Multi‐Name and Structured Credit Risk Portfolios

This chapter contains sections titled: Overview Introduction Credit Default Swaps Example: Total Return Swaps Pricing Credit Default Swaps-The Implied Market Approach Example: The CDS Price Spread Example: An OTC (Swap) Contract under Risk-Neutral Pricing and Collateral Prices Example: Pricing a Project Launch Credit Derivatives: A Historical Perspective Credit Derivatives: Historical Modeling Credit Derivatives and Product Innovation CDO Example: Collateralized Mortgage Obligations (CMOs) Example: The CDO and SPV Modeling Credit Derivatives CDO: Quantitative Models Example: A CDO with Numbers Example: A CDO of Zero Coupon Bonds Example: A CDO of Default Coupon-Paying bonds Example: A CDO of Rated Bonds Examples: Default Models for Bonds CDO Models and Price Applications Example: The KMV Loss Model CDOs of Baskets of Various Assets Credit Risk versus Insurance Summary