메뉴 건너뛰기




Volumn 15, Issue C, 2007, Pages 437-470

Chapter 10 Calculating Portfolio Credit Risk

Author keywords

[No Author keywords available]

Indexed keywords


EID: 77950619333     PISSN: 09270507     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0927-0507(07)15010-6     Document Type: Review
Times cited : (9)

References (68)
  • 1
    • 0001936263 scopus 로고
    • Numerical inversion of Laplace transforms of probability distributions
    • Abate J., and Whitt W. Numerical inversion of Laplace transforms of probability distributions. ORSA Journal on Computing 7 (1995) 36-48
    • (1995) ORSA Journal on Computing , vol.7 , pp. 36-48
    • Abate, J.1    Whitt, W.2
  • 2
    • 32944470219 scopus 로고    scopus 로고
    • All your hedges in one basket
    • Andersen L., Basu S., and Sidenius J. All your hedges in one basket. Risk 16 November (2003) 67-72
    • (2003) Risk , vol.16 , Issue.November , pp. 67-72
    • Andersen, L.1    Basu, S.2    Sidenius, J.3
  • 5
    • 77950611437 scopus 로고    scopus 로고
    • The New Basel Capital Accord
    • Basel Committee on Bank Supervision
    • Basel Committee on Bank Supervision (2003). The New Basel Capital Accord. Third consultative document, http://www.bis.org
    • (2003) Third consultative document
  • 7
    • 84944831925 scopus 로고
    • Valuing corporate securities: Some effects of bond indenture provisions
    • Black F., and Cox J. Valuing corporate securities: Some effects of bond indenture provisions. Journal of Finance 31 (1976) 351-367
    • (1976) Journal of Finance , vol.31 , pp. 351-367
    • Black, F.1    Cox, J.2
  • 8
    • 77950479364 scopus 로고    scopus 로고
    • Credit spreads, optimal capital structure and implied volatility with endogenous default and jump risk
    • in press
    • Chen, N., Kou, S.G. (2005). Credit spreads, optimal capital structure and implied volatility with endogenous default and jump risk. Mathematical Finance, in press
    • (2005) Mathematical Finance
    • Chen, N.1    Kou, S.G.2
  • 10
    • 0345779079 scopus 로고    scopus 로고
    • Risk and valuation of collateralized debt obligations
    • Duffie D., and Garleanu N. Risk and valuation of collateralized debt obligations. Financial Analysts Journal 57 (2001) 41-59
    • (2001) Financial Analysts Journal , vol.57 , pp. 41-59
    • Duffie, D.1    Garleanu, N.2
  • 11
    • 0034986069 scopus 로고    scopus 로고
    • Term structures of credit spreads with incomplete accounting information
    • Duffie D., and Lando D. Term structures of credit spreads with incomplete accounting information. Econometrica 69 (2001) 633-664
    • (2001) Econometrica , vol.69 , pp. 633-664
    • Duffie, D.1    Lando, D.2
  • 12
    • 0033416234 scopus 로고    scopus 로고
    • Modeling term structures of defaultable bonds
    • Duffie D., and Singleton K. Modeling term structures of defaultable bonds. Review of Financial Studies 12 (1999) 687-720
    • (1999) Review of Financial Studies , vol.12 , pp. 687-720
    • Duffie, D.1    Singleton, K.2
  • 14
    • 0005789454 scopus 로고    scopus 로고
    • Coherent allocation of risk capital
    • Denault M. Coherent allocation of risk capital. Journal of Risk 4 (2001) 1-34
    • (2001) Journal of Risk , vol.4 , pp. 1-34
    • Denault, M.1
  • 15
    • 0041862445 scopus 로고    scopus 로고
    • Correlation and dependence properties in risk management: Properties and pitfalls
    • Embrechts P. (Ed), Risk Books, London
    • Embrechts P., McNeil A., and Straumann D. Correlation and dependence properties in risk management: Properties and pitfalls. In: Embrechts P. (Ed). Extremes and Integrated Risk Management (2000), Risk Books, London 71-76
    • (2000) Extremes and Integrated Risk Management , pp. 71-76
    • Embrechts, P.1    McNeil, A.2    Straumann, D.3
  • 16
    • 77950610322 scopus 로고    scopus 로고
    • Taking VAR to pieces
    • Risk Publications, London
    • Garman M. Taking VAR to pieces. Hedging with Trees (1999), Risk Publications, London
    • (1999) Hedging with Trees
    • Garman, M.1
  • 17
    • 2442676693 scopus 로고    scopus 로고
    • Correlated default with incomplete information
    • Giesecke K. Correlated default with incomplete information. Journal of Banking and Finance 28 (2004) 1521-1545
    • (2004) Journal of Banking and Finance , vol.28 , pp. 1521-1545
    • Giesecke, K.1
  • 19
    • 85014560508 scopus 로고    scopus 로고
    • Tail approximations for portfolio credit risk
    • Glasserman P. Tail approximations for portfolio credit risk. Journal of Derivatives 12 Winter (2004) 24-42
    • (2004) Journal of Derivatives , vol.12 , Issue.Winter , pp. 24-42
    • Glasserman, P.1
  • 20
    • 33846889421 scopus 로고    scopus 로고
    • Measuring marginal risk contributions in credit portfolios
    • Glasserman P. Measuring marginal risk contributions in credit portfolios. Journal of Computational Finance 9 (2005) 1-41
    • (2005) Journal of Computational Finance , vol.9 , pp. 1-41
    • Glasserman, P.1
  • 21
    • 27744504782 scopus 로고    scopus 로고
    • Importance sampling for portfolio credit risk
    • Glasserman P., and Li J. Importance sampling for portfolio credit risk. Management Science 51 (2005) 1643-1656
    • (2005) Management Science , vol.51 , pp. 1643-1656
    • Glasserman, P.1    Li, J.2
  • 22
    • 84973439046 scopus 로고    scopus 로고
    • A comparison of approximation techniques for portfolio credit risk
    • Glasserman P., and Ruiz-Mata J. A comparison of approximation techniques for portfolio credit risk. Journal of Credit Risk 2 (2006) 33-66
    • (2006) Journal of Credit Risk , vol.2 , pp. 33-66
    • Glasserman, P.1    Ruiz-Mata, J.2
  • 27
    • 11144326665 scopus 로고    scopus 로고
    • Granularity adjustment in portfolio credit risk measurement
    • Szegö G. (Ed), Wiley, New Yok
    • Gordy M.B. Granularity adjustment in portfolio credit risk measurement. In: Szegö G. (Ed). Risk Measures for the 21st Century (2004), Wiley, New Yok
    • (2004) Risk Measures for the 21st Century
    • Gordy, M.B.1
  • 29
    • 0001460902 scopus 로고
    • An inquiry into the nature of frequency distributions representative of multiple happenings with particular reference to the occurrence of multiple attacks of disease or of repeated accidents
    • Greenwood M., and Yule G.U. An inquiry into the nature of frequency distributions representative of multiple happenings with particular reference to the occurrence of multiple attacks of disease or of repeated accidents. Journal of the Royal Statistical Society 83 (1920) 255-279
    • (1920) Journal of the Royal Statistical Society , vol.83 , pp. 255-279
    • Greenwood, M.1    Yule, G.U.2
  • 30
    • 1642540853 scopus 로고    scopus 로고
    • I will survive
    • Gregory J., and Laurent J.-P. I will survive. Risk 16 June (2003) 103-107
    • (2003) Risk , vol.16 , Issue.June , pp. 103-107
    • Gregory, J.1    Laurent, J.-P.2
  • 35
    • 7444234887 scopus 로고    scopus 로고
    • Optimal capital structure and endogenous default
    • Hilberink B., and Rogers L.C.G. Optimal capital structure and endogenous default. Finance and Stochastics 6 (2002) 237-263
    • (2002) Finance and Stochastics , vol.6 , pp. 237-263
    • Hilberink, B.1    Rogers, L.C.G.2
  • 36
