Modelling continuous risk variables: Introduction to fractional polynomial regression

... models from CreditMetricsTM / KMV Corporation (Portfolio Manager) and Credit Suisse Financial Products (CreditRisk+ ) In Section 2.5 .3 we come back to this issue 2.4 An Overview of Today’s Industry ... View Risk Driver Asset Value Process Asset Value Process Macroeconomic Factors Definition of Risk Distance to Default (DtD) Mark -to- Model Mark -to- Model of Loan Value of Loan V...

Ngày tải lên: 10/08/2014, 07:20

... 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 is so simple that it can be easily ... 100,000 scenarios Mean 5% 20% 0.5% 0.5002% 0 .49 83% 0.8% 0.8028% 0.8037% 1.5% 1.50 34% 1 .49 44% Quantile 0.5% 0.8% 1.5% 5% 1. 747 0% 2.6323% 4. 5250% 20% 4. 3017% 6.2997% 10.3283%...

Ngày tải lên: 10/08/2014, 07:20

... 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 value ... approach to risky debt valuation by option pricing theory is elaborated 3.1 Introduction and a Small Guide to the Literature The AVM in its original form goes back to Merton [86] and Blac...

Ngày tải lên: 10/08/2014, 07:20

... CreditRisk+ Technical Document [18] on page There we find that CreditRisk+ focuses on modeling and managing credit default risk ©2003 CRC Press LLC 145 In other words, CreditRisk+ helps to quantify ... than one sector) a full analytic description of the portfolio loss of any given credit portfolio This enables users of CreditRisk+ to compute loss distributions in a quick and still...

Ngày tải lên: 10/08/2014, 07:20

... then to a rating class, i.e., firms with default rates 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 ... additional random terms and tested to find an optimal solution At this point we not want to dive into the vast world of multidimensional optimization algorithms, but rather turn...

Ngày tải lên: 10/08/2014, 07:20

... same credit quality) with different maturities and a given recovery rate one now has to back out the credit curve To this end we have to specify also a riskless discount curve B(0, t) and an interpolation ... specific aspects of credit risk from an underlying instrument and transfer that risk between two counterparties By allowing credit risk to be freely traded, risk...

Ngày tải lên: 10/08/2014, 07:20

... will be reduced to an extent reflecting the amount of risk transferred to the capital market Both effects, and additional tax and other benefits can help a bank to refinance a loan portfolio at much ... Conditions Funding is an important issue for banks Because every loan needs to be backed by regulatory capital, the capital costs associated with a loan to a customer can be too hi...

Ngày tải lên: 10/08/2014, 07:20

... models from CreditMetricsTM / KMV Corporation (Portfolio Manager) and Credit Suisse Financial Products (CreditRisk+ ) In Section 2.5 .3 we come back to this issue 2.4 An Overview of Today’s Industry ... View Risk Driver Asset Value Process Asset Value Process Macroeconomic Factors Definition of Risk Distance to Default (DtD) Mark -to- Model Mark -to- Model of Loan Value of Loan V...

Ngày tải lên: 10/08/2014, 07:21

... 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 value ... approach to risky debt valuation by option pricing theory is elaborated 3.1 Introduction and a Small Guide to the Literature The AVM in its original form goes back to Merton [86] and Blac...

Ngày tải lên: 10/08/2014, 07:21

Ngày tải lên: 10/08/2014, 07:21