"A Chapman & Hall book."

Includes bibliographical references and index.

Pt. I. A View on Credit Derivatives -- Ch. 1. Single Name Credit Default Swap Valuation: A Review / Anouk C. P. Claes and Marc J. K. De Ceuster -- Ch. 2. Valuation of Credit Derivatives with Counterparty Risk / Volker Lager, Andreas Oehler, Marco Rummer and Dirk Schiefer -- Ch. 3. Integrated Credit Portfolio Management: A Preview / Jochen Felsenheimer and Philip Gisdakis -- Ch. 4. Credit Default Swaps and an Application to the Art Market: A Proposal / Rachel A. J. Campbell and Christian Wiehenkamp -- Pt. II. Credit Risk, Spreads, and Spread Determinants -- Ch. 5. Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market / Hans Bystrom -- Ch. 6. The Determinants of Credit Default Swap Prices: An Industry-Based Investigation / Danielle Sougne, Cedric Heuchenne and Georges Hubner -- Ch. 7. Credit Spread Dynamics: Evidence from Latin America / Kannan Thuraisamy, Gerry Gannon and Jonathan A. Batten -- Ch. 8. Accounting Data Transparency and Credit Spreads: Clinical Studies / Umberto Cherubini -- Ch. 9. Anticipating Credit Events Using Credit Default Swaps: An Application to Sovereign Debt Crises / Jorge Antonio Chan-Lau -- Pt. III. Credit Risk Modeling and Pricing -- Ch. 10. Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models / Gurdip Bakshi, Dilip Madan and Frank Xiaoling Zhang -- Ch. 11. Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees / Christian Stewart and Niklas Wagner -- Ch. 12. Pricing CDX Credit Default Swaps Using the Hull-White Model / Bastian Hofberger and Niklas Wagner -- Pt. IV. Default Risk, Recovery Risk, and Rating -- Ch. 13. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications / Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi -- Ch. 14. Business and Financial Indicators: What Are the Determinants of Default Probability Changes? / Fabien Couderc, Olivier Renault and Olivier Scaillet -- Ch. 15. Managing Credit Risk for Retail Low-Default Portfolios / Gabriele Sabato -- Ch. 16. Tests on the Accuracy of Basel II / Simone Varotto -- Pt. V. Credit Risk Dependence and Dependent Defaults -- Ch. 17. Correlation Risk: What the Market Is Telling Us and Does It Make Sense? / Vineer Bhansali -- Ch. 18. Copula-Based Default Dependence Modeling: Where Do We Stand? / Elisa Luciano -- Ch. 19. Correlated Default Processes: A Criterion-Based Copula Approach / Sanjiv R. Das and Gary Geng -- Ch. 20. Systematic Credit Risk: CDX Index Correlation and Extreme Dependence / Sofiane Aboura and Niklas Wagner -- Pt. VI. Options, Portfolios, and Pricing Loss Distribution Tranches -- Ch. 21. CDS Options through Candidate Market Models and the CDS-Calibrated CIR++ Stochastic Intensity Model / Damiano Brigo -- Ch. 22. Arbitrage Pricing of Credit Derivatives / Siu Lam Ho and Lixin Wu -- Ch. 23. An Empirical Analysis of CDO Data / Vincent Leijdekker, Martijn van der Voort and Ton Vorst -- Ch. 24. Pricing Tranched Credit Products with Generalized Multifactor Models / Manuel Moreno, Juan I. Pena and Pedro Serrano -- Ch. 25. CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing / Jean-Michel Bourdoux, Georges Hubner and Jean-Roch Sibille -- Ch. 26. Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach / Manuel Moreno and Pedro Serrano.