Credit Risk: Pricing, Measurement, and Management

By David Lando | Go to book overview
Contents
Prefacexi
1An Overview1
2Corporate Liabilities as Contingent Claims7
2.1Introduction7
2.2The Merton Model8
2.3The Merton Model with Stochastic Interest Rates17
2.4The Merton Model with Jumps in Asset Value20
2.5Discrete Coupons in a Merton Model27
2.6Default Barriers: the Black-Cox Setup29
2.7Continuous Coupons and Perpetual Debt34
2.8Stochastic Interest Rates and Jumps with Barriers36
2.9A Numerical Scheme when Transition Densities are Known40
2.10Towards Dynamic Capital Structure: Stationary Leverage Ratios41
2.11Estimating Asset Value and Volatility42
2.12On the KMV Approach48
2.13The Trouble with the Credit Curve51
2.14Bibliographical Notes54
3Endogenous Default Boundaries and Optimal Capital Structure59
3.1Leland’s Model60
3.2A Model with a Maturity Structure64
3.3EBIT-Based Models66
3.4A Model with Strategic Debt Service70
3.5Bibliographical Notes72
4Statistical Techniques for Analyzing Defaults75
4.1Credit Scoring Using Logistic Regression75
4.2Credit Scoring Using Discriminant Analysis77
4.3Hazard Regressions: Discrete Case81
4.4Continuous-Time Survival Analysis Methods83
4.5Markov Chains and Transition-Probability Estimation87
4.6The Difference between Discrete and Continuous93
4.7A Word of Warning on the Markov Assumption97

-vii-

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