derivatives - credit risk - modeling, valuation & hedging - bielecki

Ngày tải lên: 08/05/2014, 09:48

... LLC 1.1.1TheDefaultProbability Thetaskofassigningadefaultprobabilitytoeverycustomerinthe bank’screditportfolioisfarfrombeingeasy.Thereareessentiallytwo approachestodefaultprobabilities: •Calibrationofdefaultprobabilitiesfrommarketdata. Themostfamousrepresentativeofthistypeofdefaultprobabil- itiesistheconceptofExpectedDefaultFrequencies(EDF)from KMV 2 Corporation.WewilldescribetheKMV-ModelinSe...

Ngày tải lên: 08/05/2014, 09:47

... 9 2-9 13 1-0 7 9-4 (print) ISBN 9 2-9 19 7-0 7 9-4 (online) Derecognition of derivatives valuation adjustments due to own credit- risk Contents Application of own credit risk adjustments to derivatives ... default -risk free and the value reflecting default risk of the bank. 5 Changes in a bank’s own credit risk therefore result in changes in the...

Ngày tải lên: 15/02/2014, 13:20

... 1.19521 -1 .19575 -0 .00054 0.5 2.42083 -2 .42162 -0 .00079 1.0 3.38514 -3 .37966 0.00548 TF Model 0.0 2.32902 -1 .11340 1.21562 0.5 2.32902 -2 .29152 0.03750 1.0 2.32902 -3 .46964 -1 .14062 TABLE 5: Hedging ... parameter η. 20 Number of Simulations Expected Net Value 500000 1E+06 1.5E+06 2E+06 -0 .175 -0 .15 -0 .125 -0 .1 -0 .075 -0 .05 -0 .0...

Ngày tải lên: 15/03/2014, 03:20

... spreads (or credit- risk prices) should incorporate the credit- risk information in a similar way, i.e., both markets should be equally efficient in terms of the process of credit- risk price discovery. ... Peña Documentos de Trabajo N o 53 CNMV Credit- risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis Credit- risk valuation in the...

Ngày tải lên: 15/03/2014, 07:20

... point-in-time (PIT) or through-the-cycle (TTC). A PIT- PD describes the actual creditworthiness within a certain time horizon, whereas TTC-PDs also take into account possible changes in the macro- economic ... unexpected losses, and Value-at -Risk. We will focus on rating based models including the reduced-form model suggested by Fons (1994) and 8 1. Introduction: Credit Risk Modeling,...

Ngày tải lên: 22/03/2014, 23:20

... mechanism. In general, there are following risks: interest risk, capital risk, exchange risk, payment risk, and risk of unable to pay. - Interest risks: “are the risks that the bank must bear when the ... 1: Overview of risk, significance of precluding and reducing risk in credit relationships 1.1. Risk and risk classification in credit relationships 1.1.1. Definition o...

Ngày tải lên: 27/10/2012, 16:49

... (%) Standardized IRB-Advanced Standardized IRB-Foundation Retail (Including Small Firms) -4 .72 -8 .65 -9 .33 -2 2.46 Corporate SMEs -1 .23 -5 .05 -2 .23 -4 .93 Corporate 0.22 -2 .84 -0 .74 -3 .79 Operational Risk 8.08 ... Model Approach - Linked to Ratings and Portfolio Risk (Postponed) • Databases - Defaults and Migration – Statistics Based on O...

Ngày tải lên: 25/04/2013, 20:23

... http://www.bis.org/publ/bcbs228.htm II. Credit Valuation Adjustment (CVA) risk capital charge 13. Can the BCBS clarify whether the 1.06 scaling factor applied to risk weighted assets for credit risk (paragraph 14 ... be reproduced or translated provided the source is stated. ISBN print: 9 2-9 13 1-8 9 1-4 ISBN web: 9 2-9 19 7-8 9 1-4 An update of these...

Ngày tải lên: 15/02/2014, 13:20

... jointly sta- tistically different from zero. Under the null hypothesis that all αs are jointly equal to zero, the following J-statistic is distributed with central F-distribution with N and T-N-K degrees ... the credit market risk as well as the foreign exchange risk. Therefore, to explore the effects of foreign exchange on previously measured diversification gains 21 , this sec- tion analy...

Ngày tải lên: 16/02/2014, 02:20