Corpus ID: 15276098

THE J.P. MORGAN GUIDE TO CREDIT DERIVATIVES

@inproceedings{London2000THEJM,
  title={THE J.P. MORGAN GUIDE TO CREDIT DERIVATIVES},
  author={Janelle London and Herring and Oldrich Masek and Muneto Tokyo and Ikeda and Rob London and Fraser},
  year={2000}
}
Credit Derivatives are continuing to enjoy major growth in the financial markets, aided and abetted by sophisticated product development and the expansion of product applications beyond price management to the strategic management of portfolio risk. As Blythe Masters, global head of credit derivatives marketing at J.P. Morgan in New York points out: " In bypassing barriers between different classes, maturities, rating categories, debt seniority levels and so on, credit derivatives are creating… Expand
Determinants of Credit Risk Derivatives Use by the European Banking Industry
Recently, global credit derivative markets have expanded very fast. The banking sector is a major user of this type of product. We intend to study the reasons why European banks use creditExpand
Banking Risk and Credit Derivatives
Recently, global credit derivative markets have expanded very fast. Despite the fast growth, little is known whether their use is beneficial or increases their risk exposure. The few empirical papersExpand
Do Australian Banks Use Credit Derivatives to Reduce Risk?
This paper examines the use of credit derivatives by Australian Banks and/or financial institutions to reduce risk. Unlike the surge in the use of credit derivative instruments by banks in otherExpand
The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on assetExpand
Copulas for credit derivative pricing and other applications.
Copulas are multivariate probability distributions, as well as functions which link marginal distributions to their joint distribution. These functions have been used extensively in finance and moreExpand
Modeling the Dynamics of Credit Spreads with Stochastic Volatility
TLDR
The model is found to be successful at fitting actual corporate bond credit spreads, resulting in a significantly lower root mean square error than a standard alternative model both in sample and out of sample. Expand
Valuing Credit Default Swaps I
One of the fastest growing areas of both derivatives trading and research right now is in contracts based on credit risk. The credit default swap is a standard instrument, offering the possibility ofExpand
Credit Default Swap Valuation : An Application to Spanish Firms
This paper presents and tests a model to price Credit Default Swaps (CDS) using the credit risk information extracted from the firms’ bond market prices. Six Spanish firms are used in the analysisExpand
An Introduction of Jameel¡¯s Advanced Stressed Economic and Financial Crises Models and to Dramatically Increasing Markets Confidence and Drastically Decreasing Markets Risks
Quantitative Financial Risk Management has tremendously change the way marketsi¯ Practitioners, Regulators and Supervisors, Investors, Academics, Economists, Politicians, Policy Makers and CivilExpand
Final Thesis CDS Model and Market Spreads Amid the Financial Crisis
I calculate CDS spreads for 106 North-American obligors using an advanced version of the CreditGrades model that incorporates implied equity volatilities. I estimate spreads over a period from 2004Expand
...
1
2
3
4
...

References

SHOWING 1-10 OF 17 REFERENCES
Portfolio Credit Risk
In order to take advantage of credit portfolio management opportunities, management must first answer several technical questions: What is the risk of a given portfolio? How do differentExpand
A Comparative Anatomy of Credit Risk Models
Within the past two years, important advances have been made in modeling credit risk at the portfolio level. Practitioners and policy makers have invested in implementing and exploring a variety ofExpand
Historical Default Rates of Corporate Bond Issuers, 1920-1998
This report, Moody’s 12th annual corporate bond default study, extends our default research to cover the period from 1920 to 1998; to date that research encompasses a total of 15,200 issuers of ratedExpand
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES
Presented at the American Finance Association Meeting, New York, December 1973.(This abstract was borrowed from another version of this item.)
A way to condition transition matrix on wind
  • Working paper,
  • 1999
Capital-adequacy treatment of credit derivatives
  • APRA April
  • 1999
First Quarter CDO Review, Moody’s
  • Special Report,
  • 1999
Credit Derivatives in CreditMetrics, CreditMetrics Monitor
  • Third quarter,
  • 1998
A methodology to stress correlations, RiskMetrics Monitor
  • Fourth quarter,
  • 1997
CreditMetrics - Technical document, New York: Morgan Guaranty
  • Trust Co.,
  • 1997
...
1
2
...