A Introduction to Affine Processes

Chapters in this book

1. Frontmatter i
2. Contents vii
3. Preface xi
4. Acknowledgments xiii
5. 1 Introduction 1
6. 2 Economic Principles of Risk Management 12
7. 3 Default Arrival: Historical Patterns and Statistical Models 43
8. 4 Ratings Transitions: Historical Patterns and Statistical Models 85
9. 5 Conceptual Approaches to Valuation of Default Risk 100
10. 6 Pricing Corporate and Sovereign Bonds 122
11. 7 Empirical Models of Defaultable Bond Spreads 156
12. 8 Credit Swaps 173
13. 9 Optional Credit Pricing 194
14. 10 Correlated Defaults 229
15. 11 Collateralized Debt Obligations 250
16. 12 Over-the-Counter Default Risk and Valuation 285
17. 13 Integrated Market and Credit Risk Measurement 314
18. A Introduction to Affine Processes 346
19. B Econometrics of Affine Term-Structure Models 362
20. C HJM Spread Curve Models 367
21. References 371
22. Index 385