Download or read book Essays on credit risk modeling written by Dirk Herkommer and published by . This book was released on 2007 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Credit Risk Modeling written by Xiaopeng Zhang and published by . This book was released on 2001 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Credit Risk Modeling written by and published by . This book was released on 2004 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Essays on Credit Risk Modeling written by Frieda Rikkers and published by . This book was released on 2010 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book 3 Essays on Credit Risk Modeling and the Macroeconomic Environment written by Dimitrios Papanastasiou and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Credit Risk Modeling written by Elizabeth Mays and published by Global Professional Publishi. This book was released on 1998-12-10 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers: � Implementing an application scoring system � Behavior modeling to manage your portfolio � Incorporating economic factors � Statistical techniques for choosing the optimal credit risk model � How to set cutoffs and override rules � Modeling for the sub-prime market � How to evaluate and monitor credit risk models This is an indispensable guide for credit professionals and risk managers who want to understand and implement modeling techniques for increased profitability. In this one-of-a-kind text, experts in credit risk provide a step-by-step guide to building and implementing models both for evaluating applications and managing existing portfolios.

Download or read book Two Essays on Multivariate Stochastic Processes and Applications to Credit Risk Modeling written by Luca Vidozzi and published by . This book was released on 2009 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Theoretical Credit Risk Modelling written by Dapeng XU and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Credit Ratings Credit Risk and Modeling written by Weina Zhang and published by . This book was released on 2006 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Structural Credit Risk Modelling written by Radoslav Zahariev and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Theoretical Credit Risk Modelling written by Dapeng XU 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 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 Essays on Exotic Option Pricing and Credit Risk Modeling written by Kwai Sun Leung and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 2011-01-31 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is common to blame the inadequacy of credit risk models for the fact that the financial crisis has caught many market participants by surprise. On closer inspection, though, it often appears that market participants failed to understand or to use the models correctly. The recent events therefore do not invalidate traditional credit risk modeling as described in the first edition of the book. A second edition is timely, however, because the first dealt relatively briefly with instruments featuring prominently in the crisis (CDSs and CDOs). In addition to expanding the coverage of these instruments, the book will focus on modeling aspects which were of particular relevance in the financial crisis (e.g. estimation error) and demonstrate the usefulness of credit risk modelling through case studies. This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA. They focus specifically on risk management issues and cover default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. The book has an accompanying website, https://creditriskmodeling.wordpress.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.

Download or read book Essays on Exotic Option Pricing and Credit Risk Modeling written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Xii, 99 leaves : ill. ; 30 cm.

Download or read book Three Essays in the Theory of Credit Risk written by Clemens Mueller and published by . This book was released on 2000 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Credit Risk Modeling and Management written by Frédéric Vrins and published by MDPI. This book was released on 2020-07-01 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a collection of innovative papers in the field of credit risk management. Besides the probability of default (PD), the major driver of credit risk is the loss given default (LGD). In spite of its central importance, LGD modeling remains largely unexplored in the academic literature. This book proposes three contributions in the field. Ye & Bellotti exploit a large private dataset featuring non-performing loans to design a beta mixture model. Their model can be used to improve recovery rate forecasts and, therefore, to enhance capital requirement mechanisms. François uses instead the price of defaultable instruments to infer the determinants of market-implied recovery rates and finds that macroeconomic and long-term issuer specific factors are the main determinants of market-implied LGDs. Cheng & Cirillo address the problem of modeling the dependency between PD and LGD using an original, urn-based statistical model. Fadina & Schmidt propose an improvement of intensity-based default models by accounting for ambiguity around both the intensity process and the recovery rate. Another topic deserving more attention is trade credit, which consists of the supplier providing credit facilities to his customers. Whereas this is likely to stimulate exchanges in general, it also magnifies credit risk. This is a difficult problem that remains largely unexplored. Kanapickiene & Spicas propose a simple but yet practical model to assess trade credit risk associated with SMEs and microenterprises operating in Lithuania. Another topical area in credit risk is counterparty risk and all other adjustments (such as liquidity and capital adjustments), known as XVA. Chataignier & Crépey propose a genetic algorithm to compress CVA and to obtain affordable incremental figures. Anagnostou & Kandhai introduce a hidden Markov model to simulate exchange rate scenarios for counterparty risk. Eventually, Boursicot et al. analyzes CoCo bonds, and find that they reduce the total cost of debt, which is positive for shareholders. In a nutshell, all the featured papers contribute to shedding light on various aspects of credit risk management that have, so far, largely remained unexplored.