Credit Risk: Pricing, Measurement, and Management

By David Lando | Go to book overview

Index
absolute priority, 70
affine models
correlation, 122
in one dimension, 291
asset
substitution, 11
sales, 52
substitution, 11
swaps, 204
value, 8
estimation using MLE, 44
volatility, 8
estimation using MLE, 44
asset-swap spread, 204
asset-value correlation, 233
Bank of America, 216
bankruptcy costs, 61
barrier options, 31
baseline intensity, 85
basic affine processes, 236, 237
basket default swap, 198
Bernoulli random variable, 216
beta distribution, 218
bilateral netting, 248
binomial
distribution, 216
implementation of option-based models, 255
model
multiple, 229
pure death process, 230
Black–Cox model, 29
spreads compared with the Merton model, 33
Black–Scholes
formula, 10
model, 8, 288
Brownian motion
running minimum, 259
capital structure
optimal, 63
censoring, 85
Chapman–Kolmogorov equations, 271
CIR model, 292
clearing payment vector, 246
collateralized bond obligation (CBO), 199, 200
collateralized debt obligation (CDO), 198, 218
equity tranche, 220
junior tranche, 199, 220
mezzanine tranche, see junior tranche
senior tranche, 199, 220
synthetic, 201
collateralized loan obligation (CLO), 199
contagion, 223
direct, 233
model, 223
through intensities, 232
convenience yield, 194
copula
Gaussian, 244
copula function, 242
corporate bonds, 7
correlation, 214
and networks, 245
between intensity and short rate CIR case, 124
Gaussian model, 123
quadratic model, 125
in rating movements, 234
intensity models, 235
latent variables, 240
of default events
and clustering, 225
estimation, 225
of intensities, 234
sample, 215
coupons
continuous, 34
discrete
no asset sales, 27
with asset sales, 28
covariance, 214

-307-

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