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 ....

Ngày tải lên: 10/08/2014, 07:21

... (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 ....

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 ... option can be exercised is called ©20 03 CRC Press LLC Chapter3 AssetValueModels Theassetvaluemodel(AVM)isanimportantcontributiontomodern finance.Intheliteratureonecanfindatremendousamountofb...

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

... 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

... LLC thePoissonmixturemodel,herebyconfirmingourtheoreticalresults fromSection2 .3. AmoredetailedcomparisonoftheKMV-Modeland CreditRisk + canbefoundin[12]. 2.6LossDistributionsbyMeansofCopulaFunctions Copulafunctionshavebeenusedasastatisticaltoolforconstruct- ingmultivariatedistributionslongbeforetheywerere-discoveredasa valuabletechniqueinriskmanagement.Currently,theliteratureon theapplicationo...

Ngày tải lên: 10/08/2014, 07:20

... 0.0002 0 .32 06 −0.8 430 0 .38 23 0.0971 0.0295 0.0101 0.0 030 0.0006 0.0404 0.2976 −0.8167 0 .33 57 0.1086 0.0288 0.0041 0.0015 0.0045 0.0417 0 .33 66 −0.8547 0 .34 99 0.1 034 0.0149 0.0 039 0.0012 0.0 035 0.0 539 ... 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 estimate...

Ngày tải lên: 10/08/2014, 07:20

... LLC withcorrespondingmatrixexponential exp( ¯ Q KMV )=        0.65870.22900.06 930 .02560.00 930 .00 630 .00160.0002 0.20900.44820.24200.06880.0 230 0.00640.00 230 .0004 0.05480.21770. 430 10.20250.07270.01710.00410.0010 0.02240.0 736 0. 237 80 .35 760. 233 30.05890.0 138 0.0026 0.00700.02490.07160.19150.45750.19740.0 430 0.0071 0.00 230 .00770.0 232 0.05460.21 730 .47540.19 930 .0201...

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