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Value At Risk, Credit Risk, And Credit Derivatives

In: Derivatives, Risk Management & Value

Author

Listed:
  • Mondher Bellalah

    (Université de Cergy-Pontoise, France)

Abstract

The following sections are included:Chapter OutlineIntroductionVaR and Riskmetrics: Definitions and Basic ConceptThe definition of riskVaR: DefinitionStatistical and Probability Foundation of VaRUsing percentiles or quantiles to measure market riskThe choice of the horizonA More Advanced Approach to VaRCredit Valuation and the Creditmetrics ApproachThe portfolio context of creditDifferent credit risk measuresStand alone or single exposure risk calculationDiffering exposure typeDefault and Credit-Quality Migration in the Creditmetrics ApproachDefaultCredit-quality migrationHistorical tabulation and recovery ratesCredit-Quality CorrelationsPortfolio Management of Default Risk in the Kealhofer, McQuown and Vasicek (KMV) ApproachThe model of default riskAsset market value and volatilityCredit Derivatives: Definitions and Main ConceptsForward contractsThe structure of credit-default instrumentsTotal return swapsCredit-default swapsBasket default swapsCredit-default exchange swapCredit-linked notes (CLNs)The Rating Agencies Models and the Proprietary ModelThe rating agencies modelsThe proprietary modelsSummaryReferences

Suggested Citation

  • Mondher Bellalah, 2009. "Value At Risk, Credit Risk, And Credit Derivatives," World Scientific Book Chapters, in: Derivatives, Risk Management & Value, chapter 22, pages 917-941, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812838636_0022
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