The Resource Credit securitizations and derivatives : challenges for the global markets, edited by Daniel Rösch, Harald Scheule
Credit securitizations and derivatives : challenges for the global markets, edited by Daniel Rösch, Harald Scheule
Resource Information
The item Credit securitizations and derivatives : challenges for the global markets, edited by Daniel Rösch, Harald Scheule represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Credit securitizations and derivatives : challenges for the global markets, edited by Daniel Rösch, Harald Scheule represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
 Summary
 "This 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"provided by publisher
 Language
 eng
 Extent
 xiv, 448 pages
 Contents

 Foreword
 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 AssetBacked Securities and Outstanding Ratings
 Issuance of Assetbacked 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 SemiGaussian 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. (2007) Model
 The Method of Images for Constant Coefficients
 The Method of Images for TimeVarying Coefficients
 Modelling Default Correlations in a TwoFirm Model Default Correlations
 A TwoFirm Model with Dynamic Leverage Ratios
 Method of Images for Constant Coefficients
 Method of Images for TimeVarying 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 CreditLinked Notes
 A Hierarchical Model of TailDependent 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 Rareevent 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
 PDbased Tranching
 ELbased 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 ELbased Tranches
 Skipping of Some Tranches in the ELbased Approach
 Global Structured Finance Rating
 AssetBacked Securities
 The ABS Structure for the Experiment
 Cash Flow Modeling
 Modeling and Simulating Defaults
 Expected Loss Rating
 Global Sensitivity Analysis
 Elementary Effects
 Variancebased Method
 Global Sensitivity Analysis Results
 Uncertainty Analysis
 Sensitivity Analysis
 Global Rating
 PART IV CREDIT DERIVATIVES
 Analytic Dynamic Factor Copula Model
 Pricing Equations
 Onefactor Copula Model
 Multiperiod 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 Assetvalue Model
 Empirical Analysis
 Elementary Data
 Implied Dividends
 Market Dynamics
 Asset Value Model
 Tranche Pricing
 Outoftime 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 exposurereducing techniques
 Payment Terms
 Material Adverse Change Clauses
 Master Agreements
 Netting
 Margining
 Close Out Exposure and Threshold
 Ex Ante riskreducing techniques
 Credit Enhancements in General
 Parent Company Guarantees
 Letters of Credit
 Credit Insurance
 Clearing via a Central Counterparty
 Ex Post riskreducing techniques
 Factoring
 Novation
 Riskreducing Trades
 Hedging with CDS
 Hedging with ContingentCDS
 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 Intensitybased 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)
 Postcrisis Revisions to the Basel Framework
 Regulating OTC Derivatives
 The Wall Street Transparency and Accountability Part of the DoddFrank Act of 2010
 Which Derivatives Will Be Affected?
 Clearing
 Transparency and Reporting Requirements
 BankruptcyRelated 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 DoddFrank 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 DoddFrank Wall Street Reform and Consumer Protection Act of 2010
 Regulatory Challenges and Responses
 Fostering an Exchangetraded Credit Derivatives Market
 Counterparty Risk
 Disclosure and Transparency
 Accounting, Valuation and Stability Issues
 Isbn
 9781119963967
 Label
 Credit securitizations and derivatives : challenges for the global markets
 Title
 Credit securitizations and derivatives
 Title remainder
 challenges for the global markets
 Statement of responsibility
 edited by Daniel Rösch, Harald Scheule
 Title variation
 Credit securitisations and derivatives
 Language
 eng
 Summary
 "This 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"provided by publisher
 Cataloging source
 BTCTA
 http://library.link/vocab/creatorName
 Rösch, Daniel
 Dewey number
 332.7
 Illustrations
 illustrations
 Index
 index present
 Literary form
 non fiction
 Nature of contents
 bibliography
 http://library.link/vocab/relatedWorkOrContributorName
 Scheule, Harald
 Series statement
 Wiley finance
 http://library.link/vocab/subjectName

 Financial security
 Financial risk
 Credit
 Label
 Credit securitizations and derivatives : challenges for the global markets, edited by Daniel Rösch, Harald Scheule
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 volume
 Carrier category code

