信用风险的建模、评估和对冲

　　《信用风险的建模、评估和对冲》旨在研究信用风险定价发展中的数学模型，这一研究提供了信用风险数学研究理论和金融实践之间过渡的桥梁。《信用风险的建模、评估和对冲》的数学知识全面，给出了信用风险模型的结构化和约化形式，具有等级违约术语结构的一些套利自由模型做了详细地研究。

reface
parti.structuralapproach
1.introductiontocreditrisk
1.1corporatebonds
1.1.1recoveryrules
1.1.2safetycovenants
1.1.3creditspreads
1.1.4creditratings
1.1.5corporatecouponbonds
1.1.6fixedandfloatingratenotes
1.1.7bankloansandsovereigndebt
1.1.8crossdefault
1.1.9defaultcorrelations
1.2vulnerableclaims
1.2.1vulnerableclaimswithunilateraldefaultrisk
1.2.2vulnerableclaimswithbilateraldefaultrisk
1.2.3defaultableinterestratecontracts
1.3creditderivatives
1.3.1defaultswapsandoptions
1.3.2totalrateofreturnswaps
1.3.3creditlinkednotes
1.3.4assetswaps
1.3.5first-to-defaultcontracts
1.3.6creditspreadswapsandoptions
1.4quantitativemodelsofcreditrisk
1.4.1structuralmodels
1.4.2reduced-formmodels
1.4.3creditriskmanagement
1.4.4liquidityrisk
1.4.5econometricstudies
2.corporatedebt
2.1defaultableclaims
2.1.1risk-neutralvaluationformula
2.1.2self-financingtradingstrategies
2.1.3martingalemeasures
2.2pdeapproach
2.2.1pdeforthevaluefunction
2.2.2corporatezero-couponbonds
2.2.3corporatecouponbond
2.3merton'sapproachtocorporatedebt
2.3.1merton'smodelwithdeterministicinterestrates
2.3.2distance-to-default
2.4extensionsofmerton'sapproach
2.4.1modelswithstochasticinterestrates
2.4.2discontinuousvalueprocess
2.4.3buffet'sapproach
3.first-passage-timemodels
3.1propertiesoffirstpassagetimes
3.1.1probabilitylawofthefirstpassagetime
3.1.2jointprobabilitylawofyandt
3.2blackandcoxmodel
3.2.1corporatezero-couponbond
3.2.2corporatecouponbond
3.2.3corporateconsolbond
3.3optimalcapitalstructure
3.3.1blackandcoxapproach
3.3.2leland'sapproach
3.3.3lelandandtortapproach
3.3.4furtherdevelopments
3.4modelswithstochasticinterestrates
3.4.1kim，ramaswamyandsundaresanapproach
3.4.2longstaffandschwartzapproach
3.4.3cathcartande1-jahelapproach
3.4.4briysanddevarenneapproach
3.4.5saa-requejoandsanta-claraapproach
3.5furtherdevelopments
3.5.1convertiblebonds
3.5.2jump-diffusionmodels
3.5.3incompleteaccountingdata
3.6dependentdefaults：structuralapproach
3.6.1defaultcorrelations：j.p.morgan'sapproach
3.6.2defaultcorrelations：zhou'sapproach

partii.hazardprocesses
4.hazardfunctionofarandomtime
4.1conditionalexpectationsw.r.t.naturalfiltrations
4.2martingalesassociatedwithacontinuoushazardfunction
4.3martingalerepresentationtheorem
4.4changeofaprobabilitymeasure
4.5martingalecharacterizationofthehazardfunction
4.6compensatorofarandomtime
5.hazardprocessofarandomtime
5.1hazardprocessf
5.1.1conditionalexpectations
5.1.2semimartingalerepresentationofthestoppedprocess
5.1.3martingalesassociatedwiththehazardprocess.
5.1.4stochasticintensityofarandomtime
5.2martingalerepresentationtheorems
5.2.1generalcase
5.2.2caseofabrownianfiltration
5.3changeofaprobabilitymeasure
6.martingalehazardprocess
6.1martingalehazardprocessa
6.1.1martingaleinvarianceproperty
6.1.2evaluationofa：specialcase
6.1.3evaluationofa：generalcase
6.1.4uniquenessofamartingalehazardprocessa
6.2relationshipsbetweenhazardprocessesfanda
6.3martingalerepresentationtheorem
6.4caseofthemartingaleinvarianceproperty
6.4.1valuationofdefaultableclaims
6.4.2caseofastoppingtime
6.5randomtimewithagivenhazardprocess
6.6poissonprocessandconditionalpoissonprocess
7.caseofseveralrandomtimes
7.1minimumofseveralrandomtimes
7.1.1hazardfunction
7.1.2martingalehazardprocess
7.1.3martingalerepresentationtheorem
7.2changeofaprobabilitymeasure
7.3kusuoka'scounter-example
7.3.1validityofcondition（f.2）
7.3.2validityofcondition（m.1）

