an introduction to credit risk modeling phần 9 pot
an introduction to credit risk modeling phần 2 docx
... agingcreditportfolios.TheirtoolsarebasedonamodicationofMer-
tonsassetvaluemodel,seeChapter3,andincludeatoolforestimating
defaultprobabilities(CreditMonitor
TM
)frommarketinformationand
atoolformanagingcreditportfolios(PortfolioManager
TM
).Therst
toolsmainoutputistheExpectedDefaultFrequency
TM
(EDF),which
cannowadaysalsobeobtainedonlinebymeansofanewlydeveloped
web-basedKMV-toolcalledCreditEdg...
an introduction to credit risk modeling phần 3 doc
... (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 ....
an introduction to credit risk modeling phần 4 docx
... thePoissonmixturemodel,herebyconfirmingourtheoreticalresults
fromSection2.3.AmoredetailedcomparisonoftheKMV-Modeland
CreditRisk
+
canbefoundin[12].
2.6LossDistributionsbyMeansofCopulaFunctions
Copulafunctionshavebeenusedasastatisticaltoolforconstruct-
ingmultivariatedistributionslongbeforetheywerere-discoveredasa
valuabletechniqueinriskmanagement.Currently,theliteratureon
theapplicationofcopul...
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 ... Chapter3
AssetValueModels
Theassetvaluemodel(AVM)isanimportantcontributiontomodern
finance.Intheliteratureonecanfindatremendousamountofbooks
andpaperstreatingtheclassicalAVMoroneofitsvariousmodi...
an introduction to credit risk modeling phần 6 pptx
... insurancepointofview,expectedshortfallisaveryreasonablemeasure:
Definingbyc=VaR
α
(X)acriticallossthresholdcorrespondingto
someconfidencelevelα,expectedshortfallcapitalprovidesacushion
againstthemeanvalueoflossesexceedingthecriticalthresholdc.In
otherwords,TCEfocussesontheexpectedlossinthetail,startingat
c,oftheportfolio’slossdistribution.Thecriticalthresholdc,driven
bytheconfidencelevelα,hastob...
an introduction to credit risk modeling phần 7 doc
... 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
i
(...
an introduction to credit risk modeling phần 8 pps
... pletemarkets,butitisnotclearwhethertheseconditionsholdforthe
creditmarketornot.Ifacrediteventisbasedonafreelyobservable
propertyofmarketprices,suchascreditspreads,thenwebelievethat
conventionalderivativepricingmethodologymaybeapplicable.
Creditderivativesarebilateralfinancialcontractsthatisolatespecific
aspectsofcreditriskfromanunderlyinginstrumentandtransferthat
riskbetweentwocounterparties.By...
an introduction to credit risk modeling phần 9 pot
... eventoccurredduringthelifetimeofthereferencenote,theissuerpays
thefullprincipalbacktotheinvestor.Sointhisexampleonecould
summarizeaCLNasasyntheticbondwithanembeddeddefaultswap.
Inoursecondexample,aninvestor,whohasnoaccesstothecredit
derivativesmarketorisnotallowedtodooff-balancesheettransactions,
wantstoinvestinacreditdefaultswap,sellingprotectiontotheowner
ofsomereferenceasset.Thiscanbeachiev...
an introduction to credit risk modeling phần 3 pptx
... (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 ....
an introduction to credit risk modeling phần 5 pps
... 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 ... F
0
implicitlybymeansofdiscountingthefacevalueFataratehigher
thantherisk-freerate.Thepayoutofdebttotheobligorattimet=0
willthenbesmallerthemoreriskytheobligor’sbusinessis.
Atypicalstrategyofde...
an introduction to credit risk modeling phần 7 pot
... 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 ... 5.2.2CapitalAllocationw.r.t.Value-at -Risk
CalculatingriskcontributionsassociatedwiththeVaRriskmeasure
isanaturalbutdifficultattempt,sinceingeneralthequantilefunc-
tionwillnotbedifferent...
an introduction to credit risk modeling phần 8 ppsx
... pletemarkets,butitisnotclearwhethertheseconditionsholdforthe
creditmarketornot.Ifacrediteventisbasedonafreelyobservable
propertyofmarketprices,suchascreditspreads,thenwebelievethat
conventionalderivativepricingmethodologymaybeapplicable.
Creditderivativesarebilateralfinancialcontractsthatisolatespecific
aspectsofcreditriskfromanunderlyinginstrumentandtransferthat
riskbetweentwocounterparties.By...
an introduction to credit risk modeling phần 9 pdf
... eventoccurredduringthelifetimeofthereferencenote,theissuerpays
thefullprincipalbacktotheinvestor.Sointhisexampleonecould
summarizeaCLNasasyntheticbondwithanembeddeddefaultswap.
Inoursecondexample,aninvestor,whohasnoaccesstothecredit
derivativesmarketorisnotallowedtodooff-balancesheettransactions,
wantstoinvestinacreditdefaultswap,sellingprotectiontotheowner
ofsomereferenceasset.Thiscanbeachiev...
an introduction to credit risk modeling phần 10 docx
... [105 ]L.Overbeck.Allocationofeconomiccapitalinloanportfolios.
InU.Franke,W.Hăardle,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.C...
Từ khóa:
- an introduction to the unified modeling language
- modelling valuation and hedging introduction to credit risk and credit derivatives
- press modeling evolution an introduction to numerical methods 2010 attica
- an introduction to quantum computing
- an introduction to gcc
- an introduction to uml
- dreaming an introduction to the science of sleep
- an introduction to linear algebra
- an introduction to objectoriented