Credit Risk Modeling and Pricing

Yi Tang and Bin Li
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Yi Tang: Goldman, Sachs & Co., Inc., USA
Bin Li: Westport Financial, LLC, USA

Chapter 8 in Quantitative Analysis, Derivatives Modeling, and Trading Strategies:In the Presence of Counterparty Credit Risk for the Fixed-Income Market, 2007, pp 327-385 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Pricing Simple Defaultable InstrumentsDefault Contingent InstrumentsA Simple Markov Chain ModelModeling Correlated Default Event Processes with a Factor ModelModeling Correlated Default Time Processes with the Copula ApproachRecovery Rate ModelingRisky Market Model for Credit Spread ModelingJoint Credit Spread and Default ModelingCounterparty Credit Risk Pricing in OTC DerivativesCredit Charge CalculationExpected and Potential Exposures and Expected ShortfallCredit Benefit CalculationCollateral or Margin AgreementNet Credit Charge and Funding Spread CalculationMartingale Relationships in Credit Charge CalculationsClosed-form Solutions and ApproximationsFramework for Counterparty Credit Risk Modeling and PricingCentralized Market Process Modeling and Scenario Generation EngineExposure or MTM Modeling EngineNew Trade and Real-time Exposure or MTM Modeling EngineCounterparty Credit Process Modeling and Scenario Generation EnginePortfolio Effect Handling and Aggregation EngineCounterparty Credit Risk Pricing EngineSensitivity and Scenario Analysis EngineUnexpected Risk Modeling Engine

Keywords: CVA; Credit Valuation Adjustment; Counterparty Credit; BGM Model; HJM Model; RS Model; Martingale; Derivatives Modeling; Martingale Resampling; Orthogonal Exponential Spline; Stat Arb; Nonexploding Bushy Tree; NBT; PRDC; TARN; Snowball; Snowbear; CCDS; Credit Extinguisher (search for similar items in EconPapers)
Date: 2007
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