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 Three Essays on Credit Risk Management written by Yingying Shao and published by . This book was released on 2010 with total page 188 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 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 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 in Portfolio Management and Credit Risk written by Andriy Demchuk and published by . This book was released on 2003 with total page 122 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 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 on Credit Derivatives and Credit Risk Management written by Yong Yan and published by . This book was released on 2000 with total page 276 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 Monetary Policy and Financial Markets written by Cinzia Alcidi and published by . This book was released on 2009 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Credit Risk with Special Focus on the Subprime Financial Crisis written by Bastian Breitenfellner and published by . This book was released on 2012 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Overrated Credit Risk written by Dion Bongaerts and published by . This book was released on 2010 with total page 153 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 Financial Derivatives Pricing written by Robert A. Jarrow and published by World Scientific. This book was released on 2008 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.

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 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: