Credit Correlation: Theory and Practice (Hardcover, 2017)

Introduction and Context Part I - Theoretical Tools 0. Credit Modelling Fundamentals - Filtrations, Point Processes and Intensities 1. Expectations in the Enlarged Filtration - The Generalized Dellacherie Formula 2. The Basics of Default Correlation Modelling 3. Default Correlation Calibration - Link between Copulas and Conditional Jump Diffusions Part II - Correlation Models: Practical Implementation 4. Correlation Demystified: A General Overview 5. An Introduction to the Marshall-Olkin Copula 6. Numerical Tools: Basket Asymptotic Expansions 7. CDO-Squared: Correlation of Correlation 8. Second Generation Models: From Flat Correlation to Correlation Skew 9. Third Generation Models: From Static to Dynamic Models 10. Pricing in a Dynamic Credit Model Part III - Advanced Topics: Pricing and Risk Management 11. Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics 12. Base Correlation Calibration with a Stochastic Recovery Model 13. Hedging in Incomplete Credit Markets: JTD vs CR01 Part IV - The Next Challenge 14. New Frontiers in Credit Modelling: the CVA Challenge