an introduction to credit risk modeling phần 8 pps

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

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, 07:21

... 19 78 1 980 1 982 1 984 1 986 1 988 1990 1992 1994 1996 19 98 2000 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 1970 1972 1974 1976 19 78 1 980 1 982 1 984 1 986 1 988 1990 1992 1994 1996 19 98 2000 ©2003 ... 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 b...

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

... Scale Risk Scale Default Risk only Default Risk only Mark -to- Model of Loan Value Mark -to- Model of Loan Value Distance to Default (DtD) Definition of Risk Intensity Process Macro- economic Factors Asset ... (α,β)∈ {(2,1/2),(5,1/5)}. Insteadofincorporatingafactormodel(aswehaveseenitinthecase ofCreditMetrics TM andKMV’sPortfolioManager TM inSection1.2.3), CreditRisk + implementsas...

Ngày tải lên: 10/08/2014, 07:20

... 0 .89 26% 0.5% 0.3522% 0 .89 46% 0 .8% 0.5267% 1.2966% 0 .8% 0.5 283 % 1.3045% 1.5% 0 .89 76% 2.1205% 1.5% 0 .89 64% 2.0 988 % M ean 5% 2 0% M ean 5 % 20% 0.5% 0.4959% 0.4992% 0.5% 0.4990% 0.4973% 0 .8% 0 .80 06% ... 10,000, 40, and 10. Quantiles are calculated w.r.t. a confidence of 99%. M ean 5% 2 0% M ean 5 % 20% 0.5% 0.5000% 0.5000% 0.5% 0.5002% 0.4 983 % 0 .8% 0 .80 00% 0 .80 00% 0 .8% 0...

Ngày tải lên: 10/08/2014, 07:20

... LLC Chapter3 AssetValueModels Theassetvaluemodel(AVM)isanimportantcontributiontomodern finance.Intheliteratureonecanfindatremendousamountofbooks andpaperstreatingtheclassicalAVMoroneofitsvariousmodifica- tions.See,e.g.,Crouhy,Galai,andMark[21](Chapter9),Sobehart andKeenan[115],andBohn[13],justtomentionaverysmallselection ofespeciallynicelywrittencontributions. AsalreadydiscussedinSection1.2.3and...

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

... probability than high -risk states, i.e., M i8 ≤ M i+1 8 , i = 1, . . . , 7. (vi) It should be more likely to migrate to closer states than to more distant states (row monotony towards the diagonal), M ii+1 ≥ ... 0.0670 0 .85 85 0.0535 0.0120 0.0010 0.00 28 0.0003 0.0009 0.0079 0.0556 0 .82 88 0. 081 6 0.0060 0.0 189 0.0001 0.0005 0.0026 0.00 78 0.0591 0 .82 84 0.0262 0.0753 0.00...

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