05378nam 22006974a 450 991083054720332120170815123204.01-119-20189-61-280-31180-097866103118040-471-78719-1(CKB)1000000000239362(EBL)251667(OCoLC)137230203(SSID)ssj0000132209(PQKBManifestationID)12018653(PQKBTitleCode)TC0000132209(PQKBWorkID)10038524(PQKB)10783043(MiAaPQ)EBC251667(CaSebORM)9780471778622(EXLCZ)99100000000023936220050826d2006 uy 0engur|n|---|||||txtccrThe credit market handbook[electronic resource] advanced modeling issues /H. Gifford Fong, Editor1st editionHoboken, N.J. Wileyc20061 online resource (254 p.)Wiley finance seriesDescription based upon print version of record.0-471-77862-1 Includes bibliographical references and index.The Credit Market Handbook; Contents; Introduction; Executive Chapter Summaries; CHAPTER 1 ESTIMATING DEFAULT PROBABILITIES IMPLICIT IN EQUITY PRICES; CHAPTER 2 PREDICTIONS OF DEFAULT PROBABILITIES IN STRUCTURAL MODELS OF DEBT; CHAPTER 3 SURVEY OF THE RECENT LITERATURE: RECOVERY RISK; CHAPTER 4 NON-PARAMETRIC ANALYSIS OF RATING TRANSITION AND DEFAULT DATA; CHAPTER 5 VALUING HIGH-YIELD BONDS: A BUSINESS MODELING APPROACH; CHAPTER 6 STRUCTURAL VERSUS REDUCED-FORM MODELS: A NEW INFORMATION-BASED PERSPECTIVECHAPTER 7 REDUCED FORM VERSUS STRUCTURAL MODELS OF CREDIT RISK: A CASE STUDY OF THREE MODELSCHAPTER 8 IMPLICATIONS OF CORRELATED DEFAULT FOR PORTFOLIO ALLOCATION TO CORPORATE BONDS; CHAPTER 9 CORRELATED DEFAULT PROCESSES: A CRITERION-BASED COPULA APPROACH; Chapter 1: Estimating Default Probabilities Implicit in Equity Prices; 1. INTRODUCTION; 2. THE MODEL STRUCTURE; 3. DESCRIPTION OF THE DATA; 4. ESTIMATION OF THE STATE VARIABLE PROCESS PARAMETERS; 5. EQUITY RETURN ESTIMATION; 6. ANALYSIS OF THE TIME SERIES PROPERTIES OF THE PARAMETERS7. ANALYSIS OF FAMA-FRENCH FOUR-FACTOR MODEL WITH NO DEFAULT8. ANALYSIS OF A BUBBLE COMPONENT (P/E RATIO) IN STOCK PRICES; 9. ANALYSIS OF THE DEFAULT INTENSITY; 10. RELATIVE PERFORMANCE OF THE EQUITY RETURN MODELS; 11. COMPARISON OF DEFAULT INTENSITIES BASED ON DEBT VERSUS EQUITY; 12. CONCLUSIONS; NOTES; REFERENCES; APPENDIX; Chapter 2: Predictions of Default Probabilities in Structural Models of Debt; 1. INTRODUCTION; 2. RECENT EMPIRICAL STUDIES; 3. STRUCTURAL MODELS AND DEFAULT RISK; 4. THE DEFAULT BOUNDARY IN EXOGENOUS AND ENDOGENOUS CASES5. THE DEFAULT PROBABILITY WITH CONSTANT DEFAULT BARRIER6. CALIBRATION OF MODELS: THE BASE CASE; 7. MATCHING EMPIRICAL DEFAULT FREQUENCIES WITH THE L-T MODEL; 8. MATCHING EMPIRICAL DPS WITH THE L-S MODEL; 9. THE MOODY'S-KMV APPROACH; 10. SOME PRELIMINARY THOUGHTS ON THE RELATIONSHIP BETWEEN THE KMV APPROACH AND L-S/L-T; 11. CONCLUSIONS; ACKNOWLEDGMENTS; POSTSCRIPT; APPENDIX; NOTES; REFERENCES; Chapter 3: Survey of the Recent Literature: Recovery Risk; 1. INTRODUCTION; 2. EMPIRICAL ATTRIBUTES; 3. RECOVERY CONVENTIONS; 4. RECOVERY IN STRUCTURAL MODELS; 5. RECOVERY IN REDUCED-FORM MODELS6. MEASURE TRANSFORMATIONS7. SUMMARY ANDSPECULATION; REFERENCES; Chapter 4: Non-Parametric Analysis of Rating Transition and Default Data; 1. INTRODUCTION; 2. DATA AND OUTLINE OF METHODOLOGY; 3. ESTIMATING TRANSITION INTENSITIES IN TWO DIMENSIONS; 4. ONE-DIMENSIONAL HAZARDS AND MARGINAL INTEGRATION; 5. CONFIDENCE INTERVALS; 6. TRANSITIONS: DEPENDENCE ON PREVIOUS MOVE AND DURATION; 7. MULTIPLICATIVE INTENSITIES; 8. CONCLUDING REMARKS; ACKNOWLEDGMENTS; NOTES; REFERENCES; Chapter 5: Valuing High-Yield Bonds: A Business Modeling Approach; 1. INTRODUCTION; 2. SPECIFICATION OF THE MODEL3. A NUMERICAL ILLUSTRATIONIn The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default.In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include:* EstiWiley finance series.CreditMathematical modelsRisk managementMathematical modelsDefault (Finance)Mathematical modelsCreditMathematical models.Risk managementMathematical models.Default (Finance)Mathematical models.332.7332.701FONG H.1634591Fong H. Gifford594727MiAaPQMiAaPQMiAaPQBOOK9910830547203321The credit market handbook3974889UNINA01003nam 2200361 450 991080693570332120200520144314.01-4232-2608-9(CKB)3710000001404079(MiAaPQ)EBC4876955(Au-PeEL)EBL4876955(CaPaEBR)ebr11397658(OCoLC)990416326(EXLCZ)99371000000140407920190122d2016 uy 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierMicrosoft Outlook 2016 /author, Joan Lambert[Place of publication not identified] :BarCharts, Inc.,2016.1 online resource (6 pages)1-4232-2607-0 005.369Lambert Joan506775MiAaPQMiAaPQMiAaPQBOOK9910806935703321Microsoft Outlook 20164057847UNINA