Frontmatter Page xiii Monday, March 8, 2004 10:06 AM
Contents xiiiThe Poisson Process 697
The Jarrow-Turnbull Model 698
Transition Matrix 703
The Duffie-Singleton Model 706
General Observations on Reduced Form Models 710
Pricing Single-Name Credit Default Swaps 710
General Framework 711
Survival Probability and Forward Default Probability:
A Recap 712
Credit Default Swap Value 713
No Need For Stochastic Hazard Rate or Interest Rate 716
Delivery Option in Default Swaps 716
Default Swaps with Counterparty Risk 717
Valuing Basket Default Swaps 718
The Pricing Model 718
How to Model Correlated Default Processes 722
Summary 734
CHAPTER 23
Risk Management 737
Market Completeness 738
The Mathematics of Market Completeness 739
The Economics of Market Completeness 742
Why Manage Risk? 744
Risk Models 745
Market Risk 745
Credit Risk 746
Operational Risk 746
Risk Measures 747
Risk Management in Asset and Portfolio Management 751
Factors Driving Risk Management 752
Risk Measurement in Practice 752
Getting Down to the Lowest Level 753
Regulatory Implications of Risk Measurement 754
Summary 755
INDEX 757