credit risk modeling ratings and migration matrices

... Credit risk modeling using Excel and VBA Gunter Löffler Peter N Posch Credit risk modeling using Excel and VBA For other titles in the Wiley Finance series please see www.wiley.com/finance Credit ... Gunter Credit risk modeling using Excel and VBA / Gunter Löffler, Peter N Posch p cm Includes bibliographical references and index ISBN 978-0-470-03157-5 (cloth : alk paper) Credit Management Risk ... implementing them Credit risk literature broadly falls into two separate camps: risk measurement and pricing We belong to the risk measurement camp Chapters on default probability estimation and credit...

Ngày tải lên: 28/06/2014, 21:20

... to credit risk modeling For firms with traded equity and/ or debt, Structural models or Reduced-Form models are considered Structural Models are based on the work of Black and Scholes (1973) and ... borrower rating and the Loss-Given-Default (LGD) rating Bibliography Allen, L (2002) Credit Risk Modelling of Middle Markets. presented at Conference on Credit Risk Modelling and Decisioning, ... paper Series 2: Banking and Financial Supervision No 01/2003 Galindo, J & P Tamayo (2000) Credit risk assesment using statistical and machine learning: basic methodology and risk modelling applications....

Ngày tải lên: 04/10/2015, 10:39

... speaks at risk management conferences and workshops Christoph Wagner works on the risk methodology team of Allianz Group Center His main responsibilities are credit risk and operational risk modeling, ... 6.3.3 Migration Technique and Q -Matrices Term Structure Based on Market Spreads Credit Derivatives 7.1 Total Return Swaps 7.2 Credit Default Products 7.3 Basket Credit Derivatives 7.4 Credit ... Factors Systematic Risk Industry Risk Industry-Specific Risk Specific Risk Country Risk Country-Specific Risk Global Economic, Regional, and Industrial Sector Risk FIGURE 1.7 Three-level factor...

Ngày tải lên: 08/05/2014, 09:47

Ngày tải lên: 08/05/2014, 09:48

Ngày tải lên: 27/06/2014, 22:20

... speaks at risk management conferences and workshops Christoph Wagner works on the risk methodology team of Allianz Group Center His main responsibilities are credit risk and operational risk modeling, ... 6.3.3 Migration Technique and Q -Matrices Term Structure Based on Market Spreads Credit Derivatives 7.1 Total Return Swaps 7.2 Credit Default Products 7.3 Basket Credit Derivatives 7.4 Credit ... Factors Systematic Risk Industry Risk Industry-Specific Risk Specific Risk Country Risk Country-Specific Risk Global Economic, Regional, and Industrial Sector Risk FIGURE 1.7 Three-level factor...

Ngày tải lên: 28/06/2014, 22:20

... Factors Systematic Risk Industry Risk Industry-Specific Risk Specific Risk Country Risk Country-Specific Risk Global Economic, Regional, and Industrial Sector Risk FIGURE 1.7 Three-level factor ... Finger, and Bhatia to make credit risk methodology available to a broad audience in a fully transparent manner Both companies continue to contribute to the market of credit risk models and tools ... models to handle the credit risk for their balance sheet positions with an emphasis ©2003 CRC Press LLC on default risk These models were quite different from the standard specific risk models...

Ngày tải lên: 10/08/2014, 07:20

... country indices on the default probability of some obligor 2.4.2 CreditRisk+ CreditRisk+ is a credit risk model developed by Credit Suisse Financial Products (CSFP) It is more or less based on ... general framework for credit risk modeling, which is then tailor-made for client’s needs In our presentation we mainly focus on the systematic risk model of CPV 2.4.1 CreditMetricsTM and the KMV-Model ... Di erences between Industry Models CreditRisk+ Intensity Models Default Intensity Intensity Process KMV-Model KMV- CreditMetrics Credit Credit* Portfolio View Risk Driver Asset Value Process Asset...

Ngày tải lên: 10/08/2014, 07:20

... the copula concept to standard problems in credit risk is Li [78,79], Frey and McNeil [45], Frey, McNeil, and Nyfeler [47], Frees and Valdez [44], and Wang [125] However, the basic idea of copulas ... distributed with expectation and variance N −1 [p] E[Xi − X] = − √ 1− and V[Xi − X] = + 1− The correlation between X1 − X and X2 − X equals Standardizing24 X1 − X and X2 − X, we conclude E[L2 ... portfolio loss distributions of CreditMetricsTM respectively KMV with the corresponding distribution in the CreditRisk+ world Assuming infinitely many obligors and only one sector, we obtain a...

Ngày tải lên: 10/08/2014, 07:20

... As already discussed in Section 1.2.3 and also in Chapter 2, two of the most widely used credit risk models are based on the AVM, namely the KMV-Model and CreditMetricsTM The roots of the AVM ... defaults or not Therefore, the credit risk of the loan is neutralized and completely hedged In other words, buying the put transforms the risky corporate loan3 into a riskless bullet loan with face ... seminal papers by Merton [86] and Black and Scholes [10], where the contingent claims approach to risky debt valuation by option pricing theory is elaborated 3.1 Introduction and a Small Guide to the...

Ngày tải lên: 10/08/2014, 07:20

... of the CreditRisk+ model, we like to present a quotation from the CreditRisk+ Technical Document [18] on page There we find that CreditRisk+ focuses on modeling and managing credit default risk ... model of credit risk 4.1 The Modeling Framework of CreditRisk+ Crucial in CreditRisk+ is the use of probability-generating functions1 Recall that the generating function of a Poisson random variable ... section we will explain CreditRisk+ in some greater detail The justification for another and more exhaustive chapter on CreditRisk+ is its broad acceptance by many credit risk managing institutes...

Ngày tải lên: 10/08/2014, 07:20

... are concerned about default risk and have an aversion to bearing more risk Hence, they demand an additional risk premium and the pricing should somehow account for this risk aversion We therefore ... for a “stand-in” investor who is not risk adverse but assumes a default probability of 0.0351 The difference between DP and DP∗ reflects the risk premium for default timing risk Most credit market ... years This phenomenon is called credit migration, and the likelihoods of transitions from a given rating category to another are collected in migration matrices The migration technique can best...

Ngày tải lên: 10/08/2014, 07:20

... liquidity, and legal risk From the viewpoint of quantitative modeling we here are only concerned with counterparty risk One can think of credit derivatives being placed somewhere between traditional credit ... applicable Credit derivatives are bilateral financial contracts that isolate specific aspects of credit risk from an underlying instrument and transfer that risk between two counterparties By allowing credit ... other hand, a credit default swap is triggered by a credit event Another similar product is a credit default option This is a binary put option that pays a fixed sum if and when a predetermined credit...

Ngày tải lên: 10/08/2014, 07:20

... economic risk transfer is achieved, EL costs and EC costs will be reduced to an extent reflecting the amount of risk transferred to the capital market Both effects, and additional tax and other ... face value and the recovery value of the reference asset is the investor’s exposure at risk In case no credit ©2003 CRC Press LLC Interest / Premium Issuer • Bank • SPV • etc Seller of Risk Proceeds ... investigate the structured cash flows of the multisector CDO The credit risk modeling techniques explained in this book can be used for modeling (multisector) CDOs Of course, a sound factor model,...

Ngày tải lên: 10/08/2014, 07:20

... country indices on the default probability of some obligor 2.4.2 CreditRisk+ CreditRisk+ is a credit risk model developed by Credit Suisse Financial Products (CSFP) It is more or less based on ... general framework for credit risk modeling, which is then tailor-made for client’s needs In our presentation we mainly focus on the systematic risk model of CPV 2.4.1 CreditMetricsTM and the KMV-Model ... Di erences between Industry Models CreditRisk+ Intensity Models Default Intensity Intensity Process KMV-Model KMV- CreditMetrics Credit Credit* Portfolio View Risk Driver Asset Value Process Asset...

Ngày tải lên: 10/08/2014, 07:21

... As already discussed in Section 1.2.3 and also in Chapter 2, two of the most widely used credit risk models are based on the AVM, namely the KMV-Model and CreditMetricsTM The roots of the AVM ... defaults or not Therefore, the credit risk of the loan is neutralized and completely hedged In other words, buying the put transforms the risky corporate loan3 into a riskless bullet loan with face ... seminal papers by Merton [86] and Black and Scholes [10], where the contingent claims approach to risky debt valuation by option pricing theory is elaborated 3.1 Introduction and a Small Guide to the...

Ngày tải lên: 10/08/2014, 07:21

... are concerned about default risk and have an aversion to bearing more risk Hence, they demand an additional risk premium and the pricing should somehow account for this risk aversion We therefore ... for a “stand-in” investor who is not risk adverse but assumes a default probability of 0.0351 The difference between DP and DP∗ reflects the risk premium for default timing risk Most credit market ... years This phenomenon is called credit migration, and the likelihoods of transitions from a given rating category to another are collected in migration matrices The migration technique can best...

Ngày tải lên: 10/08/2014, 07:21

... liquidity, and legal risk From the viewpoint of quantitative modeling we here are only concerned with counterparty risk One can think of credit derivatives being placed somewhere between traditional credit ... applicable Credit derivatives are bilateral financial contracts that isolate specific aspects of credit risk from an underlying instrument and transfer that risk between two counterparties By allowing credit ... other hand, a credit default swap is triggered by a credit event Another similar product is a credit default option This is a binary put option that pays a fixed sum if and when a predetermined credit...

Ngày tải lên: 10/08/2014, 07:21

... economic risk transfer is achieved, EL costs and EC costs will be reduced to an extent reflecting the amount of risk transferred to the capital market Both effects, and additional tax and other ... face value and the recovery value of the reference asset is the investor’s exposure at risk In case no credit ©2003 CRC Press LLC Interest / Premium Issuer • Bank • SPV • etc Seller of Risk Proceeds ... investigate the structured cash flows of the multisector CDO The credit risk modeling techniques explained in this book can be used for modeling (multisector) CDOs Of course, a sound factor model,...

Ngày tải lên: 10/08/2014, 07:21