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    Books/Articles By

      Author:  Duffie, Darrell
     
     

    Chapter 11
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    11
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$7.00
     
    Affiliate & Non-Member:            US$$8.00

    Topics Covered:

    Credit risk, collateralized debt obligation (CDO), cash flow CDO, market value CDO, CDO contractual relationships, balance sheet CDOs, arbitrage CDOs, illiquidity, adverse selection, trading costs, moral hazard, default risk model, single obligor default intensities, multi-issuer default model, multifactor risks, recovery risk, collateral credit spread, diversity score, CDO tranche structures, pricing CDO tranches, collateral, sinking-fund tranches, uniform prioritization scheme, fast prioritization scheme, simulating CDOs, default loss analytics, shuffling symmetry, diversity score-based method of approximating CDO spreads, diversity score computation

    Chapter 5
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    5
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$7.00
     
    Affiliate & Non-Member:            US$$8.00

    Topics Covered:

    Credit risk, default risk valuation, risk-neutral probability, risk-neutral versus actual probabilities, default intensity, persistence, time-varying volatility, jumps, actuarial credit spread, actual yield spread, reduced-form debt pricing models, structural debt pricing models, Black-Scholes-Merton debt pricing model, first-passage debt pricing model, shape of spread curve, relative merits of structural versus reduced-form models, actual and risk-neutral probabilities in reduced form and structural models, Sharpe ratio

    Chapter 11
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    11
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$8.00
     
    Affiliate & Non-Member:            US$$9.00

    Summary:

    Excerpt from book - This chapter offers a basic review of the valuation of equities and corporate liabilities, beginning with some standard issues regarding the capital structure of a firm. Then, we turn to models of the valuation of defaultable debt that are based on an assumed stochastic arrival intensity ... click here for more details.




    Chapter 10
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    10
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$7.00
     
    Affiliate & Non-Member:            US$$8.00

    Summary:

    Based upon the material developed in Chapter 3, this chapter introduces the models of correlated defaults and their corresponding method of calibration and simulation algorithms. CreditMetrics, doubly stochastic correlated default-intensity processes, copulas and intensity-based models of default with joint credit events are the most popular approaches and are discussed ... click here for more details.




    Chapter 8
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    8
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$7.00
     
    Affiliate & Non-Member:            US$$8.00

    Topics Covered:

    Credit risk, credit default swaps (CDS), total rate of return swap, spread options, credit swap contract, International Swaps and Derivatives Association, credit event, settlement, credit swap spreads, repurchase agreement (repo), repo special, transaction costs, accrued credit swap premium payment, intensity-based CDS pricing models, constant intensity models, term structure model of forward default rates, asset swaps, asset swap spread, clean asset swap

    Chapter 3
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    3
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$7.00
     
    Affiliate & Non-Member:            US$$8.00

    Topics Covered:

    Credit risk, default probability modeling, correlation of business cycle and default rate, speculative-grade debt, forward default probability, hazard rate, structural models of default probability, Black-Scholes-Merton default model, first-passage models, distance to default, expected default frequency (EDF), KMV Corporation, default intensity, survival probability, doubly stochastic default, intensity models, mean-reverting intensity with jumps, Cox-Ingersoll-Ross intensity models, affine intensity models, Heath-Jarrow-Morton forward default rate models, default-time simulation, inverse CDF simulation, compensator simulation, bankruptcy, duration models, qualitative-response models, discriminant analysis,aging effects, mortality rate

    Chapter 8
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    8
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$8.00
     
    Affiliate & Non-Member:            US$$9.00

    Summary:

    Excerpt from book - This chapter applies arbitrage-free pricing techniques from Chapters 6 and 7 to derivative securities that are not always easily treated by the direct PDE approach of Chapter 5. A derivative security is one whose cash flows are contingent on the prices of other securities, or on ... click here for more details.




    Chapter 2
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    2
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$7.00
     
    Affiliate & Non-Member:            US$$8.00

    Topics Covered:

    Risk management, credit risk, market risk, extreme losses, liquidity costs, profit-loss assymmetries, Jensen`s inequality, minimum capital requirements, lemon`s premium, leverage, correlation, risk allocation, performance incentives, adverse selection, credit risk concentration, Derivatives Policy Group (DPG) recommendations, moral hazard, risk measurement, risk factors, counterparty risk, value at risk (VaR), core shocks, Bank for International Settlements, cash flow at risk, limitations of VaR, expected tail loss, risk capital, volatility, coherent risk measure, credit risk measurement, market value of default loss, credit exposure, Basel Accords, risk weighted assets

    Chapter 7
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    7
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$7.00
     
    Affiliate & Non-Member:            US$$8.00

    Topics Covered:

    Credit risk, credit risk pricing models, empirical aspects of corporate and sovereign bond yields, historical properties of US corporate bond credit spreads, correlation between Treasury rates and spreads, alternative reference curves for spreads, reduced-form models, affine models, parametric reduced-form models, square-root diffusion models, jump-diffusion models, observable credit factors, estimating structural models, empirical implementation and analysis of structural models, parametric models of sovereign spreads

    Chapter 10
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    10
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$8.00
     
    Affiliate & Non-Member:            US$$9.00

    Summary:

    Excerpt from book - This chapter reviews security market equilibrium in a continuous-time setting and derives several implications for security prices and expected returns. These include Breeden’s consumption-based capital asset pricing model (in both complete- and incomplete-market settings) as well as the Cox-Ingersoll-Ross model of the term structure.



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