partiii.reduced-formmodeling
8.intensity-basedvaluationofdefaultableclaims
8.1defaultableclaims
8.1.1risk-neutralvaluationformula
8.2valuationviathehazardprocess
8.2.1canonicalconstructionofadefaulttime
8.2.2integralrepresentationofthevalueprocess.
8.2.3caseofadeterministicintensity
8.2.4impliedprobabilitiesofdefault
8.2.5exogenousrecoveryrules
8.3valuationviathemartingaleapproach
8.3.1martingalehypotheses
8.3.2endogenousrecoveryrules
8.4hedgingofdefaultableclaims
8.5generalreduced-formapproach
8.6reduced-formmodelswithstatevariables
8.6.1lando'sapproach
8.6.2duffleandsingletonapproach
8.6.3hybridmethodologies
8.6.4creditspreadmodels
9.conditionallyindependentdefaults
9.1basketcreditderivatives
9.1.1mutuallyindependentdefaulttimes
9.1.2conditionallyindependentdefaulttimes
9.1.3valuationoftheith-to-defaultcontract
9.1.4vanilladefaultswapsofbaskettype
9.2defaultcorrelationsandconditionalprobabilities
9.2.1defaultcorrelations
9.2.2conditionalprobabilities
10.dependentdefaults
10.1dependentintensities
10.1.1kusuoka'sapproach
10.1.2jarrowandyuapproach
10.2martingaleapproachtobasketcreditderivatives
10.2.1valuationoftheith-to-defaultclaims
11.markovchains
11.1discrete-timemarkovchains
11.1.1changeofaprobabilitymeasure
11.1.2thelawoftheabsorptiontime
11.1.3discrete-timeconditionallymarkovchains
11.2continuous-timemarkovchains
11.2.1embeddeddiscrete-timemarkovchain
11.2.2conditionalexpectations
11.2.3probabilitydistributionoftheabsorptiontime
11.2.4martingalesassociatedwithtransitions
11.2.5changeofaprobabilitymeasure
11.2.6identificationoftheintensitymatrix
11.3continuous-timeconditionallymarkovchains
11.3.1constructionofaconditionallymarkovchain
11.3.2conditionalmarkovproperty
11.3.3associatedlocalmartingales
11.3.4forwardkolmogorovequation
12.markovianmodelsofcreditmigrations
12.1jltmarkovianmodelanditsextensions
12.1.1jltmodel：discrete-timecase
12.1.2jltmodel：continuous-timecase
12.1.3kijimaandkomoribayashimodel
12.1.4dasandtufanomodel
12.1.5thomas，allenandmorkel-kingsburymodel
12.2conditionallymarkovmodels
12.2.1lando'sapproach
12.3correlatedmigrations
12.3.1hugeandlandoapproach
13.heath-jarrow-mortontypemodels
13.1hjmmodelwithdefault
13.1.1model'sassumptions
13.1.2default-freetermstructure
13.1.3pre-defaultvalueofacorporatebond
13.1.4dynamicsofforwardcreditspreads
13.1.5defaulttimeofacorporatebond
13.1.6caseofzerorecovery
13.1.7default-freeanddefaultableliborrates
13.1.8caseofanon-zerorecoveryrate
13.1.9alternativerecoveryrules
13.2hjmmodelwithcreditmigrations
13.2.1model'sassumption
13.2.2migrationprocess
13.2.3specialcase
13.2.4generalcase
13.2.5alternativerecoveryschemes
13.2.6defaultablecouponbonds
13.2.7defaultcorrelations
13.2.8marketpricesofinterestrateandcreditrisk.
13.3applicationstocreditderivatives
13.3.1valuationofcreditderivatives
13.3.2hedgingofcreditderivatives
14.defaultablemarketrates
14.1interestratecontractswithdefaultrisk
14.1.1default-freeliborandswaprates
14.1.2defaultablespotliborrates
14.1.3defaultablespotswaprates
14.1.4fraswithunilateraldefaultrisk
14.1.5forwardswapswithunilateraldefaultrisk.
14.2multi-periodiraswithunilateraldefaultrisk
14.3multi-perioddefaultableforwardnominalrates
14.4defaultableswapswithunilateraldefaultrisk
14.4.1settlementoftheistkind
14.4.2settlementofthe2ndkind
14.4.3settlementofthe3rdkind
14.4.4marketconventions
14.5defaultableswapswithbilateraldefaultrisk
14.6defaultableforwardswaprates
14.6.1forwardswapswithunilateraldefaultrisk
14.6.2forwardswapswithbilateraldefaultrisk
15.modelingofmarketrates
15.1modelsofdefault-freemarketrates
15.1.1modelingofforwardliborrates
15.1.2modelingofforwardswaprates
15.2modelingofdefaultableforwardliborrates
15.2.1lotzandschlsglapproach
15.2.2sch6nbucher'sapproach
references
basicnotation
subjectindex