Credit Securitisations and Derivatives

A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management

Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.

Table of Contents

PART I INTRODUCTION
Chapter 1 Credit Securitizations and Derivatives
Chapter 2 Developments in Structured Finance Markets

PART II CREDIT PORTFOLIO RISK MEASUREMENT
Chapter 3 Mortgage Credit Risk
Chapter 4 Credit Portfolio Correlations and Uncertainty
Chapter 5 Credit Portfolio Correlations with Dynamic Leverage Ratios
Chapter 6 A Hierarchical Model of Tail-Dependent Asset Returns
Chapter 7 Monte Carlo Methods for Portfolio Credit Risk
Chapter 8 Credit Portfolio Risk and Diversification

PART III CREDIT PORTFOLIO RISK SECURITIZATION AND TRANCHING
Chapter 9 Differences in Tranching Methods: Some Results and Implications
Chapter 10 Global Structured Finance Rating

PART IV CREDIT DERIVATIVES
Chapter 11 Analytic Dynamic Factor Copula Model
Chapter 12 Dynamic Modeling of Credit Derivatives
Chapter 13 Pricing and Calibration in Market Models
Chapter 14 Counterparty Credit Risk and Clearing of Derivatives – From the Perspective of an Industrial Corporate with a Focus on Commodity Markets
Chapter 15 CDS Industrial Sector Indices, Credit and Liquidity Risk
Chapter 16 Risk Transfer and Pricing of Illiquid Assets with Loan CDS

PART V REGULATION
Chapter 17 Regulatory Capital Requirements for Securitizations
Chapter 18 Regulating OTC Derivatives
Chapter 19 Governing Derivatives after the Financial Crisis: The Devil is in the Details