Advanced Credit Risk Analysis

DIDIER COSSIN is Professor of Finance at HEC, Lausanne and Adjunct Professor at The International Institute of Management Development (IMD), Lausanne. He has previously taught at Harvard University (where he won two Derek Bok Awards for excellence in teaching) and was a Fulbright Fellow at the Massachusetts Institute of Technology. He holds a PhD from Harvard University and has also studied at Ecole Normale Supérieure (ENS) and Sorbonne University.Didier Cossin's professional experience includes: Goldman Sachs in London, Associés en Finance in Paris and Roussel Uclaf in Japan. He writes and referees for a number of leading journals and has presented papers at many major international conferences. Professor Cossin has also been a consultant or executive teacher to a large number of banks and corporations.HUGUES PIROTTE is Financial Engineer and co-founder of FinMetrics, a company specialising in consultancy and training in financial risk management, performance measurement and valuation. He holds a PhD from HEC, University of Lausanne, for which he completed a thesis on credit risk, as well as degrees in Banking and Finance and in Business Administration.Hugues Pirotte also lectures at: HEC-University of Lausanne (The Institute of Banking and Financial Management), the University of Geneva, and at Thunderbird, American Graduate School of International Managament (Geneva). He has published papers in a number of leading journals and presented at international conferences.

"... an ambitious, well-researched book with probably the most comprehensive review of the credit-risk-modelling literature.... I eagerly await the next edition." (Quantitative Finance, March 2001)

• Acknowledgements. Introduction.CREDIT RISK PRICING.Introduction to Modern Credit Risk Pricing.Merton's Approach: The Intuition Behind Structural Models.Subsequent Financial Engineering.Stochastic Interest Rates and Credit Risk.Advanced Considerations on Bankruptcy Endogeneity.Reduced-Form/Mixed Approaches.CREDIT RISK OF DERIVATIVES.Swap Credit Risk Pricing.Credit Risk in Options: Vulnerable Options.THEORETICAL WRAP-UP AND EMPIRICAL EVIDENCE.Introduction.Literature Wrap-Up.Empirical Evidence.A PROPOSITION FOR A STRUCTURAL MODEL.Introduction.The Pricing Model.Comparative Statics.The Practical Implementation and Final Issues.COLLATERALIZATION, MARKING-TO-MARKET, AND THEIR IMPACT ON CREDIT RISK.Introduction.A Structural Methodology for Haircut Determination and the Pricing of Credit Risk with Risky Collateral.Credit Risk Collateral Control as an Impulse Control Problem.MANAGEMENT OF CREDIT RISK.Advanced Management Tools.Financial Structuring with Credit Derivatives.Appendix A: Itô's Lemma.Appendix B: A Review of Interest Rate Models.General Bibliography.Index.