCG Probability Distribution Function Appendix B: HAC Representation for the VCG Framework -- Monte Carlo Methods for Portfolio Credit Risk -- Modeling Credit Portfolio Losses -- Risk Measures -- Modeling Dependency -- Estimating Risk Measures via Monte Carlo -- Crude Monte Carlo Estimators -- Importance Sampling -- Specific Models -- The Bernoulli Mixture Model -- Factor Models -- Copula Models -- Intensity Models -- An Example Point Process Model -- Appendix A: A Primer on Rare-event Simulation -- Efficiency -- Importance Sampling -- The Choice of g -- Adaptive Importance Sampling -- Importance Sampling for Stochastic Processes -- Credit Portfolio Risk and Diversification -- Introduction -- Model Setup -- Independent Asset Values -- Correlated Asset Values -- Large Portfolio Limit -- Correlated Diffusion -- Correlated GARCH Process -- Applications of the Structural Recovery Rate -- Conclusions -- PART III CREDIT PORTFOLIO RISK SECURITIZATION AND TRANCHING -- Differences in Tranching Methods: Some Results and Implications -- Defining a Tranche -- The Mathematics of Tranching -- PD-based Tranching -- EL-based Tranching -- The EL of a Tranche Necessarily Increases When Either the Attachment Point or the Detachment Point is Decreased -- Upper Bound on Tranche Expected LGD (LGDt) Assumption Given EL-based Tranches -- Skipping of Some Tranches in the EL-based Approach -- Global Structured Finance Rating -- Asset-Backed Securities -- The ABS Structure for the Experiment -- Cash Flow Modeling -- Modeling and Simulating Defaults -- Expected Loss Rating -- Global Sensitivity Analysis -- Elementary Effects -- Variance-based Method -- Global Sensitivity Analysis Results -- Uncertainty Analysis -- Sensitivity Analysis -- Global Rating -- PART IV CREDIT DERIVATIVES -- Analytic Dynamic Factor Copula Model -- Pricing Equations -- One-factor Copula Model -- Multi-period Factor Copula Models -- Calibration -- Dynamic Modeling of Credit Derivatives -- General Model Choice -- Modeling Option Prices -- Modeling Credit Risk -- Portfolio Credit Derivatives -- Modeling Asset Dynamics -- The Market Model -- The Asset-value Model -- Empirical Analysis -- Elementary Data -- Implied Dividends -- Market Dynamics -- Asset Value Model -- Tranche Pricing -- Out-of-time Application -- Pricing and Calibration in Market Models -- Basic notions -- The model -- Modeling Assumptions -- Absence of Arbitrage -- An affine specification -- Pricing -- Calibration -- Calibration Procedure -- Calibration Results -- Appendix A: Computations -- Counterparty Credit Risk and Clearing of Derivatives -- From the Perspective of an Industrial Corporate with a Focus on Commodity Markets -- Credit exposures in commodity business -- Settlement Exposure -- Performance Exposure -- Example of Fixed Price Deal with Performance Exposure -- Example of a Floating Price Deal with Performance Exposure -- General Remarks on Credit Exposure Concepts -- Ex Ante exposure-reducing techniques -- Payment Terms -- Material Adverse Change Clauses -- Master Agreements -- Netting -- Margining -- Close Out Exposure and Threshold -- Ex Ante risk-reducing techniques -- Credit Enhancements in General -- Parent Company Guarantees -- Letters of Credit -- Credit Insurance -- Clearing via a Central Counterparty -- Ex Post risk-reducing techniques -- Factoring -- Novation -- Risk-reducing Trades -- Hedging with CDS -- Hedging with Contingent-CDS -- Hedging with Puts on Equity -- Ex Post work out considerations -- Practical credit risk management and pricing Peculiarities of commodity markets -- Peculiarities of commodity related credit portfolios -- Credit Risk Capital for a commodity related portfolio measured with an extension of CreditMetrics -- CreditRisk+ study: applied to a commodity related credit portfolio -- CDS Industrial Sector Indices, Credit and Liquidity Risk -- The Data -- Methodology and Results -- Preliminary Analysis -- Common Factor Analysis -- Stability of Relations -- Risk Transfer and Pricing of Illiquid Assets with Loan CDS -- Shipping Market -- Loan Credit Default Swaps -- LCDS Pricing -- Modeling LCDS Under the Intensity-based Model -- Valuation Framework for LCDS -- The Structural Approach -- Credit Risk in Shipping Loans -- Valuation of LCDS on Shipping Loans -- Simulation Model -- Numerical Results -- Appendix A: Monte Carlo Parameterization PART V REGULATION -- Regulatory Capital Requirements for Securitizations -- Regulatory Approaches for Securitizations -- Ratings Based Approach (RBA) -- Supervisory Formula Approach (SFA) -- Standardized Approach (SA) -- Post-crisis Revisions to the Basel Framework -- Regulating OTC Derivatives -- The Wall Street Transparency and Accountability Part of the Dodd-Frank Act of 2010 -- Which Derivatives Will Be Affected? -- Clearing -- Transparency and Reporting Requirements -- Bankruptcy-Related Issues -- Trading and Risk Mitigation -- Extraterritorial Enforcement and International Coordination -- Evaluation of Proposed Reforms -- Clearing, Margins, Transparency, and Systemic Risk of Clearinghouses -- Migration to Centralized Clearing Should Start with Credit Derivatives -- Margin Requirements versus Transparency -- Toward a Transparency Standard -- Deal with the Dealers First -- Proposed Reforms Will Help End Users -- Centralized Clearinghouses: Too Systemic to Fail? -- Conclusion: How Will the Derivatives Reforms Affect Global Finance in Future? -- Appendix A: Items Concerning OTC Derivatives Left by the Dodd-Frank Act for Future Study -- Appendix B: Current OTC Disclosure Provided by Dealer Banks -- Appendix C: Sovereign Credit Default Swaps Markets -- Governing Derivatives after the Financial Crisis: The Devil is in the Details -- Securitization and Risk Management -- Securitization and Interest Rate Risk -- Securitization and Credit Risk -- Securitization and Credit Risk Transfer -- Skin in the Game -- The Regulation of Derivative Contracts -- Regulation Prior to 2000 -- The Commodity Futures Modernization Act (CFMA) of 2000 -- The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 -- Regulatory Challenges and Responses -- Fostering an Exchange-traded Credit Derivatives Market -- Counterparty Risk -- Disclosure and Transparency -- Accounting, Valuation and Stability Issues.
520			_aThis book presents state of the art thinking and developments in credit securitizationss, derivatives, and risk management. Written by leading thinkers from academia, the industry, and the regulatory environment, the book covers areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitizationsns and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitizations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. [Book jacket].
650		0	_aDerivative securities.
650		7	_aBUSINESS & ECONOMICS _xInvestments & Securities _xGeneral. _2bisacsh
650		7	_aDerivative securities. _2fast _0(OCoLC)fst00891019
655		4	_aElectronic books.
700	1		_aRösch, Daniel.
700	1		_aScheule, Harald.
776	0	8	_iPrint version: _aRösch, Daniel. _tCredit securitizations and derivatives. _dChichester, West Sussex : Wiley, 2013 _z9781119963967 _w(OCoLC)809616873
830		0	_aWiley finance series.
856	4	0	_uhttp://onlinelibrary.wiley.com/book/10.1002/9781118818503 _zWiley Online Library
938			_aEBSCOhost _bEBSC _n566555
938			_aIngram Digital eBook Collection _bIDEB _ncis25297435
938			_aYBP Library Services _bYANK _n10435663
938			_aYBP Library Services _bYANK _n11129854
994			_a92 _bDG1
999			_c12856 _d12856