an introduction to credit risk modeling phần 2 docx

... 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

... 6 .29 97% 0.8% 2. 6351% 6.33 42% 1.5% 4. 525 0% 1 0. 328 3% 1.5% 4 . 528 7% 10.1864% S td.Dev. 5% 2 0% S td.Dev. 5 % 20 % 0.5% 0.35 12% 0.8 926 % 0.5% 0.3 522 % 0.8946% 0.8% 0. 526 7% 1 .29 66% 0.8% 0. 528 3% 1.3045% 1.5% ... respectivelyone-sectormodels. applyingProposition2.5.9.Asalaststepwesolve (2. 59)forαand β.Onealwayshas α= m×E[ ˜ L  ] 2 m×V[ ˜ L  ]−E[ ˜ L  ] ,β= m×V[ ˜ L  ]...

Ngày tải lên: 10/08/2014, 07:20

... LLC [16]D.R.CoxandD.Oakes.AnalysisofSurvivalData.Chapman andHall,1984. [17]J.C.Cox,J.E.IngersollandS.A.Ross.Atheoryoftermstruc- tureofinterestrates.Econometrica,53:385–407,1985. [18]CreditSuisseFinancialProducts.CreditRisk + –ACreditRisk ManagementFramework,1997. [19]P.Crosbie.Modelingdefaultrisk.KMVCorporation,http: //www.kmv.com,1999. [20 ]M.Crouhy,D.Galai,andR.Mark.Acomparativeanalysisof...

Ngày tải lên: 10/08/2014, 07:21

... LLC whereasinthePoissoncaseweobtain Corr[L  i ,L  j ]= Cov[Λ i ,Λ j ]  V[Λ i ]+E[Λ i ]  V[Λ j ]+E[Λ j ] . (2. 24) LookingonlyatthedrivingrandomvariablesP i ,P j respectivelyΛ i ,Λ j , weseethatinthedenominatorsof (2. 23)and (2. 24)wecompare V[P i ]+E[P i (1−P i )]=V[P i ]+E[P i ]−E[P 2 i ] (2. 25) withV[Λ i ]+E[Λ i ]. Now,analogoustothedeterministiccase (2. 12) ,wecan–eveninthe randomca...

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

... 0.0737 0. 024 5 0.0086 0.0067 0.0015 0.00 02 0 .21 66 0.4304 0 .25 83 0.0656 0.0199 0.0068 0.0 020 0.0004 0. 027 6 0 .20 34 0.4419 0 .22 94 0.07 42 0.0197 0.0 028 0.0010 0.0030 0. 028 0 0 .22 63 0. 425 4 0 .23 52 0.0695 ... LLC 5 .2. 2CapitalAllocationw.r.t.Value-at -Risk CalculatingriskcontributionsassociatedwiththeVaRriskmeasure isanaturalbutdifficultattempt,sinceingeneralthequantilefunc-...

Ngày tải lên: 10/08/2014, 07:20

... LLC withcorrespondingmatrixexponential exp( ¯ Q KMV )=        0.65870 .22 900.06930. 025 60.00930.00630.00160.00 02 0 .20 900.44 820 .24 200.06880. 023 00.00640.0 023 0.0004 0.05480 .21 770.43010 .20 250.0 727 0.01710.00410.0010 0. 022 40.07360 .23 780.35760 .23 330.05890.01380.0 026 0.00700. 024 90.07160.19150.45750.19740.04300.0071 0.0 023 0.00770. 023 20.05460 .21 730.47540.19930....

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