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-

Notes for this page

Add a new note
If you are trying to select text to create highlights or citations, remember that you must now click or tap on the first word, and then click or tap on the last word.
One moment ...
Default project is now your active project.
Project items

Items saved from this book

This book has been saved
Highlights (0)
Some of your highlights are legacy items.

Highlights saved before July 30, 2012 will not be displayed on their respective source pages.

You can easily re-create the highlights by opening the book page or article, selecting the text, and clicking “Highlight.”

Citations (0)
Some of your citations are legacy items.

Any citation created before July 30, 2012 will labeled as a “Cited page.” New citations will be saved as cited passages, pages or articles.

We also added the ability to view new citations from your projects or the book or article where you created them.

Notes (0)
Bookmarks (0)

You have no saved items from this book

Project items include:
  • Saved book/article
  • Highlights
  • Quotes/citations
  • Notes
  • Bookmarks
Notes
Cite this page

Cited page

Style
Citations are available only to our active members.
Buy instant access to cite pages or passages in MLA, APA and Chicago citation styles.

(Einhorn, 1992, p. 25)

(Einhorn 25)

1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

Cited page

Bookmark this page
Credit Risk: Pricing, Measurement, and Management
Table of contents

Table of contents

Settings

Settings

Typeface
Text size Smaller Larger Reset View mode
Search within

Search within this book

Look up

Look up a word

  • Dictionary
  • Thesaurus
Please submit a word or phrase above.
Print this page

Print this page

Why can't I print more than one page at a time?

Help
Full screen
/ 310

matching results for page

    Questia reader help

    How to highlight and cite specific passages

    1. Click or tap the first word you want to select.
    2. Click or tap the last word you want to select, and you’ll see everything in between get selected.
    3. You’ll then get a menu of options like creating a highlight or a citation from that passage of text.

    OK, got it!

    Cited passage

    Style
    Citations are available only to our active members.
    Buy instant access to cite pages or passages in MLA, APA and Chicago citation styles.

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn, 1992, p. 25).

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn 25)

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences."1

    1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

    Cited passage

    Thanks for trying Questia!

    Please continue trying out our research tools, but please note, full functionality is available only to our active members.

    Your work will be lost once you leave this Web page.

    Buy instant access to save your work.

    Already a member? Log in now.

    Author Advanced search

    Oops!

    An unknown error has occurred. Please click the button below to reload the page. If the problem persists, please try again in a little while.