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Credit Risk Modeling and Pricing

In: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Author

Listed:
  • YI TANG

    (Goldman, Sachs & Co., Inc., USA)

  • BIN LI

    (Westport Financial, LLC, USA)

Abstract

The 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

Suggested Citation

  • Yi Tang & Bin Li, 2007. "Credit Risk Modeling and Pricing," World Scientific Book Chapters, in: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market, chapter 8, pages 327-385, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812706652_0008
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