 nc
 Carrier MARC source
 rdacarrier.
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent.
 Contents
 Foreword  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 AssetBacked Securities and Outstanding Ratings  Issuance of Assetbacked 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 SemiGaussian 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. (2007) Model  The Method of Images for Constant Coefficients  The Method of Images for TimeVarying Coefficients  Modelling Default Correlations in a TwoFirm Model Default Correlations  A TwoFirm Model with Dynamic Leverage Ratios  Method of Images for Constant Coefficients  Method of Images for TimeVarying 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 CreditLinked Notes  A Hierarchical Model of TailDependent 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 Rareevent 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  PDbased Tranching  ELbased 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 ELbased Tranches  Skipping of Some Tranches in the ELbased Approach  Global Structured Finance Rating  AssetBacked Securities  The ABS Structure for the Experiment  Cash Flow Modeling  Modeling and Simulating Defaults  Expected Loss Rating  Global Sensitivity Analysis  Elementary Effects  Variancebased Method  Global Sensitivity Analysis Results  Uncertainty Analysis  Sensitivity Analysis  Global Rating  PART IV CREDIT DERIVATIVES  Analytic Dynamic Factor Copula Model  Pricing Equations  Onefactor Copula Model  Multiperiod 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 Assetvalue Model  Empirical Analysis  Elementary Data  Implied Dividends  Market Dynamics  Asset Value Model  Tranche Pricing  Outoftime 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 exposurereducing techniques  Payment Terms  Material Adverse Change Clauses  Master Agreements  Netting  Margining  Close Out Exposure and Threshold  Ex Ante riskreducing techniques  Credit Enhancements in General  Parent Company Guarantees  Letters of Credit  Credit Insurance  Clearing via a Central Counterparty  Ex Post riskreducing techniques  Factoring  Novation  Riskreducing Trades  Hedging with CDS  Hedging with ContingentCDS  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 Intensitybased 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)  Postcrisis Revisions to the Basel Framework  Regulating OTC Derivatives  The Wall Street Transparency and Accountability Part of the DoddFrank Act of 2010  Which Derivatives Will Be Affected?  Clearing  Transparency and Reporting Requirements  BankruptcyRelated 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 DoddFrank 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 DoddFrank Wall Street Reform and Consumer Protection Act of 2010  Regulatory Challenges and Responses  Fostering an Exchangetraded Credit Derivatives Market  Counterparty Risk  Disclosure and Transparency  Accounting, Valuation and Stability Issues
 Control code
 FIEb17322595
 Dimensions
 25 cm.
 Extent
 xiv, 448 pages
 Isbn
 9781119963967
 Media category
 unmediated
 Media MARC source
 rdamedia.
 Media type code

 n
 Other physical details
 illustrations
 System control number

 (DLC)17792902
 (DLC)2012537436
 (OCoLC)809616873
 Label
 Credit securitizations and derivatives : challenges for the global markets, edited by Daniel Rösch, Harald Scheule
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 volume
 Carrier category code

 nc
 Carrier MARC source
 rdacarrier.
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent.
 Contents
 Foreword  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 AssetBacked Securities and Outstanding Ratings  Issuance of Assetbacked 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 SemiGaussian 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. (2007) Model  The Method of Images for Constant Coefficients  The Method of Images for TimeVarying Coefficients  Modelling Default Correlations in a TwoFirm Model Default Correlations  A TwoFirm Model with Dynamic Leverage Ratios  Method of Images for Constant Coefficients  Method of Images for TimeVarying 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 CreditLinked Notes  A Hierarchical Model of TailDependent 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 Rareevent 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  PDbased Tranching  ELbased 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 ELbased Tranches  Skipping of Some Tranches in the ELbased Approach  Global Structured Finance Rating  AssetBacked Securities  The ABS Structure for the Experiment  Cash Flow Modeling  Modeling and Simulating Defaults  Expected Loss Rating  Global Sensitivity Analysis  Elementary Effects  Variancebased Method  Global Sensitivity Analysis Results  Uncertainty Analysis  Sensitivity Analysis  Global Rating  PART IV CREDIT DERIVATIVES  Analytic Dynamic Factor Copula Model  Pricing Equations  Onefactor Copula Model  Multiperiod 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 Assetvalue Model  Empirical Analysis  Elementary Data  Implied Dividends  Market Dynamics  Asset Value Model  Tranche Pricing  Outoftime 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 exposurereducing techniques  Payment Terms  Material Adverse Change Clauses  Master Agreements  Netting  Margining  Close Out Exposure and Threshold  Ex Ante riskreducing techniques  Credit Enhancements in General  Parent Company Guarantees  Letters of Credit  Credit Insurance  Clearing via a Central Counterparty  Ex Post riskreducing techniques  Factoring  Novation  Riskreducing Trades  Hedging with CDS  Hedging with ContingentCDS  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 Intensitybased 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)  Postcrisis Revisions to the Basel Framework  Regulating OTC Derivatives  The Wall Street Transparency and Accountability Part of the DoddFrank Act of 2010  Which Derivatives Will Be Affected?  Clearing  Transparency and Reporting Requirements  BankruptcyRelated 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 DoddFrank 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 DoddFrank Wall Street Reform and Consumer Protection Act of 2010  Regulatory Challenges and Responses  Fostering an Exchangetraded Credit Derivatives Market  Counterparty Risk  Disclosure and Transparency  Accounting, Valuation and Stability Issues
 Control code
 FIEb17322595
 Dimensions
 25 cm.
 Extent
 xiv, 448 pages
 Isbn
 9781119963967
 Media category
 unmediated
 Media MARC source
 rdamedia.
 Media type code

 n
 Other physical details
 illustrations
 System control number

 (DLC)17792902
 (DLC)2012537436
 (OCoLC)809616873
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.eui.eu/portal/Creditsecuritizationsandderivatives/_sPDBpzu24M/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Creditsecuritizationsandderivatives/_sPDBpzu24M/">Credit securitizations and derivatives : challenges for the global markets, edited by Daniel Rösch, Harald Scheule</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>