an introduction to credit risk modeling phần 4 docx
an introduction to credit risk modeling phần 4 docx
... LLC
thePoissonmixturemodel,herebyconfirmingourtheoreticalresults
fromSection2.3.AmoredetailedcomparisonoftheKMV-Modeland
CreditRisk
+
canbefoundin[12].
2.6LossDistributionsbyMeansofCopulaFunctions
Copulafunctionshavebeenusedasastatisticaltoolforconstruct-
ingmultivariatedistributionslongbeforetheywerere-discoveredasa
valuabletechniqueinriskmanagement.Currently,theliteratureon
theapplicationofc...
an introduction to credit risk modeling phần 2 docx
... LLC
agingcreditportfolios.TheirtoolsarebasedonamodificationofMer-
ton’sassetvaluemodel,seeChapter3,andincludeatoolforestimating
defaultprobabilities(CreditMonitor
TM
)frommarketinformationand
atoolformanagingcreditportfolios(PortfolioManager
TM
).Thefirst
tool’smainoutputistheExpectedDefaultFrequency
TM
(EDF),which
cannowadaysalsobeobtainedonlinebymeansofanewlydeveloped
web-basedKMV-toolcalledC...
an introduction to credit risk modeling phần 10 docx
... LLC
[105]L.Overbeck.Allocationofeconomiccapitalinloanportfolios.
InU.Franke,W.H¨ardle,andG.Stahl,editors,MeasuringRisk
inComplexStochasticSystems.Springer,NewYork,2000.
[106]W.R.Pestman.MathematicalStatistics.deGruyter,1998.
[107]PriceWaterhouseCoopers.ThePriceWaterhouseCoopersCredit
DerivativesPrimer,1999.
[108]D.RevuzandM.Yor.ContinuousMartingalesandBrownian
Motion.Springer-Verlag,1991.Chap...
an introduction to credit risk modeling phần 3 doc
... LLC
FIGURE2.1
Today’sBest-PracticeIndustryModels.
findsomekindoftechnicaldocumentationdescribingthemathemati-
calframeworkofthemodelandgivingsomeideaabouttheunderlying
dataandthecalibrationofthemodeltothedata.Anexceptionis
KMV’sPortfolioManager
TM
,wheremostofthedocumentationispro-
prietaryorconfidential.However,evenfortheKMV-Modelthebasic
ideabehindthemodelcanbeexplainedwithoutreferencetononpu...
an introduction to credit risk modeling phần 5 pptx
... 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...
an introduction to credit risk modeling phần 6 pptx
... LLC
insurancepointofview,expectedshortfallisaveryreasonablemeasure:
Definingbyc=VaR
α
(X)acriticallossthresholdcorrespondingto
someconfidencelevelα,expectedshortfallcapitalprovidesacushion
againstthemeanvalueoflossesexceedingthecriticalthresholdc.In
otherwords,TCEfocussesontheexpectedlossinthetail,startingat
c,oftheportfolio’slossdistribution.Thecriticalthresholdc,driven
bytheconfidencelevelα,ha...
an introduction to credit risk modeling phần 7 doc
... LLC
5.2.2CapitalAllocationw.r.t.Value-at -Risk
CalculatingriskcontributionsassociatedwiththeVaRriskmeasure
isanaturalbutdifficultattempt,sinceingeneralthequantilefunc-
tionwillnotbedifferentiablewithrespecttotheassetweights.Under
certaincontinuityassumptionsonthejointdensityfunctionoftheran-
domvariablesX
i
,differentiationofVaR
α
(X),whereX=
i
w
i
X
i
,is
guaranteed.Onehas(see[122])
∂VaR
α
∂w...
an introduction to credit risk modeling phần 8 pps
... LLC
withcorrespondingmatrixexponential
exp(
¯
Q
KMV
)=
0.65870.22900.06930.02560.00930.00630.00160.0002
0.20900 .44 820. 242 00.06880.02300.00 640 .00230.00 04
0.0 548 0.21770 .43 010.20250.07270.01710.0 041 0.0010
0.02 240 .07360.23780.35760.23330.05890.01380.0026
0.00700.0 249 0.07160.19150 .45 750.19 740 . 043 00.0071
0.00230.00770.02320.0 546 0.21730 .47 540 .19930.0201
0.0...
an introduction to credit risk modeling phần 9 pot
... LLC
eventoccurredduringthelifetimeofthereferencenote,theissuerpays
thefullprincipalbacktotheinvestor.Sointhisexampleonecould
summarizeaCLNasasyntheticbondwithanembeddeddefaultswap.
Inoursecondexample,aninvestor,whohasnoaccesstothecredit
derivativesmarketorisnotallowedtodooff-balancesheettransactions,
wantstoinvestinacreditdefaultswap,sellingprotectiontotheowner
ofsomereferenceasset.Thiscanbeac...
Từ khóa: