信用风险的建模、评估和对冲（英文版）
出版时间：2013年版
内容简介
《信用风险的建模、评估和对冲》旨在研究信用风险定价发展中的数学模型，这一研究提供了信用风险数学研究理论和金融实践之间过渡的桥梁。书中的数学知识全面，给出了信用风险模型的结构化和约化形式，具有等级违约术语结构的一些套利自由模型做了详细地研究。目次：（一）结构方法：信用风险概念；公司债务；第一阶段时间模型；第一通过时间；（二）故障过程：随机时间故障率函数；随机时间的故障过程；鞅故障过程；几个随机时间的案例；（三）约化形式模型：基于强度的违约索赔评估；条件独立违约；依赖违约；马尔科夫链；信用平移的马尔科夫模型；heath-jarrow-morton型模型；可违约市场利率；市场利率模型。读者对象：数学、金融经济专业的学生老师和相关行业的从业人员。
目录
preface
part i. structural approach
1. introduction to credit risk
1.1 corporate bonds
1.1.1 recovery rules
1.1.2 safety covenants
1.1.3 credit spreads
1.1.4 credit ratings
1.1.5 corporate coupon bonds
1.1.6 fixed and floating rate notes
1.1.7 bank loans and sovereign debt
1.1.8 cross default
1.1.9 default correlations
1.2 vulnerable claims
1.2.1 vulnerable claims with unilateral default risk
1.2.2 vulnerable claims with bilateral default risk
1.2.3 defaultable interest rate contracts
1.3 credit derivatives
1.3.1 default swaps and options
1.3.2 total rate of return swaps
1.3.3 credit linked notes
1.3.4 asset swaps
1.3.5 first-to-default contracts
1.3.6 credit spread swaps and options
1.4 quantitative models of credit risk
1.4.1 structural models
1.4.2 reduced-form models
1.4.3 credit risk management
1.4.4 liquidity risk
1.4.5 econometric studies
2. corporate debt
2.1 defaultable claims
2.1.1 risk-neutral valuation formula
2.1.2 self-financing trading strategies
2.1.3 martingale measures
2.2 pde approach
2.2.1 pde for the value function
2.2.2 corporate zero-coupon bonds
2.2.3 corporate coupon bond
2.3 merton's approach to corporate debt
2.3.1 merton's model with deterministic interest rates
2.3.2 distance-to-default
2.4 extensions of merton's approach
2.4.1 models with stochastic interest rates
2.4.2 discontinuous value process
2.4.3 buffet's approach
3. first-passage-time models
3.1 properties of first passage times
3.1.1 probability law of the first passage time
3.1.2 joint probability law of y and t
3.2 black and cox model
3.2.1 corporate zero-coupon bond
3.2.2 corporate coupon bond
3.2.3 corporate consol bond
3.3 optimal capital structure
3.3.1 black and cox approach
3.3.2 leland's approach
3.3.3 leland and tort approach
3.3.4 further developments
3.4 models with stochastic interest rates
3.4.1 kim， ramaswamy and sundaresan approach
3.4.2 longstaff and schwartz approach
3.4.3 cathcart and e1-jahel approach
3.4.4 briys and de varenne approach
3.4.5 saa-requejo and santa-clara approach
3.5 further developments
3.5.1 convertible bonds
3.5.2 jump-diffusion models
3.5.3 incomplete accounting data
3.6 dependent defaults： structural approach
3.6.1 default correlations： j.p. morgan's approach
3.6.2 default correlations： zhou's approach
part ii. hazard processes
4. hazard function of a random time
4.1 conditional expectations w.r.t. natural filtrations
4.2 martingales associated with a continuous hazard function
4.3 martingale representation theorem
4.4 change of a probability measure
4.5 martingale characterization of the hazard function
4.6 compensator of a random time
5. hazard process of a random time
5.1 hazard process f
5.1.1 conditional expectations
5.1.2 semimartingale representation of the stopped process
5.1.3 martingales associated with the hazard process.
5.1.4 stochastic intensity of a random time
5.2 martingale representation theorems
5.2.1 general case
5.2.2 case of a brownian filtration
5.3 change of a probability measure
6. martingale hazard process
6.1 martingale hazard process a
6.1.1 martingale invariance property
6.1.2 evaluation of a： special case
6.1.3 evaluation of a： general case
6.1.4 uniqueness of a martingale hazard process a
6.2 relationships between hazard processes f and a
6.3 martingale representation theorem
6.4 case of the martingale invariance property
6.4.1 valuation of defaultable claims
6.4.2 case of a stopping time
6.5 random time with a given hazard process
6.6 poisson process and conditional poisson process
7. case of several random times
7.1 minimum of several random times
7.1.1 hazard function
7.1.2 martingale hazard process
7.1.3 martingale representation theorem
7.2 change of a probability measure
7.3 kusuoka's counter-example
7.3.1 validity of condition （f.2）
7.3.2 validity of condition （m.1）
part iii. reduced-form modeling
8. intensity-based valuation of defaultable claims
8.1 defaultable claims
8.1.1 risk-neutral valuation formula
8.2 valuation via the hazard process
8.2.1 canonical construction of a default time
8.2.2 integral representation of the value process.
