The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value … increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward … to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit …

-- 3. Credit Models for Single Names -- 3.1. Example: Term structure of a single credit -- 3.2. Extensions -- 4. Portfolio … Credit Models -- 5. Calibration and Model Comparison -- 6. Parameter Risks and Hedging -- 6.1. Case study: Auto crisis May …. Calibration Inputs and Outputs -- Stochastic Intensity Modeling for Structured Credit Exotics A. Chapovsky, A. Rennie and P …