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:
Download or read book Three Essays on Default Risk written by Maria del Rosario Cristina Monter Espinosa and published by . This book was released on 2008 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay analyses the default risk related to the Mexican external debt which exhibits a structural change at the beginning of the 90's. Different stochastic discount factors are taken into account and a comparison with market data is presented. On the second essay, credit risk is modelled by incorporating simultaneously: (a) a grace period before declaring bankruptcy (Parisian option feature), and (b) the macro economic market conditions (regime switching model). A numerical method is proposed to evaluate the model. The third essay shows how the risk of default is incorporated to the market value of assets and liabilities of a life insurance company under a regime switching model. An econometric study using life insurance data is performed, providing strong evidence of switching behaviour on the market, affecting the contingent claim valuation. Finally, a numerical method is also proposed.
Download or read book Three essays on default risk written by Sadok Laajimi 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 Three Essays on Default Risk written by Maria del Rosario Cristina Monter Espinosa and published by . This book was released on 2008 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Contracting and Default Risk written by Diego Javier Orlanski and published by . This book was released on 1991 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Three Essays in Credit Risk written by Gordon Delianedis and published by . This book was released on 2000 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Sovereign Credit Risk written by Tingwei Wang and published by . This book was released on 2016 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies sovereign credit risk and its impact on banks and industrial firms. The first essay shows that bank credit risk is linked to sovereign credit risk through common exposure to systemic risk instead of implicit bailout or excessive holding of home country bonds. In the second essay, I build a trade-off model of capital structure which predicts negative correlation between optimal leverage of big firms and sovereign credit risk due to implicit bailout. The model prediction is confirmed by empirical evidence from firms in the euro area. The third essay provides a joint pricing model of CDS and bond to disentangle the default and liquidity component in CDS spread and bond yield spread. I find a remarkable liquidity component in the CDS spreads of peripheral euro area countries and conclude that ignoring CDS illiquidity leads to overestimation of default component in bond yield.
Download or read book Three Essays on Credit Risk Information and Default written by Philipp Gmehling and published by . This book was released on 2016 with total page 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 Bank Risks written by Jian Hu and published by . This book was released on 1999 with total page 324 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 Crisis Debt and Default written by Philip Ernstberger and published by Springer. This book was released on 2016-04-29 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Philip Ernstberger analyses in his three essays different topics of financial pathologies. Thereby, changes in fundamentals as well as information are considered as the driving force for the behavior of speculators and investors. The first essay deals with currency crises, in which the central bank, through setting the interest rate, steers the economy and defends against speculators. The second essay examines the effects of a rating and possible biases on the coordination of investors and the pricing of debt. In the third essay the author uses forecasts of default probabilities and implied market default probabilities to infer the weighing of information by investors.
Download or read book Three Essays on Policies Towards Risk written by Cheong-Seok Chang and published by . This book was released on 2006 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Basis Risk of Fixed Income Securities written by Long Chen and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three essays can be regarded as studies on the basis risk of fixed income securities. They investigate the spreads among different bonds. The first essay, Market Risk and Credit Risk in a General Equilibrium Model, assumes perfect liquidity and focuses on the credit spread. By incorporating credit risk into the standard asset pricing models, it provides one of the first studies on how credit spread relates to market risk, including equity risk, interest risk, and inflation risk. The second essay, Illiquidity and Expected Return of Treasury Securities, focuses on Treasury bonds with zero default risk. The yield spreads among the bonds are solely due to liquidity difference. We derive, quantitatively, how this spread is related to the bid-ask spread, brokerage fee, bond maturity, and investors? expected holding period. It is one of the first theoretical models on the liquidity of treasury securities. The third essay, An Indirect Estimation of the Transaction Costs of Corporate Bonds, is an empirical estimation of the transaction costs of corporate bonds. It is observed that bonds with less liquidity tend to be the ones with lower credit rating quality. Liquidity risk and credit risk are thus intertwined. We are able to separate their effects and obtain estimates for liquidity spreads and credit spreads. In summary, the first essay studies credit risk; the second studies liquidity risk, and the third, as an empirical study, investigates both issues. They jointly contribute to the understanding of the basis risk of fixed income securities.
Download or read book Three Essays on Firm Default Risk Executive Compensation and Institutional Investors written by Jie Chen and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