8.2.3 case of a deterministic intensity
8.2.4 implied probabilities of default
8.2.5 exogenous recovery rules
8.3 valuation via the martingale approach
8.3.1 martingale hypotheses
8.3.2 endogenous recovery rules
8.4 hedging of defaultable claims
8.5 general reduced-form approach
8.6 reduced-form models with state variables
8.6.1 lando's approach
8.6.2 duffle and singleton approach
8.6.3 hybrid methodologies
8.6.4 credit spread models
9. conditionally independent defaults
9.1 basket credit derivatives
9.1.1 mutually independent default times
9.1.2 conditionally independent default times
9.1.3 valuation of the ith-to-default contract
9.1.4 vanilla default swaps of basket type
9.2 default correlations and conditional probabilities
9.2.1 default correlations
9.2.2 conditional probabilities
10. dependent defaults
10.1 dependent intensities
10.1.1 kusuoka's approach
10.1.2 jarrow and yu approach
10.2 martingale approach to basket credit derivatives
10.2.1 valuation of the ith-to-default claims
11. markov chains
11.1 discrete-time markov chains
11.1.1 change of a probability measure
11.1.2 the law of the absorption time
11.1.3 discrete-time conditionally markov chains
11.2 continuous-time markov chains
11.2.1 embedded discrete-time markov chain
11.2.2 conditional expectations
11.2.3 probability distribution of the absorption time
11.2.4 martingales associated with transitions
11.2.5 change of a probability measure
11.2.6 identification of the intensity matrix
11.3 continuous-time conditionally markov chains
11.3.1 construction of a conditionally markov chain
11.3.2 conditional markov property
11.3.3 associated local martingales
11.3.4 forward kolmogorov equation
12. markovian models of credit migrations
12.1 jlt markovian model and its extensions
12.1.1 jlt model： discrete-time case
12.1.2 jlt model： continuous-time case
12.1.3 kijima and komoribayashi model
12.1.4 das and tufano model
12.1.5 thomas， allen and morkel-kingsbury model
12.2 conditionally markov models
12.2.1 lando's approach
12.3 correlated migrations
12.3.1 huge and lando approach
13. heath-jarrow-morton type models
13.1 hjm model with default
13.1.1 model's assumptions
13.1.2 default-free term structure
13.1.3 pre-default value of a corporate bond
13.1.4 dynamics of forward credit spreads
13.1.5 default time of a corporate bond
13.1.6 case of zero recovery
13.1.7 default-free and defaultable libor rates
13.1.8 case of a non-zero recovery rate
13.1.9 alternative recovery rules
13.2 hjm model with credit migrations
13.2.1 model's assumption
13.2.2 migration process
13.2.3 special case
13.2.4 general case
13.2.5 alternative recovery schemes
13.2.6 defaultable coupon bonds
13.2.7 default correlations
13.2.8 market prices of interest rate and credit risk.
13.3 applications to credit derivatives
13.3.1 valuation of credit derivatives
13.3.2 hedging of credit derivatives
14. defaultable market rates
14.1 interest rate contracts with default risk
14.1.1 default-free libor and swap rates
14.1.2 defaultable spot libor rates
14.1.3 defaultable spot swap rates
14.1.4 fras with unilateral default risk
14.1.5 forward swaps with unilateral default risk.
14.2 multi-period iras with unilateral default risk
14.3 multi-period defaultable forward nominal rates
14.4 defaultable swaps with unilateral default risk
14.4.1 settlement of the ist kind
14.4.2 settlement of the 2nd kind
14.4.3 settlement of the 3rd kind
14.4.4 market conventions
14.5 defaultable swaps with bilateral default risk
14.6 defaultable forward swap rates
14.6.1 forward swaps with unilateral default risk
14.6.2 forward swaps with bilateral default risk
15. modeling of market rates
15.1 models of default-free market rates
15.1.1 modeling of forward libor rates
15.1.2 modeling of forward swap rates
15.2 modeling of defaultable forward libor rates
15.2.1 lotz and schlsgl approach
15.2.2 sch6nbucher's approach
references
basic notation
subject index
