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 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 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 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 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 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 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 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 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 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 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 Estimation and Dynamic Modelling of Multivariate Market Risks Using High Frequency Financial Data written by Valeri Voev and published by . This book was released on 2008 with total page 222 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 Modeling Risk in Fed Cattle Production written by Eric Joseph Belasco and published by . This book was released on 2007 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: bayesian, yields, multivariate, livestock, censored.