    • 84967442421 scopus 로고    scopus 로고
    • Valuation of a CDO and nth to default CDS without Monte Carlo
    • Hull J., and White A. Valuation of a CDO and nth to default CDS without Monte Carlo. Journal of Derivatives 12 Winter (2004) 8-23
    • (2004) Journal of Derivatives , vol.12 , Issue.Winter , pp. 8-23
    • Hull, J.1    White, A.2
  • 37
    • 84993907181 scopus 로고
    • Pricing derivatives on financial securities subject to credit risk
    • Jarrow R.A., and Turnbull S.M. Pricing derivatives on financial securities subject to credit risk. Journal of Finance 50 (1995) 53-85
    • (1995) Journal of Finance , vol.50 , pp. 53-85
    • Jarrow, R.A.1    Turnbull, S.M.2
  • 38
    • 0031514515 scopus 로고    scopus 로고
    • A Markov model for the term structure of credit risk spreads
    • Jarrow R.A., Lando D., and Turnbull S.M. A Markov model for the term structure of credit risk spreads. Review of Financial Studies 10 (1997) 481-523
    • (1997) Review of Financial Studies , vol.10 , pp. 481-523
    • Jarrow, R.A.1    Lando, D.2    Turnbull, S.M.3
  • 41
    • 3142615400 scopus 로고    scopus 로고
    • Rapid computation of prices and deltas of nth to default swaps in the Li model
    • Joshi M., and Kainth D. Rapid computation of prices and deltas of nth to default swaps in the Li model. Quantitative Finance 4 (2004) 266-275
    • (2004) Quantitative Finance , vol.4 , pp. 266-275
    • Joshi, M.1    Kainth, D.2
  • 42
    • 22544476245 scopus 로고    scopus 로고
    • An axiomatic approach to capital allocation
    • Kalkbrener M. An axiomatic approach to capital allocation. Mathematical Finance 15 (2005) 425-437
    • (2005) Mathematical Finance , vol.15 , pp. 425-437
    • Kalkbrener, M.1
  • 43
    • 33044483450 scopus 로고    scopus 로고
    • Sensible and efficient capital allocation for credit portfolios
    • Kalkbrener M., Lotter H., and Overbeck L. Sensible and efficient capital allocation for credit portfolios. Risk 17 (2004) S19-S24
    • (2004) Risk , vol.17
    • Kalkbrener, M.1    Lotter, H.2    Overbeck, L.3
  • 44
    • 42649143155 scopus 로고    scopus 로고
    • Kalemanova, A., Schmid, B., Werner, R. (2007). The normal inverse Gaussian distribution for synthetic CDO pricing. Journal od Derivatives, in press
    • Kalemanova, A., Schmid, B., Werner, R. (2007). The normal inverse Gaussian distribution for synthetic CDO pricing. Journal od Derivatives, in press
  • 46
    • 85012561365 scopus 로고    scopus 로고
    • A jump-diffusion model for pricing corporate debt securities in a complex capital structure
    • Kijima M., and Suzuki T. A jump-diffusion model for pricing corporate debt securities in a complex capital structure. Quantitative Finance 1 (2001) 611-620
    • (2001) Quantitative Finance , vol.1 , pp. 611-620
    • Kijima, M.1    Suzuki, T.2
  • 47
    • 77950616719 scopus 로고    scopus 로고
    • Tail approximations for portfolio credit risk with heavy-tailed risk factors
    • Kostadinov K. Tail approximations for portfolio credit risk with heavy-tailed risk factors. Journal of Risk 8 (2005) 81-107
    • (2005) Journal of Risk , vol.8 , pp. 81-107
    • Kostadinov, K.1
  • 48
    • 2442426317 scopus 로고    scopus 로고
    • Contributions to credit risk
    • Kurth A., and Tasche D. Contributions to credit risk. Risk March (2003) 84-88
    • (2003) Risk , vol.March , pp. 84-88
    • Kurth, A.1    Tasche, D.2
  • 49
    • 84993608428 scopus 로고
    • Corporate debt value, bond covenants and optimal capital structure
    • Leland H.E. Corporate debt value, bond covenants and optimal capital structure. Journal of Finance 49 (1994) 1213-1252
    • (1994) Journal of Finance , vol.49 , pp. 1213-1252
    • Leland, H.E.1
  • 50
    • 0039021357 scopus 로고    scopus 로고
    • Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads
    • Leland H.E., and Toft K.B. Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads. Journal of Finance 51 (1996) 987-1019
    • (1996) Journal of Finance , vol.51 , pp. 987-1019
    • Leland, H.E.1    Toft, K.B.2
  • 51
    • 0002875853 scopus 로고    scopus 로고
    • On default correlation: A copula function approach
    • Li D. On default correlation: A copula function approach. Journal of Fixed Income 9 (2000) 43-54
    • (2000) Journal of Fixed Income , vol.9 , pp. 43-54
    • Li, D.1
  • 52
    • 33644980078 scopus 로고    scopus 로고
    • Pricing equity derivatives subject to bankruptcy
    • Linetsky V. Pricing equity derivatives subject to bankruptcy. Mathematical Finance 16 (2006) 255-282
    • (2006) Mathematical Finance , vol.16 , pp. 255-282
    • Linetsky, V.1
  • 53
    • 77950606233 scopus 로고    scopus 로고
    • Hot spots and hedges
    • Risk Publications, London
    • Litterman R. Hot spots and hedges. Hedging with Trees (1999), Risk Publications, London
    • (1999) Hedging with Trees
    • Litterman, R.1
  • 54
    • 0005789447 scopus 로고    scopus 로고
    • Taking to the saddle
    • Martin R., Thompson K., and Browne C. Taking to the saddle. Risk 14 June (2001) 91-94
    • (2001) Risk , vol.14 , Issue.June , pp. 91-94
    • Martin, R.1    Thompson, K.2    Browne, C.3
  • 55
    • 12444296153 scopus 로고    scopus 로고
    • Who contributes and how much
    • Martin R., Thompson K., and Browne C. Who contributes and how much. Risk 14 August (2001) 99-103
    • (2001) Risk , vol.14 , Issue.August , pp. 99-103
    • Martin, R.1    Thompson, K.2    Browne, C.3
  • 57
    • 2442424208 scopus 로고    scopus 로고
    • Applying importance sampling for estimating coherent credit risk contributions
    • Merino S., and Nyfeler M.A. Applying importance sampling for estimating coherent credit risk contributions. Quantitative Finance 4 (2004) 199-207
    • (2004) Quantitative Finance , vol.4 , pp. 199-207
    • Merino, S.1    Nyfeler, M.A.2
  • 58
    • 0000808665 scopus 로고
    • On the pricing of corporate debt: The risk structure of interest rates
    • Merton R.C. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance 29 (1974) 449-470
    • (1974) Journal of Finance , vol.29 , pp. 449-470
    • Merton, R.C.1
  • 59
    • 17744394936 scopus 로고    scopus 로고
    • An importance sampling method for portfolios of credit risky assets
    • IEEE Press, Piscataway, NJ
    • Morokoff W.J. An importance sampling method for portfolios of credit risky assets. Proceedings of the Winter Simulation Conference (2004), IEEE Press, Piscataway, NJ 1668-1676
    • (2004) Proceedings of the Winter Simulation Conference , pp. 1668-1676
    • Morokoff, W.J.1
  • 61
    • 84958437977 scopus 로고
    • Recursive evaluation of a family of compound distributions
    • Panjer H. Recursive evaluation of a family of compound distributions. ASTIN Bulletin 12 (1981) 22-26
    • (1981) ASTIN Bulletin , vol.12 , pp. 22-26
    • Panjer, H.1
  • 62
    • 0025432132 scopus 로고
    • On large deviations theory and asymptotically efficient Monte Carlo estimation
    • Sadowsky J.S., and Bucklew J.A. On large deviations theory and asymptotically efficient Monte Carlo estimation. IEEE Transactions on Information Theory 36 (1990) 579-588
    • (1990) IEEE Transactions on Information Theory , vol.36 , pp. 579-588
    • Sadowsky, J.S.1    Bucklew, J.A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.