I. PRICING CREDIT RISK

Credit Derivatives Made Simple

Applying HJM to Credit Risk

The Price of Credit

Price and Probability

Distance to Default

Equity to Credit Pricing

Getting the Pricing Right

On the Edge of Completeness

II. MEASURING DEFAULT RISK

Measuring Default Accurately

A Credit Risk Catwalk

The Need for Hybrid Models

III. DEPENDENCE IN DEFAULTS AND RECOVERIES

Devil in the Parameters

Modelling Default Correlation

How Dependent are Defaults?

Copulas and Credit Models

Collateral Damage

Depressing Recoveries

IV. VALUE-AT-RISK FOR CREDIT PORTFOLIOS

Integrating Correlations

Taking to the Saddle

Calculating Portfolio Loss

V. BASEL II

IRB Approach Explained

Pro-cyclicality in the New Basel Accord

The Maturity Effect on Credit Risk Capital

VI. ASYMPTOTIC METHODS IN VAR

Loan Portfolio Value

Probing Granularity

Analytical Approach to Credit Risk Modelling

Unsystematic Credit Risk

VII. PRICING MULTI-NAME DEFAULT RISK

Copula Vulnerability

Pricing Default Baskets

Long or Short in CDOs

Extreme Events and Default Baskets

VIII. VALUE-AT-RISK FOR ASSET SECURITISATIONS

Credit Risk in Asset Securitisations: An Analytical Model

Coarse-grained CDOs

Random Tranches