LEADER 05444nam 22007214a 450 001 9910877488203321 005 20170815123204.0 010 $a1-119-20189-6 010 $a1-280-31180-0 010 $a9786610311804 010 $a0-471-78719-1 035 $a(CKB)1000000000239362 035 $a(EBL)251667 035 $a(OCoLC)137230203 035 $a(SSID)ssj0000132209 035 $a(PQKBManifestationID)12018653 035 $a(PQKBTitleCode)TC0000132209 035 $a(PQKBWorkID)10038524 035 $a(PQKB)10783043 035 $a(MiAaPQ)EBC251667 035 $a(CaSebORM)9780471778622 035 $a(OCoLC)793358864 035 $a(OCoLC)ocn793358864 035 $a(EXLCZ)991000000000239362 100 $a20050826d2006 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 04$aThe credit market handbook$b[electronic resource] $eadvanced modeling issues /$fH. Gifford Fong, Editor 205 $a1st edition 210 $aHoboken, N.J. $cWiley$dc2006 215 $a1 online resource (254 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a0-471-77862-1 320 $aIncludes bibliographical references and index. 327 $aThe 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 PERSPECTIVE 327 $aCHAPTER 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 PARAMETERS 327 $a7. 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 CASES 327 $a5. 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 MODELS 327 $a6. 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 MODEL 327 $a3. A NUMERICAL ILLUSTRATION 330 $aIn The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default.In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include:* Esti 410 0$aWiley finance series. 606 $aCredit$xMathematical models 606 $aRisk management$xMathematical models 606 $aDefault (Finance)$xMathematical models 615 0$aCredit$xMathematical models. 615 0$aRisk management$xMathematical models. 615 0$aDefault (Finance)$xMathematical models. 676 $a332.7 676 $a332.701 700 $aFONG$b H.$01756102 701 $aFong$b H. Gifford$0594727 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910877488203321 996 $aThe credit market handbook$94193201 997 $aUNINA