Credit Risk and Return Modeling: The Fixed Income Valuation Course – Nawalkha, Beliaeva, Soto

Credit Risk Modeling, the third book of the trilogy on the Fixed Income Valuation Course by Wiley Finance, gives structural and reduced-form models of credit risk, focusing on the valuation of basic and complex credit derivatives. Though this book is forthcoming, software files and slides of selected chapters will be made available as soon as these are completed.
Level: Intermediate Major Topics: T32, T31, T33 Minor Topics: T34, T37, T38, T44

Resources

Table of Contents

1. Credit Risk Modeling: An Overview

Part I. Mathematical Tools
2. An Introduction to Continuous-Time Stochastic Processes
3. Risk-Neutral Valuation

Part II. Structural Models
Simple Capital Structure
4. Credit Risk Analysis with Constant Interest Rates
5. Estimation of the Term Structure of Interest Rates
6. Credit Risk Analysis with Stochastic Interest Rates
7. Credit Risk Analysis with Stochastic Volatility
8. Credit Risk Analysis with Jumps and Stochastic Volatility
Complex Capital Structure
9. KMV and Credit Grades Models For Estimating Default Probabilities
10. First Passage Models with Stochastic Interest Rates
11. First Passage Models with Stochastic Interest Rates, Jumps, and Stochastic Volatility

Part III. Reduced Form Models
12. Affine Reduced-Form Models
13. HJM Reduced-Form Models

Part IV. Correlated Default
14. Modeling Correlated Default Risk using First Passage Models
15. Modeling Correlated Default Risk using Reduced Form Models
16. Copula Functions for Modeling Correlated Default

Part V. Valuation of Credit Derivatives
17. Valuing Credit Derivatives: Basic Products
18. Valuing Credit Derivatives: Complex Products