Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk

Acknowledgements.

Introduction.
CREDIT RISK PRICING.
Introduction to Modern Credit Risk Pricing.
Merton's Approach: The Intuition Behind Structural Models.
Subsequent Financial Engineering.
Stochastic Interest Rates and Credit Risk.
Advanced Considerations on Bankruptcy Endogeneity.
Reduced-Form/Mixed Approaches.
CREDIT RISK OF DERIVATIVES.
Swap Credit Risk Pricing.
Credit Risk in Options: Vulnerable Options.
THEORETICAL WRAP-UP AND EMPIRICAL EVIDENCE.
Introduction.
Literature Wrap-Up.
Empirical Evidence.
A PROPOSITION FOR A STRUCTURAL MODEL.
Introduction.
The Pricing Model.
Comparative Statics.
The Practical Implementation and Final Issues.
COLLATERALIZATION, MARKING-TO-MARKET, AND THEIR IMPACT ON CREDIT RISK.
Introduction.
A Structural Methodology for Haircut Determination and the Pricing of Credit Risk with Risky Collateral.
Credit Risk Collateral Control as an Impulse Control Problem.
MANAGEMENT OF CREDIT RISK.
Advanced Management Tools.
Financial Structuring with Credit Derivatives.
Appendix A: Itô's Lemma.
Appendix B: A Review of Interest Rate Models.
General Bibliography.
Index.