an introduction to credit risk modeling phần 7 doc

... 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

... 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

... LLC agingcreditportfolios.TheirtoolsarebasedonamodificationofMer- ton’sassetvaluemodel,seeChapter3,andincludeatoolforestimating defaultprobabilities(CreditMonitor TM )frommarketinformationand atoolformanagingcreditportfolios(PortfolioManager TM ).Thefirst tool’smainoutputistheExpectedDefaultFrequency TM (EDF),which cannowadaysalsobeobtainedonlinebymeansofanewlydeveloped web-basedKMV-toolcalledC...

Ngày tải lên: 10/08/2014, 07:20

... probabilities Transition Probabilities DefaultDefaultDown/Upgrade and Default Down/Upgrade and Default DtD on contin. Scale Risk Scale Default Risk only Default Risk only Mark -to- Model of Loan Value Mark -to- Model of Loan Value Distance to Default ... (α,β)∈ {(2,1/2),(5,1/5)}. Insteadofincorporatingafactormodel(aswehaveseenitinthecase ofCreditMetrics TM andKMV’sPortfolioManager...

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

... 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. [1 07] PriceWaterhouseCoopers.ThePriceWaterhouseCoopersCredit DerivativesPrimer,1999. [108]D.RevuzandM.Yor.ContinuousMartingalesandBrownian Motion.Springer-Verlag,1991.Ch...

Ngày tải lên: 10/08/2014, 07:21

... 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 ... one byLambertonandLapeyre [76 ].Forreaderswithoutanyknowledge ofstochasticcalculuswerecommendthebookbyMikosch[ 87] ,which gives an introduction to the basic concepts of stochastic calcul...

Ngày tải lên: 10/08/2014, 07:20

... LLC Chapter4 TheCreditRisk + Model InSection2.4.2wealreadydescribedtheCreditRisk + modelasaPois- sonianmixturewithgamma-distributedrandomintensitiesforeach sector.InthissectionwewillexplainCreditRisk + insomegreater detail.Thejustificationforanotherandmoreexhaustivechapteron CreditRisk + isitsbroadacceptancebymanycreditriskmanaginginsti- tutes.EveninthenewCapitalAccord(somereferencesregardingt...

Ngày tải lên: 10/08/2014, 07:20

... LLC pletemarkets,butitisnotclearwhethertheseconditionsholdforthe creditmarketornot.Ifacrediteventisbasedonafreelyobservable propertyofmarketprices,suchascreditspreads,thenwebelievethat conventionalderivativepricingmethodologymaybeapplicable. Creditderivativesarebilateralfinancialcontractsthatisolatespecific aspectsofcreditriskfromanunderlyinginstrumentandtransferthat riskbetweentwocounterpartie...

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