Download or read book Three Essays in Risk Modeling written by Xuan Chi and published by . This book was released on 2016 with total page 131 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 Three Essays on Modeling Risk written by Bret P. Mackay and published by . This book was released on 1999 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Modeling Risk written by Bret Powell Mackay and published by . This book was released on 2002 with total page 184 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 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Modeling Financial Risk and Pricing Financial Assets written by Xiongwei Ju and published by . This book was released on 1999 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Three Essays on the Risk and Distribution of a Portfolio s Future Losses written by Wei He and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This Ph.D. dissertation contains three individual and internally related essays. The first essay applies the least-squares Monte-Carlo (LSM) methodology to derive the distribution of the exotic option values at a future time. LSM presents a powerful statistical procedure that efficiently yields derivative distributions for exotic options that do not possess analytic solutions. By means of several examples, using options with closed-from solutions, this essay demonstrates the ability of LSM to produce excellent estimates of derivative distribution at a reasonable computational cost. The second and third essays compare two of the major credit risk portfolio models used by two prominent financial companies: J. P. Morgan's CreditMetrics and Credit Swiss First Boston's CreditRisk+. The second essay compares the two models from a methodological and an empirical point of view. Factor Analysis is utilized to link the different input data employed by these two models. The third essay creates a hypothetical world in which the true transition matrices are known so that a benchmark distribution of portfolio loss is derived to evaluate the model's performance. The results suggest that despite the fact that the recommendations made by each approach to a financial institution trying to determine how much economic capital to hold is different, these two models perform equally well when credit-rating-change risk is eliminated from the CreditMetrics approach.

Download or read book Essays on Qualitative and Quantitative Risk Management written by David Fritz and published by Books on Demand. This book was released on 2018-02-09 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on the Ph.D. thesis "Essays on Qualitative and Quantitative Risk Management" written by the author of this book. It consists out of three essays on text mining applications in finance and the validation of a credit risk model. To be more precise, the three essays address the following research questions: What kind of text mining measures are suitable in the finance area for analyzing text such as annual reports and can we use these measures to predict short-term performance or the reporting quality? Can we measure the tone of a document by using automatically calculated sentiment scores? How can we build a sentiment score, that captures keywords within a larger context? Do the chapters/sections of an annual report have a different influence on the whole content of the report? How can banks validate their credit risk model with a special focus on an analytical model? This book addresses practitioners, consultants, analysts, and bankers as well as students, researchers, and lecturers with focus on text mining applications in finance and the validation of credit risk models.

Download or read book Three Essays on Credit Risk Fixed Income and Derivatives written by Redouane Elkamhi and published by . This book was released on 2008 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling and Financing Weather Risk written by Jianqiang Hao and published by . This book was released on 2005 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by Stanford University. This book was released on 2011 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.

Download or read book Multivariate Ordinal Models in Credit Risk written by Rainer Hirk and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Development Economics written by David Russell Hansen and published by Stanford University. This book was released on 2011 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is composed of three chapters. All three deal with topics in development economics. The first chapter examines the effects on village institutions of introducing formal financial institution options into the village. The second addresses the effects of government policy on educational investment and crime. The third tests the explanatory power of various explanations of the gender gap in math test scores. The first chapter examines the effects of a transition from a ``traditional'' economy based on an uncertain source of income, with risk fully insured away by one's neighbors in a social network through costly network ties, to a ``modern'' economy in which some agents have access to partial insurance at a lower cost. A theoretical model is used to show that village social networks can break down as some members of the village no longer need the insurance the social network provides, producing a reduction in welfare (if the costs of reducing moral hazard are not too high) for at least some individuals and possibly the village as a whole. This loss of welfare can occur even when networks provide other benefits to those belonging to them and is likely to be heterogeneous, depending on the opportunities and networks available to individuals. This paper tests these predictions using Indonesian data to examine the effect of a change in the banking institutions available to a community on the strength of social networks (measured by community participation) and welfare (measured by household expenditure and by child health). The analysis finds that changing financial institution availability in general does not influence community participation or welfare, but that financial institutions that primarily serve certain groups do relatively reduce the welfare of households not in those groups, which is consistent with the hypotheses generated by the model. Crime is an important feature of economic life in many countries, especially in the developing world. Crime distorts many economic decisions because it acts like an unpredictable tax on earnings. In particular, the threat of crime may influence people's willingness to invest in schooling or physical capital. The second chapter explores the questions "What influence do crime rates and levels of investment have on one another?" and "How do government policies affect the relationship between investment and crime?" by creating a simple structural model of crime and educational investment and attempting to fit this model to Mexican data. A method of simulated moments procedure is used to estimate parameters of the model and the estimated parameters are then used to carry out policy simulations. The simulations show that increasing spending on police or increasing the severity of punishment reduces crime but has little effect on educational investment. Increased educational subsidies increase educational investment but reduce crime only slightly. Thus, one type of policy is insufficient to accomplish the goals of both reducing crime and increasing education. The third chapter is joint work with Prashant Bharadwaj, Giacomo De Giorgi, and Christopher Neilson. Boys tend to have better performances than girls in mathematical testing; in particular, there are significantly more boys than girls among high achievers and the score distribution appears to have a longer right tail for boys. We confirm such results on several low- and middle-income countries. In particular we find that the gender gap is already present by age 10 and substantially increases by age 14 and 15. We propose and try to test a series of explanations for such a gap: (i) parental investment, (ii) ability, (iii) school resources, (iv) individual investment and effort (not tested directly), (v) competitive environment, and (vi) cultural norms. We conclude that none of our proposed explanations can account for a substantial portion of the gap.

Download or read book Three Essays in Credit Risk written by Mirela Raluca Predescu Vasvari and published by . This book was released on 2006 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays in credit risk. The first essay examines the relationship between credit default swap (CDS) spreads and bond yields as well as the relationship between CDS spreads and credit rating announcements. We test the no-arbitrage theoretical relationship between CDS spreads and bond yields and reach conclusions on the benchmark risk-free rate used by participants in the credit derivatives market. We then carry out a series of tests to explore the extent to which credit rating announcements by Moody's are anticipated by participants in the credit default swap market. The third essay extends the 1976 Black and Cox structural model in order to value correlation-dependent credit derivatives. The proposed model assumes that the correlations between the assets of the obligors are determined by one or more common factors. We first implement a base case model where the asset correlations and recovery rates are constant. We compare our model with the widely used Gaussian copula model of survival time and test how well our model fits market prices of CDO tranches. We then consider two extensions of the base case model. One reflects empirical research showing that default correlations are positively dependent on default rates. The other reflects empirical research showing that recovery rates are negatively dependent on default rates. The second essay investigates the performance of structural models of credit risk along two dimensions. First, I analyze the models' ability to explain CDS spreads. I find that the pricing accuracy of structural models depends heavily on the market information set used in the estimation. Incorporating past time series of CDS spreads in addition to equity and balance sheet information improves the out-of-sample model pricing performance by 50%. Second, I investigate the incremental value of structural models above and beyond CDS spreads in predicting credit ratings migrations. I find evidence that three-month changes in the Distance to Default (DD) have incremental value for anticipating rating downgrades over and above changes in CDS spreads. However, this is not the case for one-month changes in DD.

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 Three Essays on Default and Model Risk written by Aydin Akgun and published by . This book was released on 2001 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: