Credit Modelling (2nd edition)
Credit Modelling (2nd edition)
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The book reveals to traders how to consistently outperform credit benchmarks, how to hedge the credit risk premium, and how to overcome pension liability deficits. In addition, several successful trading strategies are presented including debt versus equities, Co-Co bond trading and a quantitative analysis of the municipal bond market.
Chapters include:
- Credit Models, Past Present and Future
- Predicting Annual Default Rates and Implications for Market Prices
- Risk and Relative Value in the Municipal Bond Market
- Contingent Collateral Bonds
- Model for Sovereign Default and Relative Value
- Beating Credit Benchmarks
- Analyzing and Hedging Systemic Liquidity Risk
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Table of contents
Part 1 - History and Major Themes
1. Introduction and Motivation
2. Credit Models, Past Present and Future
3. The Credit Risk Premium
4. Predicting Annual Default Rates and Implications for Market Prices
5. Risk and Relative Value in the Municipal Bond Market
Part 2 - New Credit Models and Trading Strategies
6. Predicting Bank Defaults
7. Contingent Collateral Bonds
8. Model for Sovereign Default and Relative Value
9. Beating Credit Benchmarks
10. Equity and Debt Risk Premium Trade
Part 3 - Credit Portfolio Management
11. Credit Portfolio Management
12. Managing Pension Fund Liabilities
13. Simulating Combined Spread and Default Moves
14. Black-Litterman Optimization Demystified
15. Analyzing and Hedging Systemic Liquidity Risk