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 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 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 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 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 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 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 in Credit Risk written by Leandro Saita and published by . This book was released on 2006 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Credit Risk written by Jin Liu and published by . This book was released on 2004 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Pricing and Management of Credit Risk written by Fan Yu and published by . This book was released on 1999 with total page 282 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 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 Credit Risk microform written by Peter Chi Pang Miu and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 2003 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Structural Approach of Credit Risk with Jump Diffusion Process written by Thanh Binh Dao and published by LAP Lambert Academic Publishing. This book was released on 2011-07 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Structural Approach of Credit Risk with Jump Diffusion Process" proposes three essays in the modelling of the firm's asset value as a jump diffusion process within the structural approach of credit risk. The first essay deals with the modelling of a perpetual coupon debt structure using two different jump diffusion processes: double exponential and uniform. The second models a debt structure of roll-over perpetual, where the firm's asset value follows a double exponential jump diffusion process. The third develops a model with zero coupon debt structure, and takes into account a stopping time marked by an important negative jump. In our essays, we obtain almost closed form formulae for the debt, equity and firm values, as well as the endogenous default barrier and credit spreads. Levels of credit spreads obtained are closer to the market data and confirm the existence of an optimal capital structure, which takes into account the risk free rate, pay-out ratio, firm risk, tax rate, default costs, and jump intensity & sizes.These essays are designed to provide academic and practitioners with useful and insightful knowledge of credit risk, default event as well as credit spreada.

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 Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.