Credit Rating Migration Risks in Structure Models
Author: Jin Liang
Publisher: Springer Nature
Published:
Total Pages: 284
ISBN-13: 9819721792
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Rating Based Modeling of Credit Risk
Author: Stefan Trueck
Publisher: Academic Press
Published: 2009-01-15
Total Pages: 279
ISBN-13: 0080920306
DOWNLOAD EBOOKIn the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev
Recent Advances In Financial Engineering 2009 - Proceedings Of The Kier-tmu International Workshop On Financial Engineering 2009
Author: Masaaki Kijima
Publisher: World Scientific
Published: 2010-06-10
Total Pages: 284
ISBN-13: 9814465224
DOWNLOAD EBOOKThis book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue.These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one. This volume will be of interest to academics, practitioners, and graduate students in the field of quantitative finance and financial engineering.
Credit Risk: Modeling, Valuation and Hedging
Author: Tomasz R. Bielecki
Publisher: Springer Science & Business Media
Published: 2013-03-14
Total Pages: 517
ISBN-13: 3662048213
DOWNLOAD EBOOKThe motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
The Analytics of Risk Model Validation
Author: George A. Christodoulakis
Publisher: Elsevier
Published: 2007-11-14
Total Pages: 217
ISBN-13: 0080553885
DOWNLOAD EBOOKRisk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.*Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk
Semi-Markov Migration Models for Credit Risk
Author: Guglielmo D'Amico
Publisher: John Wiley & Sons
Published: 2017-06-01
Total Pages: 265
ISBN-13: 1119415128
DOWNLOAD EBOOKCredit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.
Multi-Asset Risk Modeling
Author: Morton Glantz
Publisher: Academic Press
Published: 2013-12-03
Total Pages: 545
ISBN-13: 0124016944
DOWNLOAD EBOOKMulti-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. - Covers all asset classes - Provides mathematical theoretical explanations of risk as well as practical examples with empirical data - Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities
The Implications of the "New Capital Adeqaucy Framework" for Credit Risk and Capital Management in the Banking Industry
Author: Miriam Benz
Publisher: diplom.de
Published: 2002-04-18
Total Pages: 70
ISBN-13: 3832453253
DOWNLOAD EBOOKInhaltsangabe:Abstract: In their role as financial intermediaries, banks have the inherent task of assuming risks. This statement follows Diamond s model (1984) that financial intermediaries exist because they have a comparative advantage in the production of private information. Higher competition and complexity as well as a riskier environment however have increased the importance of managing and controlling one of the banks core risks: credit risk. Before analysing the implications on specific credit risk instruments, the thesis will describe the relevant content of The New Basel Capital Accord and explain the general context of credit risk and capital management within a bank. An analysis of the implications of The New Basel Capital Accord implies the question of how the new incentive structures will modify credit risk and capital management activities within banks and shape the competitive environment of the banking industry. More specifically, it will be investigated how the significance and type of credit risk and capital management will change and what effect The New Basel Capital Accord will have on the development of credit risk measurement instruments. The paper will also describe the impacts of the new Accord on the market for credit derivatives and securitizations and on the structure of these transactions. Moreover, it is important to consider how the scarce and essential resource capital will be affected and what potential conclusions can be drawn. The thesis will show that The New Basel Capital Accord is a major step forward in banking regulation that will better align regulatory and economic capital. It will encourage the usage of internal rating approaches, credit derivatives and securitizations. It will also influence capital allocation and lead to an extended use of active portfolio management. As a consequence of changed incentive structures the analysis will indicate that The New Basel Capital Accord will be an important driver for the advancement and improvement of credit risk measurement and internal credit risk models. Inhaltsverzeichnis:Table of Contents: Table of FiguresII Table of EquationsIII Table of AbbreviationsIV 1.Introduction1 1.1Motivation1 1.2Outline2 1.3Definitions4 2.Current Basel Accord and The New Basel Capital Accord in comparison5 2.1Current Basel Accord in practice5 2.2Merits and weaknesses of the current Basel Accord6 2.3Objectives of The New Basel Capital Accord 7 2.4Key [...]
Encyclopedia of Quantitative Risk Analysis and Assessment
Author:
Publisher: John Wiley & Sons
Published: 2008-09-02
Total Pages: 2163
ISBN-13: 0470035498
DOWNLOAD EBOOKLeading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.
Credit Risk Management
Author: Tony Van Gestel
Publisher: Oxford University Press
Published: 2009
Total Pages: 552
ISBN-13: 0199545111
DOWNLOAD EBOOKThis first of three volumes on credit risk management, providing a thorough introduction to financial risk management and modelling.
