| 1. Introduction 1.1 Motivation 1.2 Objectives，Structure，and Summary 2. Modeling Credit Risk Factors 2.1 Introduction. 2.2 Definition and Elements of Credit Risk 2.3 Modeling Transition and Default Probabilities 2.3.1 The Historical Method 2.3.2 Excursus.Some Fundamental Mathematics 2.3.3 The Asset Based Method. 2.3.4 The Intensity Based Method 2.3.5 Adjusted Default Probabilities 2.4 Modeling Recovery Rates 2.4.1 Definition of Recovery Rates 2.4.2 The Impact of Seniority 2.4.3 The Impact of the Industry 2.4.4 The Impact of the Business Cycle 2.4.5 LossCalcTM.Moody’S Model for Predicting Recovery Rates 3. Pricing Corporate and Sovereign Bonds 3.1 Introduction 3.1.1 Defaultable Bond Markets 3.1.2 Pricing Defaultable Bonds 3.2 Asset Based Models 3.2.1 Merton’S Approach and Extensions 3.2.2 First Passage Time Models 3.3 Intensity Based Models 3.3.1 Short Rate Type Model 4. Correlated Defaults 4.1 Introduction 4.2 Correlated Asset Values 4.3 Correlated Default Intensities 4.4 Correlation and Copula Functions 5. Credit Derivatives. 5.1 Introduction to Credit Derivatives 5.2 Technical Definitions 5.3 Single Counterparty Credit Derivatives 5.3.1 Credit Options 5.3.2 Credit Spread Products 5.3.3 Credit Default Products 5.3.4 Par and Market Asset Swaps 5.3.5 0ther Credit Derivatives 5.4 Multi Counterparty C.redit Derivatives 5.4.1 Index Swaps 5.4.2 Basket Default Swaps 5.4.3 Collateralized Debt Obligations（CDOs） 6. A Three.Factor Defaultable Term Structure Model 6.1 Introduction 6.1.1 A New Model For Pricing Defaultable Bonds 6.2 The Three-Factor Model. 6.2.1 The Basic Setup 6.2.2 Valuation Formulas For Contingent Claims 6.3 The Pricing of Defaultable Fixed and Floating Rate Debt 6.3.1 Introduction 6.3.2 Defaultable Discount Bonds. 6.3.3 Defaultable(Non-Callable)Fixed Rate Debt 6.3.4 Defaultable Callable Fixed Rate Debt 6.3.5 Building a Theoretical Framework for Pricing One-Party Defaultable Interest Rate Derivatives 6.3.6 Defaultable Floating Rate Debt 6.3.7 Defaultable Interest Rate Swaps 6.4 The Pricing of Credit Derivatives 6.4.1 Some Pricing Issues 6.4.2 Credit Options 6.4.3 Credit Spread Options 6.4.4 Default Swaps and Default options 6.5 A Discrete-Time Version of the Three-Factor Model 6.5.1 Introduction 6.5.2 Constructing the Lattice 6.5.3 General Interest Rate Dynamics 6.6 Fitting the Model to Market Data 6.6.1 Introduction 6.6.2 Method ofLeast Squared Minimization 6.6.3 The Kalman Filtering Methodology …… A Some Definitions of S&P B Technical Proofs C Pricing of Credit Derivatives:Extensions List of Figures List of Tigures References Index |
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