Bluhm C., Overbeck L., Wagner C. An Introduction to Credit Risk Modeling

Chapman & Hall/CRC, Baco Raton, 2003. — 285 p.
The Basics of Credit Risk Management:
Expected Loss;
Unexpected Loss;
Regulatory Capital and the Basel Initiative.
Modeling Correlated Defaults:
The Bernoulli Model;
The Poisson Model;
Bernoulli Versus Poisson Mixture;
An Overview of Today’s Industry Models;
One-Factor/Sector Models;
Loss Distributions by Means of Copula Functions;
Estimation of Asset Correlations.
Asset Value Models:
A Few Words about Calls and Puts;
Merton’s Asset Value Model;
Transforming Equity into Asset Values.
The CreditRisk+ Model:
The Modeling Framework of CreditRisk+;
Independent Obligors;
Sector Model.
Alternative Risk Measures and Capital Allocation:
Coherent Risk Measures and Conditional Shortfall;
Contributory Capital.
Term Structure of Default Probability:
Survival Function and Hazard Rate;
Risk-neutral vs. Actual Default Probabilities;
Term Structure Based on Historical Default Information;
Term Structure Based on Market Spreads.
Credit Derivatives:
Total Return Swaps;
Credit Default Products;
Basket Credit Derivatives;
Credit Spread Products;
Credit-linked Notes.
Collateralized Debt Obligations:
Introduction to Collateralized Debt Obligations;
Different Roles of Banks in the CDO Market;
CDOs from the Modeling Point of View;
Rating Agency Models: Moody’s BET.