Managing credit risk in corporate bond portfolios

... drop in credit ratings—a key measure of creditworthiness—can explain only a part of the rise in yield spreads in Japan’s corporate bond market When we control for the decline in ratings, the market ... yen = dollar The Credit Curve and the Rise in Spreads Japan’s 1997-98 recession and the resulting decline in corporate creditworthiness undoubtedly played a role...

Ngày tải lên: 15/03/2014, 03:20

... for risk- based Capital for Credit Risk (Basel Accord) 1995 Capital Regulations for Market Risk Published 1996-98 Capital Regulations for Credit Derivatives 1997 Discussion of using credit risk ... Securitizations Credit Risk: A Global Challenge (Continued) In High Credit Risk Regions • Lack of Credit Culture (e.g., Asia, Latin America), U.S in 1996 1998? • Losses from...

Ngày tải lên: 25/04/2013, 20:23

... http://www.tapchiketoan.com/ngan-hang-tai-chinh/thi-truong-tai-chinh/phat-triennghiep-vu-factoring-nham-da-dang-hoa-hoat-dong-cua-ngan-hang-o-vie.html Personal Property and Personal guarantees  Personal Property: ... would loan be affected by changing laws and regulations 1 6-1 7 1 6-1 8 Common types of loan collateral  Reasons for taking collateral:  Proceeds of collateral sale is...

Ngày tải lên: 31/10/2014, 10:03

... measurement of credit risk in portfolios of commercial loans, bonds or other instruments Some well-known examples are CreditMetrics (Gupton et al., 1997), CreditRisk+ (CreditRisk+: A Credit Risk Management ... linear in terms of the latent variable, see the Equation (1.12) Chapter Bucket Strategy and Credit Card Credit Risk The aim of this chapter is to develop a credi...

Ngày tải lên: 11/09/2015, 10:01

... Managing the risk in renewable energy Part I The growing importance of renewable energy risk L evels of investment in renewable energy projects are higher than ever The factors driving this investment ... Limited 2011 Managing the risk in renewable energy Most companies feel they manage their renewable energy risks competently of the remaining ri...

Ngày tải lên: 06/12/2015, 23:07

... aggregate credit exposures from derivatives www.fitchlearning.com Z:\CLIENTS\FITCH LEARNING\Outlines and pre course material \Counterparty Credit Risk in Derivatives\ Outlines \Counterparty Credit Risk in ... materials www.fitchlearning.com Z:\CLIENTS\FITCH LEARNING\Outlines and pre course material \Counterparty Credit Risk in Derivatives\ Outlines \Counterparty C...

Ngày tải lên: 26/02/2017, 15:50

... loan losses We have chosen this approach for generating inforuxxtion about industry loan losses because it provides a tractabIe means for using the scarce available information and is forward-looking.‘4 ... Related Prod Misc Manufacturing Indust Railroad Transportation Local & Interurb Pass Tran Trucking & Warehousing Water Transportation Transportaiton by Air ?ipe Lines, Ex Natural Gas...

Ngày tải lên: 10/03/2017, 19:34

... market sovereign credit default swaps In contrast, I focus on the corporate bond markets and explore different types of gains as well as portfolio holdings with and without estimation risk The paper ... benchmark with Unhedged corporate bond returns from Canada, Japan, and UK Unhedged returns are much more volatile as they also incorporate foreign exchange risks The inclusion of fo...

Ngày tải lên: 16/02/2014, 02:20

... degradation, separate carbon from Footprint of production, incorporate additional measures of degradation Increase sophistication of analysis regarding carbon pricing, trading, or taxing Systematise ... Ecological Footprint and biocapacity Non-renewable natural resources Using Input-Output analysis to analyse resource use in the economy Better integration of ores and minerals in the...

Ngày tải lên: 16/02/2014, 03:20

... N CENTRAL BANK OCCASIONAL PA P E R S E R I E S 64 The use of portfolio credit risk models in central banks , Task Force of the Market Operations Committee of the European System of Central Banks, ... portfolio credit risk models These models are intended to complement existing market risk models, which are by now commonplace in any central...

Ngày tải lên: 16/02/2014, 10:20

... different credit risk models leading to the same multivariate distribution of S or Y Since this distribution is the main object of interest in the analysis of portfolio credit risk, we call two models ... “Copulas and Credit Models, ” Giesecke, K (2001): “Structural modelling of defaults with incomplete information,” preprint, Humboldt-Universit¨t Berlin, forthcomin...

Ngày tải lên: 15/03/2014, 04:20

... al (2012) Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis 13 dispersion in the beliefs of investors on the probability that certain European countries ... 1% (5% and 10%) Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis 35 7 Concl...

Ngày tải lên: 15/03/2014, 07:20

... issuers in Asian corporate bond markets is the composition of the HSBC Asian Local Bond Index (ALBI) The index is designed to track the performance of liquid local currency bonds in China, Hong ... December 2005 Table 87 Secondary markets Liquidity in corporate bond markets Before considering the problems of liquidity in the Asian markets, it is worth keeping in min...

Ngày tải lên: 22/03/2014, 18:20