an introduction to credit risk modeling phần 9 pdf
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...
Ngày tải lên: 10/08/2014, 07:20
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 ....
Ngày tải lên: 10/08/2014, 07:20
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...
Ngày tải lên: 10/08/2014, 07:20
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...
Ngày tải lên: 10/08/2014, 07:20
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...
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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 (...
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an introduction to credit risk modeling phần 8 pps
... pletemarkets,butitisnotclearwhethertheseconditionsholdforthe creditmarketornot.Ifacrediteventisbasedonafreelyobservable propertyofmarketprices,suchascreditspreads,thenwebelievethat conventionalderivativepricingmethodologymaybeapplicable. Creditderivativesarebilateralfinancialcontractsthatisolatespecific aspectsofcreditriskfromanunderlyinginstrumentandtransferthat riskbetweentwocounterparties.By...
Ngày tải lên: 10/08/2014, 07:20
an introduction to credit risk modeling phần 9 pot
... eventoccurredduringthelifetimeofthereferencenote,theissuerpays thefullprincipalbacktotheinvestor.Sointhisexampleonecould summarizeaCLNasasyntheticbondwithanembeddeddefaultswap. Inoursecondexample,aninvestor,whohasnoaccesstothecredit derivativesmarketorisnotallowedtodooff-balancesheettransactions, wantstoinvestinacreditdefaultswap,sellingprotectiontotheowner ofsomereferenceasset.Thiscanbeachiev...
Ngày tải lên: 10/08/2014, 07:20
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
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...
Ngày tải lên: 10/08/2014, 07:21
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...
Ngày tải lên: 10/08/2014, 07:21
an introduction to credit risk modeling phần 8 ppsx
... pletemarkets,butitisnotclearwhethertheseconditionsholdforthe creditmarketornot.Ifacrediteventisbasedonafreelyobservable propertyofmarketprices,suchascreditspreads,thenwebelievethat conventionalderivativepricingmethodologymaybeapplicable. Creditderivativesarebilateralfinancialcontractsthatisolatespecific aspectsofcreditriskfromanunderlyinginstrumentandtransferthat riskbetweentwocounterparties.By...
Ngày tải lên: 10/08/2014, 07:21
an introduction to credit risk modeling phần 9 pdf
... eventoccurredduringthelifetimeofthereferencenote,theissuerpays thefullprincipalbacktotheinvestor.Sointhisexampleonecould summarizeaCLNasasyntheticbondwithanembeddeddefaultswap. Inoursecondexample,aninvestor,whohasnoaccesstothecredit derivativesmarketorisnotallowedtodooff-balancesheettransactions, wantstoinvestinacreditdefaultswap,sellingprotectiontotheowner ofsomereferenceasset.Thiscanbeachiev...
Ngày tải lên: 10/08/2014, 07:21
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...
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