Download or read book Cyclical Correlations Credit Contagion and Portfolio Losses written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Credit Contagion and Aggregate Losses written by Stefan Weber and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit contagion refers to the propagation of economic distress from one firm to another. This article proposes a reduced-form model for these contagion phenomena, assuming they are due to the local interaction of firms in a business partner network. We study aggregate credit losses on large portfolios of financial positions contracted with firms subject to credit contagion. In particular, we provide an explicit Gaussian approximation of the distribution of portfolio losses. This enables us to quantify the relation between the volatility of losses and the determinants of credit contagion. We find that contagion processes have typically a second order effect on portfolio losses. They induce additional fluctuations of losses around their averages, whose size depends on the denseness of the business partner network.
Download or read book Concentration Risk in Credit Portfolios written by Eva Lütkebohmert and published by Springer Science & Business Media. This book was released on 2008-09-30 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective
Download or read book Correlation Risk Modeling and Management written by Gunter Meissner and published by John Wiley & Sons. This book was released on 2013-12-19 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
Download or read book Credit Correlation written by Youssef Elouerkhaoui and published by Springer. This book was released on 2017-11-15 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit portfolio modelling in the presence of CVA (Credit Value Adjustments). Written at an advanced level, it assumes that readers are familiar with the fundamentals of credit modelling covered, for example, in the market leading books by Schonbucher (2003) and O’Kane (2008). Coverage will include the latest default correlation approaches; correlation modelling in the ‘Marshall-Olkin’ contagion framework, in the context of CVA; numerical implementation; and pricing, calibration and risk challenges. The explosive growth of credit derivatives markets in the early-to-mid 000’s was bought to a close by the 2007 financial crisis, where these instruments were held largely to blame for the economic downturn. However, in the wake of increased regulation across all financial instruments and the challenge of buying and selling bonds in large amounts, credit derivatives have once again been found to be the answer and the market has grown significantly. Written by a practitioner for practitioners, this book will also interest researchers in mathematical finance who want to understand how things happen and work ‘on the floor’. Building the reader’s knowledge from the ground up, and with numerous real life examples used throughout, this book will prove a popular reference for anyone with a mathematical mind interested credit markets.
Download or read book Measuring and Managing Credit Risk written by Arnaud de Servigny and published by McGraw Hill Professional. This book was released on 2004-05-05 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
Download or read book Frontiers in Quantitative Finance written by Rama Cont and published by John Wiley & Sons. This book was released on 2009-03-09 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Petit D'euner de la Finance–which author Rama Cont has been co-organizing in Paris since 1998–is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.
Download or read book Handbook on Systemic Risk written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2013-05-23 with total page 993 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Download or read book Integrated Market and Credit Portfolio Models written by Peter Grundke and published by Springer Science & Business Media. This book was released on 2008-08-15 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss distribution that comprises various risk types are analyzed.
Download or read book Proceedings of the International Conference on Information Engineering and Applications IEA 2012 written by Zhicai Zhong and published by Springer Science & Business Media. This book was released on 2013-03-12 with total page 883 pages. Available in PDF, EPUB and Kindle. Book excerpt: Information engineering and applications is the field of study concerned with constructing information computing, intelligent systems, mathematical models, numerical solution techniques, and using computers and other electronic devices to analyze and solve natural scientific, social scientific and engineering problems. Information engineering is an important underpinning for techniques used in information and computational science and there are many unresolved problems worth studying. The Proceedings of the 2nd International Conference on Information Engineering and Applications (IEA 2012), which was held in Chongqing, China, from October 26-28, 2012, discusses the most innovative research and developments including technical challenges and social, legal, political, and economic issues. A forum for engineers and scientists in academia, industry, and government, the Proceedings of the 2nd International Conference on Information Engineering and Applications presents ideas, results, works in progress, and experience in all aspects of information engineering and applications.
Download or read book CoMap Mapping Contagion in the Euro Area Banking Sector written by Mehmet Ziya Gorpe and published by International Monetary Fund. This book was released on 2019-05-10 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
Download or read book Trade Credit and Financing Instruments written by Lucia Gibilaro and published by Business Expert Press. This book was released on 2018-12-18 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers managers a complete analysis of the various facets of commercial credit and presents an analysis of the various types of markets, instruments, and risks associated with trade credit in supply chains across the globe. Trade credit is extensively used in both domestic and international commercial transactions. Although it clearly supports growth, its significance is even greater for developed countries, where the market has recovered remarkably since the global financial crisis. The number and heterogeneity of motivations to trade credit justify the variability observed in the data on global trading, and the role of trade credit has become crucial in supply chain coordination. A range of diverse trade credit finance solutions are available and include products and services offered by financial intermediaries and market products, highlighting a very interesting set of intermediate solutions that have emerged as a result of new technologies utilized in financial services. For financiers trade credit is an attractive option, but an in-depth evaluation of the possibility of losses forms the basis of a deep understating of numerous sources that can create credit risk (default and dilution risk). This book offers managers a complete analysis of the various facets of commercial credit and presents an analysis of the various types of markets, instruments, and risks associated with trade credit in supply chains across the globe.
Download or read book Quantitative Risk Management written by Alexander J. McNeil and published by Princeton University Press. This book was released on 2015-05-26 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
Download or read book Default Estimation for Low default Portfolios written by Nicholas M. Kiefer and published by . This book was released on 2006 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Systemic Risk written by Prasanna Gai and published by Oxford University Press. This book was released on 2013-03-28 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book applies some of the lessons from network disciplines - such as ecology, epidemiology, and engineering - to study and measure how small probability events can lead to contagion and banking crises on a global scale.
Download or read book Advances in Risk Management written by G. Gregoriou and published by Springer. This book was released on 2006-11-17 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book brings together an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics and Portfolio Diversification, this book is vital for optimal portfolio allocation for private and institutional investors, and is an indispensable tool.
Download or read book Complex Systems Multi Sided Incentives and Risk Perception in Companies written by Michael I.C. Nwogugu and published by Springer Nature. This book was released on 2019-09-06 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most research about financial stability and sustainable growth focuses on the financial sector and macroeconomics and neglects the real sector, microeconomics and psychology issues. Real-sector and financial-sectors linkages are increasing and are a foundation of economic/social/environmental/urban sustainability, given financial crises, noise, internet, “transition economics”, disintermediation, demographics and inequality around the world. Within complex systems theory framework, this book analyses some multi-sided mechanisms and risk-perception that can have symbiotic relationships with financial stability, systemic risk and/or sustainable growth. Within the context of Regret Minimization, MN-Transferable Utility and WTAL, new theories-of-the-firm are developed that consider sustainable growth, price stability, globalization, financial stability and birth-to-death evolutions of firms. This book introduces new behaviour theories pertaining to real estate and intangibles, which can affect the evolutions of risk-taking and risk perception within organizations and investment entities. The chapters address elements of the dilemma of often divergent risk perceptions of, and risk-taking by corporate executives, regulators and investment managers.
