Credit risk models and management

Abstract

Credit Risk Models and Management -------------------------------------------------------------------------------- CONTENTS General Introduction David Shimko Risky Bonds in the Portfolio and Market Context Section Introduction David Shimko Report on Defaults and Returns on High Yield Bonds: Analysis through 1998 E. Altman and V. Kishore Portfolio credit risk I Tom Wilson Portfolio credit risk II Tom Wilson Valuation of Risk Debt Section Introduction David Shimko On the Pricing of Corporate Debt: The Risk Structure of Interest Rates Robert Merton Valuing Corporate Securities: Some Effects of Bond Indenture Provisions F. Black and J. Cox Does Default Risk in Coupons Affect the Valuation of Corporate Bonds: A Contingent Claims Approach Model Kim, Ramaswamy and Sundaresan The Pricing of Risky Debt when Interest Rates are Stochastic Shimko, D., N. Tejima and D. van Deventer Contingent Claims Analysis of Corporate Capital Structure: An Empirical Investigation Jones, E.P., S.P. Mason and E. Rosenfeld A Simple Approach to Valuing Risky Fixed and Floating Rate Debt Longstaff, F.A. and E.S. Schwartz Credit Risk Revisited Michel Crouhy Credit Ratings Section Introduction David Shimko ZETA Analysis - A New Model to Identify Bankruptcy Risks of Corporations E. Altman. R. Handleman and P. Narayanan Using default rates to Model the Term Structure of Credit Risk J.Fons Measuring Changes in Corporate Credit Quality Carty and Fons The Declining Credit Quality of US Corporate Debt: Myths or Reality? Blume, Lim and MacKinley Refining Ratings Ross Miller Credit Risk Mitigation Alternatives Section Introduction David Shimko Pricing Options on Financial Securities Subject to Default Risk R. Jarrow and S. Turnbull Credit Swap Valuation D. Duffie Constructing a Credit Curve Risk David Li Keeping Credit Under Control David Murphy The Good the Bad and the Ugly Tablo Styblo Beder and Frank Iacono Practitioner's Guide to Managing Credit Risk Section Introduction David Shimko A Credit Risk Toolbox Angelo Arvanitis and Jon Gregory Reconcilable Differences Koyluoglu and Hickman Practical Usage of Credit Risk Models in Loan Portfolio and Counterparty Exposure Management Robert Jarrow and Donald van Deventer Using CreditMetrics in Credit Portfolio Risk Management Christopher Finger and Aiden McNulty New Paper Peter Crosbie Glossary Index

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