Download or read book Credit Rating Migration Risks in Structure Models written by Jin Liang and published by Springer Nature. This book was released on with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rating Based Modeling of Credit Risk written by Stefan Trueck and published by Academic Press. This book was released on 2009-01-15 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 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

Download or read book Semi Markov Migration Models for Credit Risk written by Guglielmo D'Amico and published by John Wiley & Sons. This book was released on 2017-06-26 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit 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.

Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle and published by Springer. This book was released on 2017-08-02 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.

Download or read book Economic Capital written by Pieter Klaassen and published by Elsevier. This book was released on 2009-05-28 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Managers can deploy and manage economic capital more effectively when they understand how their decisions add value to their organizations. Economic Capital: How It Works and What Every Manager Needs to Know presents new ways to define, measure, and implement management strategies by using recent examples, many from the sub-prime crisis. The authors also discuss the role of economic capital within the broader context of management responsibilities and activities as well as its relation to other risk management tools that are available to the modern risk manager. Explains ways to use economic capital in balancing risk and return Evaluates solutions to problems encountered in establishing an economic capital framework Emphasizes intuition Draws special attention to embedding risk modelling approaches within economic capital frameworks

Download or read book Credit Derivatives written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2004-02-01 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.

Download or read book Financial Modelling written by Maria Bonilla and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a selection of the papers presented at the 24th Meeting of the Euro Working Group on Financial Modelling held in Valencia, Spain, on April 8-10, 1.999. The Meeting took place in the Bancaja Cultural Center, a nice palace of the XIX century, located in the center of the city. Traditionally, members of the Euro Working Group on Financial Mod elling meet twice a year, hosted by different active groups in successions. The year 1999 was very special for us because the University of Valencia celebrates its fifth century. The Meeting was very well attended and of high quality. More than 90 participants, coming from 20 different countries debated 46 communications in regular sessions. The opening lecture was given by Prof. H. White, from the University of California, San Diego. The topics discussed were classified in nine sessions: Financial Theory, Financial Time Series, Risk Analysis, Portfolio Analysis, Financial Institu tions, Microstructures Market and Corporate Finance, Methods in Finance, Models in Finance and Derivatives. The papers collected in this volume provide a representative but not com plete sample of the fields where the members of the working group develop their scientific activity. The papers are a sample of this activity, and consist of theoretical papers as well as empirical ones.

Download or read book Credit Derivatives written by Gunter Meissner and published by John Wiley & Sons. This book was released on 2009-02-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market for credit derivatives--financial instruments designedto transfer credit risk from one party to another--has grownexponentially in recent years, with volume expected to reach morethan $4.8 trillion by 2004. With demand increasing from the privatesector for finance professionals trained in the opportunities--anddangers--inherent in this fast-changing market, finance courses arealready springing up to meet this need. Credit Derivatives: Explains the field of credit derivatives to business studentswith a background in finance Cites real-world examples throughout, reinforced byend-of-chapter questions and internet links to pricing models Provides a concise overview of the field that is ideal forinstructors seeking to supplement traditional derivatives coursematerial, as well as those looking to offer a stand-alone course oncredit derivatives.

Download or read book Credit Risk Modeling using Excel and VBA written by Gunter Löeffler and published by John Wiley & Sons. This book was released on 2007-04-30 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit. Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO’s. The final chapters address modeling issues associated with the new Basel Accord.

Download or read book Certified Credit Research Analyst CCRA Level 2 written by Aditya Gadge and published by AIWMI. This book was released on 2013-12-25 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Certified Credit Research Analyst (CCRATM) is a comprehensive global education program designed to give an expert level understanding of credit markets to fresh graduates and experienced professionals. It integrates the fundamentals of financial analysis, credit analysis, rating methodologies, credit strategy and structuring. It offers the tools a candidate needs to occupy key positions in the world of finance, private banking, credit ratings and fixed income domain

Download or read book Credit Risk Modeling Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 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.

Download or read book The dynamics of cooperate credit risk An intensity based econometric written by and published by Rozenberg Publishers. This book was released on 2008 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Credit Risk Modeling written by David Lando and published by Princeton University Press. This book was released on 2009-12-13 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Download or read book The Pension Challenge written by Olivia S. Mitchell and published by Oxford University Press. This book was released on 2003-11-13 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, the first in a new series produced by the Pension Research Council of the Wharton School in collaboration with Oxford University Press, explores ways to enhance retirement security in a volatile financial environment.Mitchell and Smetters begin by assessing the myriad retirement risks confronting employees, retirees, employers, and governments, and it shows how stakeholders can work to reinvent pensions that perform well in a competitive global setting. Contributors then indicate how pension systems can be better designed to help protect against these risks.Of special interest is a discussion of new financial products and structures to meet and manage challenges to old-age security. Examples considered include pension investment guarantees and hedges, adapting catastrophe bonds to the pension context, and key regulatory structures and portfolio requirements designed to protect unwary or unwitting pension participants. The contributors draw important lessons for a wide range of countries, drawing from both developed and developing marketexperiences.Contributors include world-famous finance experts and risk management faculty, development economists, pension regulators, and pension consultants.

Download or read book Professional s Handbook of Financial Risk Management written by Lev Borodovsky and published by Elsevier. This book was released on 2000-02-25 with total page 817 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professional's Handbook of Financial Risk Management is a major reference work in finance. A complete practical reference book covering all aspects of financial risk management including an in-depth look at operational risk management, regulation, risk-based capital, and risk adjusted performance measurement. The book focuses on practical financial risk management techniques and solutions, and is designed to guide the risk professional step-by-step through the implementation of a firm-wide risk management framework. This book covers the various roles of the risk management function. Rather than describing every possible role in exhaustive detail, the authors have provided a story line for each of the discussed topics, including practical issues that a risk manager needs to consider when tackling the subject, possible solutions to difficulties that might be encountered, background knowledge that is essential to know, and more intricate practices and techniques that are being used. By providing these fundamentals, the novice risk professional can gain a thorough understanding of the topic in question while the more experienced professional can use some of the more advanced concepts within the book. Thus the book can be used to broaden your own knowledge of the risk world, both by familiarizing yourself with areas in which you lack experience and by enhancing your knowledge in areas that you already have expertise. All authors are leaders in their field who between them have the expertise and knowledge, both practical and theoretical, to produce this definitive risk management guide. The editors of this book, Marc Lore and Lev Borodovsky, are senior financial risk managers at Sanwa Bank (International) London, and Credit Suisse First Boston, USA respectively. They also run The Global Association of Risk Professionals (GARP), the industry association for financial risk management practitioners and researchers. Endorsed by GARP - Global Association of Risk Professionals Authored and edited by leading financial markets risk professionals International in coverage; the concepts and methods covered are not specific to any country or institution, but rather to the risk management profession as a whole

Download or read book Financial Enterprise Risk Management written by Paul Sweeting and published by Cambridge University Press. This book was released on 2017-08-07 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive, yet accessible, guide to enterprise risk management for financial institutions contains all the tools needed to build and maintain an ERM framework. It discusses the internal and external contexts with which risk management must be carried out, and it covers a range of qualitative and quantitative techniques that can be used to identify, model and measure risks. This new edition has been thoroughly updated to reflect new legislation and the creation of the Financial Conduct Authority and the Prudential Regulation Authority. It includes new content on Bayesian networks, expanded coverage of Basel III, a revised treatment of operational risk and a fully revised index. Over 100 diagrams are used to illustrate the range of approaches available, and risk management issues are highlighted with numerous case studies. This book also forms part of the core reading for the UK actuarial profession's specialist technical examination in enterprise risk management, ST9.

Download or read book Rethinking Valuation and Pricing Models written by Carsten Wehn and published by Academic Press. This book was released on 2012-12-17 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner