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the oxford handbook of CREDIT DERIVATIVES OXFORDHANDBOOKSINFINANCE SeriesEditor:MichaelDempster THEOXFORDHANDBOOKOFBANKING EditedbyAllenN.Berger,PhilipMolyneux,andJohnO.S.Wilson THEOXFORDHANDBOOKOFCREDITDERIVATIVES EditedbyAlexanderLiptonandAndrewRennie the oxford handbook of .......................................................................................................................... CREDIT DERIVATIVES .......................................................................................................................... Editedby ALEXANDER LIPTON and ANDREW RENNIE 1 3 GreatClarendonStreet,Oxfordox26dp OxfordUniversityPressisadepartmentoftheUniversityofOxford. ItfurtherstheUniversity’sobjectiveofexcellenceinresearch,scholarship, andeducationbypublishingworldwidein Oxford NewYork Auckland CapeTown DaresSalaam HongKong Karachi KualaLumpur Madrid Melbourne MexicoCity Nairobi NewDelhi Shanghai Taipei Toronto Withofficesin Argentina Austria Brazil Chile CzechRepublic France Greece Guatemala Hungary Italy Japan Poland Portugal Singapore SouthKorea Switzerland Thailand Turkey Ukraine Vietnam OxfordisaregisteredtrademarkofOxfordUniversityPress intheUKandincertainothercountries PublishedintheUnitedStates byOxfordUniversityPressInc.,NewYork ©OxfordUniversityPress2011 Themoralrightsoftheauthorshavebeenasserted DatabaserightOxfordUniversityPress(maker) Firstpublished2011 Allrightsreserved.Nopartofthispublicationmaybereproduced, storedinaretrievalsystem,ortransmitted,inanyformorbyanymeans, withoutthepriorpermissioninwritingofOxfordUniversityPress, orasexpresslypermittedbylaw,orundertermsagreedwiththeappropriate reprographicsrightsorganization.Enquiriesconcerningreproduction outsidethescopeoftheaboveshouldbesenttotheRightsDepartment, OxfordUniversityPress,attheaddressabove Youmustnotcirculatethisbookinanyotherbindingorcover andyoumustimposethesameconditiononanyacquirer BritishLibraryCataloguinginPublicationData Dataavailable LibraryofCongressCataloginginPublicationData 2010943329 TypesetbySPIPublisherServices,Pondicherry,India PrintedinGreatBritain onacid-freepaperby MPGBooksGroup,BodminandKing’sLynn ISBN 978–0–19–954678–7 1 3 5 7 9 10 8 6 4 2 eries ditor s reface S E ’ P ..................................................................................... RecentlytwoseriesofOxfordHandbookscoveringfinancialtopicshavebeenmerged into one under a single editorship – those in Finance found under Business and Economics and those in Quantitative Finance found under Mathematics. This is as it should be, for in spite of all the accusations regarding their role in the recent crisisandrecession,financialservicesarebothnecessaryandcriticaltothesuccessful developmentofaglobaleconomyfacingenvironmentalandpensioncrisesontopof thecurrentone.Itcanalsobearguedthatbanking,insuranceandfundmanagement arethelastpostwarindustriestogo“hightech”andthattheesoterictopicsinvolved needexpositiontoamoregeneralaudiencethansimplythatoftheircreators.Theaim ofthishandbookseriesisthereforetocoverrecentdevelopmentsinfinancialservices, institutionsandmarketsinanuptodate,accurateandcomprehensivemannerwhich isclearandcomprehensibletotheinterestedreader.Thiswillbeachievedbycareful choiceofeditorsfor,andexactingselectionofcontributorsto,eachhandbook. It is my hope that over time the volumes in this series will help to create a better understandingoffinancialtopicsbytheeducatedpublic,includingfinancialservices managers,regulatorsandlegislators.Suchanunderstandingappearedtobelackingin therun-uptotherecentcrisis,butitwillbecrucialtosuccessfulmanagementofthe globaleconomyinthefuture. MichaelDempster This page intentionally left blank ontents C ..................................... ListofFigures ix ListofTables xviii ListofContributors xx PART I INTRODUCTION 1. Non-TechnicalIntroduction 3 GillianTett 2. TechnicalIntroduction 17 AndrewRennieandAlexanderLipton PART II STATISTICAL OVERVIEW 3. DefaultRecoveryRatesandLGDinCreditRiskModelling andPractice 39 EdwardI.Altman 4. AGuidetoModellingCreditTermStructures 66 ArthurM.Berd 5. StatisticalDataMiningProceduresinGeneralizedCoxRegressions 123 ZhenWei PART III SINGLE AND MULTI-NAME THEORY 6. AnExpositionofCDSMarketModels 159 LutzSchloegl 7. Single-andMulti-NameCreditDerivatives:TheoryandPractice 196 AlexanderLiptonandDavidShelton 8. Marshall-OlkinCopula-BasedModels 257 YoussefElouerkhaoui viii contents 9. ContagionModelsinCreditRisk 285 MarkH.A.Davis 10. MarkovChainModelsofPortfolioCreditRisk 327 TomaszR.Bielecki,StéphaneCrépeyandAlexanderHerbertsson 11. CounterpartyRiskinCreditDerivativeContracts 383 JonGregory 12. CreditValueAdjustmentintheExtendedStructuralDefaultModel 406 AlexanderLiptonandArturSepp PART IV BEYOND NORMALITY 13. ANewPhilosophyoftheMarket 467 ÉlieAyache 14. AnEVTprimerforcreditrisk 500 ValérieChavez-DemoulinandPaulEmbrechts 15. SaddlepointMethodsinPortfolioTheory 533 RichardJ.Martin PART V SECURITIZATION 16. QuantitativeAspectsoftheCollapseoftheParallelBankingSystem 573 AlexanderBatchvarov 17. HomePriceDerivativesandModelling 604 AlexanderLevin 18. AValuationModelforABSCDOs 631 JulianManzano,VladimirKamotski,UmbertoPesavento andAlexanderLipton NameIndex 657 SubjectIndex 663 ist of igures L F ....................................................... 3.1 RecoveryRate/DefaultRateAssociation. 49 4.1 OpticallyinvertedZ-spreadtermstructure.FordMotorCredit,31 December2002. 77 4.2 Z-spread,CDS,andBCDStermstructures.FordMotorCredit,31 December2002. 77 4.3 Implieddefaultprobability,averagepricingerroroftheregression, andriskmodelspecificrisk,A-ratedindustrials. 91 4.4 Survivalprobabilitytermstructuresfordifferentcreditrisklevels. 94 4.5 Hazardrates(forwardZZ-spreads)forFordandBBBConsumer Cyclicals,asof31December2003. 96 4.6 FittedparcouponforFordandBBBConsumerCyclicals,asof31 December2003. 98 4.7 FittedLiborP-spreadforFordandBBBConsumerCyclicals,asof 31December2003. 99 4.8 CCPtermstructuresandbondprices,GeorgiaPacific,asof31 December2003. 100 4.9 StatichedgingofapremiumbondbyCDS. 111 4.10 StatichedgingofadiscountbondbyCDS. 112 4.11 Statichedgingofanear-parbondbyCDS. 112 4.12 Coarse-grainedhedgingofapremiumbondbyCDS. 115 4.13 Exponentialsplinefactors. 118 7.1 5yCDSspreadinbasispointsoffivewell-knownissuers.The spreadsareplottedonadifferentscalebeforeandafter20June2007. 198 7.2 ITXandCDXhistoricalon-the-runindexspreads. 205 7.3 CDXIGon-the-runindexbasisversus5yindexquoteinbasispoints. 205 7.4 FTDspreadsˆ ,STDspreadsˆ ,andCDSspreadsˆinbasispoints 1 2 (rightaxis)andDefaultCorrelation(leftaxis)asafunctionofJump Intensity. 208 7.5 On-the-runITXTrancheQuoteHistory(0–3%mapstorightaxis andis%up-front.Allothertranchepricesarequotedasrunning

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From the late nineties, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modeling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modeling, covering statist
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The Oxford Handbook of Credit Derivatives PDF

704 Pages·2011·6.03 MB·English
by  Alexander Lipton
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From the late nineties, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modeling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modeling, covering statist

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