Credit Modelling (2nd edition)

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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, sev eral 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 Show more