The Foundations of Credit Risk Analysis

Edited by Willi Semmler, Chair and Professor of Economics, New School for Social Research, New York and Lucas Bernard, Professor of Finance, Long Island University, US

Contents:

Acknowledgements

IntroductionWilli Semmler and Lucas Bernard

PART IFOUNDATIONS
1. Franco Modigliani and Merton H. Miller (1958), ‘The Cost of Capital, Corporation Finance and the Theory of Investment’
2. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
3. Robert C. Merton (1974), ‘On the Pricing of Corporate Debt: The Risk Structure of Interest Rates’
4. J.E. Stiglitz and A. Weiss (1992), ‘Asymmetric Information in Credit Markets and its Implications for Macro-Economics’

PART IIMEASURING CREDIT RISK
5. Marius J.L. Jonkhart (1979), ‘On the Term Structure of Interest Rates and the Risk of Default: An Analytical Approach’
6. John Hull and Alan White (1995), ‘The Impact of Default Risk on the Prices of Options and Other Derivative Securities’
7. Dilip B. Madan and Haluk Unal (1998), ‘Pricing the Risks of Default’
8. Michel Crouhy, Dan Galai and Robert Mark (2000), ‘A Comparative Analysis of Current Credit Risk Models’
9. Kay Giesecke and Lisa R. Goldberg (2004), ‘Forecasting Default in the Face of Uncertainty’

PART III CREDIT DERIVATIVES AND MODELING
10. John C. Hull and Alan White (2000), ‘Valuing Credit Default Swaps I: No Counterparty Default Risk’
11. John Hull and Alan White (2001), ‘Valuing Credit Default Swaps II: Modeling Default Correlations’
12. Philipp J. Schönbucher (2001), ‘Factor Models: Portfolio Credit Risk When Defaults Are Correlated’
13. Darrell Duffie (2005), ‘Credit Risk Modeling with Affine Processes’
14. Keith Kuester, Stefan Mittnik and Marc S. Paolella (2006), ‘Value-at-Risk Prediction: A Comparison of Alternative Strategies’

PART IV CONTROL AND MANAGEMENT OF CREDIT RISK
15. Douglas J. Lucas (1995), ‘Default Correlation and Credit Analysis’
16. Edward W. Frees and Emiliano A. Valdez (1998), ‘Understanding Relationships Using Copulas’
17. Lars Grüne and Willi Semmler (2005), ‘Default Risk, Asset Pricing, and Debt Control’
18. Francis A. Longstaff, Sanjay Mithal and Eric Neis (2005), ‘Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market’
19. Sanjiv R. Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita (2007), ‘Common Failings: How Corporate Defaults are Correlated’

Name Index