Credit Risk - Modeling, Valuation & Hedging pot

... the €200 banknote. INTERBANK LENDING, CREDIT RISK PREMIA AND COLLATERAL 1 by Florian Heider and Marie Hoerova 2 1 We thank Douglas Gale, Rafael Repullo, Elu von Thadden, and seminar participants ... at t =1. Working PaPer SerieS no 1107 / november 2009 interbank lending, credit riSk Premia and collateral by Florian Heider and Marie Hoerova 43 ECB Wo...

Ngày tải lên: 22/03/2014, 20:20

... FIGURE1.7 Three-levelfactorstructureinKMV’sGlobalCorrelation Model TM ,seealsocomparablepresentationsintheliterature, e.g.Figure9.9.in[21]. Firm Risk Systematic Risk Specific Risk Industry Risk Country Risk Industry-Specific Risk Country-Specific Risk Global Economic, Regional, and Industrial Sector Risk Level 1: Composite ... LLC References 1.1.1TheDefaultProbability Thetasko...

Ngày tải lên: 08/05/2014, 09:47

Ngày tải lên: 08/05/2014, 09:48

Ngày tải lên: 27/06/2014, 22:20

... performance as it is described in Chapter 7. Credit risk modeling using Excel and VBA Gunter Löffler Peter N. Posch Credit risk modeling using Excel and VBA Gunter Löffler Peter N. Posch For other ... Gunter. Credit risk modeling using Excel and VBA / Gunter Löffler, Peter N. Posch. p. cm. Includes bibliographical references and index. ISBN 978-0-47...

Ngày tải lên: 28/06/2014, 21:20

... LLC in9,998outof10,000years,herebyassumingaplanninghorizonof oneyear.Unfortunately,undersuchacalibrationonecanontheother sideexpectthatin2outof10,000yearstheeconomiccapitalEC 99.98% willnotbesufficienttoprotectthebankfrominsolvency.Thisisthe downsidewhencalibratingriskcapitalbymeansofquantiles.However, todaymostmajorbanksuseanECframeworkfortheirinternalcredit riskmodel. Thereasonforreducingtheq...

Ngày tải lên: 28/06/2014, 22:20

... LLC Inpractice,analyticalapproximationtechniquescanbeappliedquite successfullytoso-calledhomogeneousportfolios.Theseareportfolios wherealltransactionsintheportfoliohavecomparableriskcharacter- istics,forexample,noexposureconcentrations,defaultprobabilities inabandwithmoderatebandwidth,onlyafew(better:onesingle!) industriesandcountries,andsoon.Therearemanyportfoliossatisfy- ingsuchconstraints....

Ngày tải lên: 10/08/2014, 07:20

... (α,β)∈ {(2,1/2),(5,1/5)}. Insteadofincorporatingafactormodel(aswehaveseenitinthecase ofCreditMetrics TM andKMV’sPortfolioManager TM inSection1.2 .3) , CreditRisk + implementsaso-calledsectormodel.However,somehow onecanthinkofasectorasa“factor-inducing”entity,or–asthe CreditRisk + TechnicalDocument[18]saysit–everysectorcouldbe thoughtofasgeneratedbyasingleunderlyingfactor.Inthisway,sec- tors ....

Ngày tải lên: 10/08/2014, 07:20

... LLC thePoissonmixturemodel,herebyconfirmingourtheoreticalresults fromSection2.3.AmoredetailedcomparisonoftheKMV-Modeland CreditRisk + canbefoundin[12]. 2.6LossDistributionsbyMeansofCopulaFunctions Copulafunctionshavebeenusedasastatisticaltoolforconstruct- ingmultivariatedistributionslongbeforetheywerere-discoveredasa valuabletechniqueinriskmanagement.Currently,theliteratureon theapplicationofc...

Ngày tải lên: 10/08/2014, 07:20

... not. Therefore, the credit risk of the loan is neutralized and completely hedged. In other words, buying the put transforms the risky corporate loan 3 into a riskless bullet loan with face value ... LLC Chapter3 AssetValueModels Theassetvaluemodel(AVM)isanimportantcontributiontomodern finance.Intheliteratureonecanfindatremendousamountofbooks andpaperstreatingtheclassicalAVMoroneofitsvarious...

Ngày tải lên: 10/08/2014, 07:20

... LLC insurancepointofview,expectedshortfallisaveryreasonablemeasure: Definingbyc=VaR α (X)acriticallossthresholdcorrespondingto someconfidencelevelα,expectedshortfallcapitalprovidesacushion againstthemeanvalueoflossesexceedingthecriticalthresholdc.In otherwords,TCEfocussesontheexpectedlossinthetail,startingat c,oftheportfolio’slossdistribution.Thecriticalthresholdc,driven bytheconfidencelevelα,ha...

Ngày tải lên: 10/08/2014, 07:20

... less than or equal to 0.002% are mapped to AAA, 0.002% to 0.04% corresponds to AA, etc. The historical frequencies of changes from one range to another are estimated from the history of changes in ... LLC 5.2.2CapitalAllocationw.r.t.Value-at -Risk CalculatingriskcontributionsassociatedwiththeVaRriskmeasure isanaturalbutdifficultattempt,sinceingeneralthequantilefunc- tionwillnotbediffe...

Ngày tải lên: 10/08/2014, 07:20

... LLC eventoccurredduringthelifetimeofthereferencenote,theissuerpays thefullprincipalbacktotheinvestor.Sointhisexampleonecould summarizeaCLNasasyntheticbondwithanembeddeddefaultswap. Inoursecondexample,aninvestor,whohasnoaccesstothecredit derivativesmarketorisnotallowedtodooff-balancesheettransactions, wantstoinvestinacreditdefaultswap,sellingprotectiontotheowner ofsomereferenceasset.Thiscanbeac...

Ngày tải lên: 10/08/2014, 07:20

... less than or equal to 0.002% are mapped to AAA, 0.002% to 0.04% corresponds to AA, etc. The historical frequencies of changes from one range to another are estimated from the history of changes in ... LLC 5.2.2CapitalAllocationw.r.t.Value-at -Risk CalculatingriskcontributionsassociatedwiththeVaRriskmeasure isanaturalbutdifficultattempt,sinceingeneralthequantilefunc- tionwillnotbediffe...

Ngày tải lên: 10/08/2014, 07:21