an introduction to credit risk modeling phần 3 pptx
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 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 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 ... option can be exercised is called
©20 03 CRC Press LLC
Chapter3
AssetValueModels
Theassetvaluemodel(AVM)isanimportantcontributiontomodern
finance.Intheliteratureonecanfindatremendousamountofb...
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 2 docx
... LLC
Inpractice,analyticalapproximationtechniquescanbeappliedquite
successfullytoso-calledhomogeneousportfolios.Theseareportfolios
wherealltransactionsintheportfoliohavecomparableriskcharacter-
istics,forexample,noexposureconcentrations,defaultprobabilities
inabandwithmoderatebandwidth,onlyafew(better:onesingle!)
industriesandcountries,andsoon.Therearemanyportfoliossatisfy-
ingsuchconstraints....
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
theapplicationo...
an introduction to credit risk modeling phần 7 doc
... 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...
an introduction to credit risk modeling phần 8 pps
... 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...
an introduction to credit risk modeling phần 9 pot
... LLC
eventoccurredduringthelifetimeofthereferencenote,theissuerpays
thefullprincipalbacktotheinvestor.Sointhisexampleonecould
summarizeaCLNasasyntheticbondwithanembeddeddefaultswap.
Inoursecondexample,aninvestor,whohasnoaccesstothecredit
derivativesmarketorisnotallowedtodooff-balancesheettransactions,
wantstoinvestinacreditdefaultswap,sellingprotectiontotheowner
ofsomereferenceasset.Thiscanbeac...
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