{"product_id":"credit-risk-niklas-wagner-9781584889946","title":"Credit Risk: Models, Derivatives, and Management","description":"\u003cp\u003eFeaturing contributions from leading international academics and practitioners, \u003cb\u003eCredit Risk: Models, Derivatives, and Management\u003c\/b\u003e illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results.\u003c\/p\u003e\u003cp\u003eDivided into six sections, the book \u003c\/p\u003e\u003cp\u003e- Explores the rapidly developing area of credit derivative products, including iTraxx Futures, iTraxx Default Swaptions, and constant proportion debt obligations \u003c\/p\u003e\u003cp\u003e- Addresses the relationships between the DJ iTraxx credit default swap (CDS) index and the stock market as well as CDS spreads and macroeconomic factors \u003c\/p\u003e\u003cp\u003e- Investigates systematic and firm-specific default risk factors, compares CDS pricing results from the CreditGrades industry benchmark to a trinomial tree approach, and applies the Hull-White intensity-based model to the pricing of names from the CDX index \u003c\/p\u003e\u003cp\u003e- Analyzes aggregate default and recovery rates on corporate bond defaults over a twenty-year period, the responses of hazard rates to changes in a set of economic variables, low-default portfolios, and tests on the accuracy of the Basel II framework \u003c\/p\u003e\u003cp\u003e- Describes benchmark models of implied credit correlation risk, copula-based default dependence concepts, the fit of various copula models, and a common factor model of systematic credit risk \u003c\/p\u003e\u003cp\u003e- Studies the pricing of options on single-name CDSs, the pricing of credit derivatives, collateralized debt obligation (CDO) price data, the pricing of CDO tranches, applications of Gaussian and Student's \u003ci\u003et\u003c\/i\u003e copula functions, and the pricing of CDOs \u003c\/p\u003e\u003cp\u003eUsing mathematical models and methodologies, this volume provides the essential knowledge to properly manage credit risk and make sound financial decisions.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Niklas Wagner\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1584889942\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781584889946\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e CRC Press\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 05\/01\/2008\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 598\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 2.70lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.90h x 7.00w x 1.50d\u003cbr\u003e\u003cbr\u003e\u003cb\u003eReview Citation(s): \u003c\/b\u003e\u003cbr\u003e\u003ci\u003eReference and Research Bk News\u003c\/i\u003e 08\/01\/2008 pg. 156","brand":"Niklas Wagner","offers":[{"title":"Hardcover","offer_id":48088593924351,"sku":"9781584889946","price":240.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_025aa996-b908-4665-b27f-a638e2f0b7b4.jpg?v=1769105636","url":"https:\/\/www.whiterainbookhouse.com\/products\/credit-risk-niklas-wagner-9781584889946","provider":"WR Book House","version":"1.0","type":"link"}