Credit Securitizations and Derivatives: Challenges for the Global Markets
- 10h 5m
- Daniel Rösch, Harald Scheule
- John Wiley & Sons (UK)
- 2013
A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management
Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.
About the Authors
Daniel Röschis Professor of Finance and Head of the Institute of Banking and Finance at Leibniz Universität Hannover. He received a PhD from the University of Regensburg. His work covers a broad range in Banking, Asset Pricing and Empirical Finance. He has published numerous articles on Risk Management, Credit Risk, Banking, Quantitative Finance and Financial Econometrics in leading international journals. He has been conducting research projects with supervising authorities and is consulting financial institutions on risk management issues.
Harald Scheule is Associate Professor of Finance at the University of Technology, Sydney. His expertise is in the area of banking, Financial Risk Measurement and Management, Insurance, Prudential Regulation, Securities Evaluation and Structured Finance. He is a regional director of the Global Association of Risk Professionals. His research work has been accepted for publication in a wide range of journals including the European Financial Management, International Review of Finance, Journal of Banking and Finance, Journal of Financial Research, Journal of the Operational Research Society and The European Journal of Finance. He has worked with prudential regulators of financial institutions and undertaken consulting work for a wide range of financial institutions and service providers in Australia, Europe and North America.
In this Book
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Foreword
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Credit Securitizations and Derivatives
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Developments in Structured Finance Markets
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Mortgage Credit Risk
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Credit Portfolio Correlations and Uncertainty
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Credit Portfolio Correlations with Dynamic Leverage Ratios
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A Hierarchical Model of Tail-Dependent Asset Returns
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Monte Carlo Methods for Portfolio Credit Risk
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Credit Portfolio Risk and Diversification
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Differences in Tranching Methods—Some Results and Implications
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Global Structured Finance Rating
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Analytic Dynamic Factor Copula Model
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Dynamic Modeling of Credit Derivatives
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Pricing and Calibration in Market Models
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Counterparty Credit Risk and Clearing of Derivatives – from the Perspective of an Industrial Corporate with a Focus on Commodity Markets
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CDS Industrial Sector Indices, Credit and Liquidity Risk
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Risk Transfer and Pricing of Illiquid Assets with Loan CDS
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Regulatory Capital Requirements for Securitizations
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Regulating OTC Derivatives
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Governing Derivatives after the Financial Crisis—The Devil is in the Details
