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date: 24 July 2019

(p. xviii) List of Tables

(p. xviii) List of Tables

  1. 3.1 Recovery Ratings from the Rating Agencies. 54

  2. 3.2 Recovery at Default on Public Corporate Bonds (1978‐2009‐2Q) and Bank Loans (1988‐2009‐2Q). 58

  3. 3.3 Investment grade vs. non‐investment grade (original rating) prices at default on public bonds (1978‐2008). 59

  4. 3.4 Ultimate recovery rates on bank loan and bond defaults (discounted values, 1988‐2Q 2009). 59

  5. 3.5 The Treatment of LGD and Default Rates within Different Credit Risk Models. 61

  6. 4.1 Static replication of recovery swaps by CDS and DDS. 86

  7. 4.2 Cash flows of forward CDS hedged by a CDS flattener. 102

  8. 4.3 Calpine bonds as of 6 June 2003. 107

  9. 7.1 Recoveries from some recent Credit Event Protocols. 197

  10. 7.2 ITX Series 9 IG Tranche Prices, June 2009 (indicative). 212

  11. 9.1 Calibration of the infectious defaults model. 296

  12. 10.1 The integers 1, μ1, μ2, …, μc define a partition of {1, 2,…, m} used in the models that generate the spreads in Table 10.2. 367

  13. 10.2 iTraxx Europe Series 3, 6 and 8 collected at 4 August 2004, 28 November 2006 and 7 March 2008. The market and model spreads and the corresponding absolute errors, both in bp and in percent of the market spread. The [0,3] spread is quoted in %. All maturities are for five years. 369

  14. 10.3 The calibrated parameters that give the model spreads in Table 10.2. 369

  15. 10.4 The probabilities ℙ [L5x%] (in %) where x = 3, 6, 9,12, 22 and x = 60, for the 2004‐08‐04, 2006‐11‐28 and 2008‐03‐07 portfolios. 372

  16. 11.1 Example tranche quotes for iTraxx and CDX investment grade tranches at 5, 7, and 10‐year maturities for 28 August 2009. 398

  17. 12.1 Market data, as of 2 October 2009, for JPM and MS. 455

  18. 12.2 CDS spreads and other relevant outputs for JPM and MS. 456

  19. (p. xix) 16.1 US and European ABCP number of programmes outstanding and share (%)ofthe respectiveCPmarkets. 577

  20. 16.2 USand EuropeanCPmarkets' composition. 578

  21. 16.3 Covered bond (CB) and RMBS new issuance as % of new gross residential loans. 582

  22. 16.4 US GDP growth with and without Mortgage Equity Withdrawals (MEW). 583

  23. 16.5 Fitch US Structured Finance Transition Matrices: 1991–2008 vs. 1991–2006 Average three‐year (%). 591

  24. 16.6 Moody's global Structured finance Rating Transitions Matrices 1984–2006 vs. 1984–2008. 592

  25. 16.7 CLO subordination*. 594

  26. 16.8 Implied rating of a two‐party pay structure of two A1 rated obligations. 596

  27. 16.9 Implied rating stability of a two‐party pay structure–volatility of underlying obligations' ratings. 596

  28. 16.10 Moody's Implied Joint Support Ratings for Different Correlation Cases. 597

  29. 18.1 Prices of 20 November 2008 for all tranches of Biltmore CDO 2007‐1. 648