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Credit Modelling: Advanced Topics

Credit Modelling: Advanced Topics

ISBN: 9781782722595
Publisher: Risk Books
Edition: Second Edition
Publication Date: 2017-01-31
Number of pages: 528
Any used item that originally included an accessory such as an access code, one time use worksheet, cd or dvd, or other one time use accessories may not be guaranteed to be included or valid. By purchasing this item you acknowledge the above statement.

The book reveals to traders how to consistently outperform credit benchmarks, how to hedge the credit risk premium, and how to overcome pension liability deficits. In addition, several successful trading strategies are presented including debt versus equities, Co-Co bond trading and a quantitative analysis of the municipal bond market. Chapters include: Credit Models, Past Present and Future Predicting Annual Default Rates and Implications for Market Prices Risk and Relative Value in the Municipal Bond Market Contingent Collateral Bonds Model for Sovereign Default and Relative Value Beating Credit Benchmarks Analyzing and Hedging Systemic Liquidity Risk Building on the best-selling first edition, author Terry Benzschawel advances the topics covered in Credit Risk Modelling by outlining the reality of defaults and recoveries, then detailing credit models and credit instruments before presenting some real-world applications. You'll learn how to measure, hedge and predict the credit-risk premium reliable techniques for making money in credit markets and be able to help your firm better manage their exposure to credit risk.

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