Credit Risk: Recent Advances
Über dieses Buch
- Art: Diplomarbeit
- Autor: Martin Knoch
- Abgabedatum: Mai 1999
- Umfang: 110 Seiten
- Dateigröße: 3,7 MB
- Note: 1,0
- Institution / Hochschule: Universität Fridericiana Karlsruhe (TH) Deutschland
- ISBN (eBook): 978-3-8324-1882-3
-
ISBN (Paperback) :
978-3-8324-1882-3 P - ISBN (CD) :978-3-8324-1882-3 CD
- Sprache: Englisch
- Prämierung:
- Arbeit zitieren: Knoch, Martin Mai 1999: Credit Risk: Recent Advances, Hamburg: Diplomica Verlag
- Schlagworte: Default Risk, Finanzmathematik, Kreditrisiko, Risk Management
In den Warenkorb
38,00 €
Diplomarbeit von Martin Knoch
Abstract:
We discuss the main approaches to quantify the risk of losses arising from a defaulting counterparty to a financial transaction that have been developed over the last 25 years. Every existing method faces major problems in assessing the numerous and partly non-observable factors influencing credit risk. One shortcoming common to all methods is the classical normal assumption for interest rate changes and asset returns. Therefore we suggest the introduction of stable Paretian models to yield more realistic credit spreads.
Table of Contents:
| 1. | Introduction | |
| 2. | Basic Properties of Credit Risk Models | |
| 2.1 | Financial Position | |
| 2.2 | Default Probability | |
| 2.3 | The Price Of Credit Risk | |
| 3. | Structural Models | |
| 3.1 | Structural Models With Constant Interest Rates | |
| 3.2 | Structural Models With Stochastic Interest Rates | |
| 4. | Reduced Form Models | |
| 4.1 | Terminology of Reduced Form Models | |
| 4.1.1 | Credit Risk and Credit Events | |
| 4.1.2 | Rating Categories and Transition Matrices | |
| 4.2 | Reduced Form Modesl With Default Rates | |
| 4.3 | Reduced Form Models With Rating Transitions | |
| 4.3.1 | Modelling Rating Histories With Markov Chains | |
| 4.3.2 | The Introduction of Pseudo-Probabilities | |
| 4.3.3 | Parameter Estimation | |
| 5. | Models With Implied Credit Spread | |
| 6. | Hybrid Models | |
| 6.1 | Rating Transitions | |
| 6.2 | Forward Prices | |
| 6.3 | The Distribution of Values | |
| 6.3.1 | Distributions in Credit Risk and Market Risk Measurement | |
| 6.4 | Expected Loss | |
| 6.5 | Unexpected Loss | |
| 6.6 | Example | |
| 7. | Rating Categories | |
| 7.1 | Alternative Credit Analysis And Rating Methodology | |
| 7.2 | Example. Standard&Poor’s Corporate Rating | |
| 7.2.1 | Rating Categories | |
| 7.2.2 | The Rating Process | |
| 7.2.3 | Credit Analysis Factors | |
| 7.3 | Split Ratings | |
| 8. | Transition Matrices | |
| 8.1 | Default Probabilities | |
| 8.1.1 | Estimating Default Probabilities | |
| 8.1.2 | Errors Arising From Default Estimation | |
| 8.1.3 | Refining Rating Categories | |
| 8.2 | Properties of Transition Matrices in a Markov Model | |
| 8.2.1 | The Markov Property | |
| 8.2.2 | Monotonicity of Rating Transitions | |
| 8.2.3 | Adjusting Transition Matrices for the Markov Property and Monotonicity | |
| 8.3 | Conditional Rating Migrations | |
| 9. | Recovery Rates | |
| 10. | The Term Structure of Credit Spreads | |
| 10.1 | Risk Factors With An Impact On Credit Spreads | |
| 10.2 | Volatility of Credit Spreads | |
| 10.2.1 | The Distribution of Yield Spreads | |
| 11. | Challenges in Assessing Portfolio Credit Risk | |
| 11.1 | Joint Rating Migrations | |
| 11.2 | Expected and Unexpected Losses of a Portfolio | |
| 11.3 | Estimating Correlations | |
| 11.4 | Monte Carlo Simulation | |
| 12 | Assessing Credit Risk With Stable Models | |
| 12.1 | Stable Distributions | |
| 12.2 | Subordination | |
| 12.3 | Subordinated Stable Processes | |
| 12.4 | One Factor Term Structure Models With Subordinate Stable Process | |
| 13. | New Directions for Evaluation and Forcasting Credit Risk: Future Work | |
| Appendix | ||
| A. | Derivation of the Black-Scholes Formula | |
| B. | Closed Form Solution For the Bond Price in One-Factor Term Structure Models | |
| B.1 | Bond Prices For Term Structures With Constant Drift and Volatility | |
| B.2 | Bond Prices For the Vasicek Model | |
| B.3 | Bond Prices For the CIR Model | |
| C. | Credit Risk Links |
In den Warenkorb
38,00 €
Link zur Arbeit:
http://www.diplom.de/ean/9783832418823
Arbeit zitieren:
Knoch, Martin Mai 1999: Credit Risk: Recent Advances, Hamburg: Diplomica Verlag
Schlagworte:
Default Risk, Finanzmathematik, Kreditrisiko, Risk Management
Entdecken Sie mehr zum Thema
Chaostheoretische Betrachtungen zur Prognostizierbarkeit von Aktienkursen
Diplomarbeit von
Stephan
Preiß
|
Januar
2002 |
Note 1,6
Kategorien
Schlagworte
68,00 €
The impact of the Subprime-Crisis on European Banks
Evidence from the British Banking Market
Bachelorarbeit von
Jan-Frederik
Modell
|
Februar
2008 |
Note 1,2
Kategorien
Schlagworte
38,00 €
Erhältlich als:
PDF-eBook Download:
38,00 €
A critical analysis of the 2007-2009 global financial and economic crisis and its implications for the travel industry and associated businesses
Bachelorarbeit von
Manuel
Kaar
|
April
2009 |
Note 1,0
Kategorien
Schlagworte
38,00 €
Erhältlich als:
PDF-eBook Download:
38,00 €
Ausgewählte Methoden zur Risikomessung von Basket Credit Default Swaps im Vergleich
Diplomarbeit von
Philipp
Bandl
|
Januar
2007 |
Note 1,0
Kategorien
Schlagworte
38,00 €
Erhältlich als:
PDF-eBook auf CD:
38,00 €
Modeling Credit Risk and Pricing Credit Derivatives
Diplomarbeit von
Martin
Wolf
|
Oktober
2001 |
Note 1,0
Kategorien
Schlagworte
58,00 €
Untersuchung von Kredit- und Liquiditätskomponenten in den Preisen von Corporate Bonds und Credit Default Swaps
Diplomarbeit von
Viktor
Stoller
|
Dezember
2008 |
Note 2,3
Kategorien
Schlagworte
48,00 €
Erhältlich als:
PDF-eBook Download:
48,00 €
Determinanten von Credit Spreads deutscher Unternehmensanleihen
Theoretische und empirische Analyse
Diplomarbeit von
Sönke
Strauß
|
September
2008 |
Note 1,0
Due Diligence and Risk Assessment of an Alternative Investment Fund
MA-Thesis / Master von
Ingrid
Vancas
|
Mai
2009 |
Note 1,4
Kategorien
Schlagworte
48,00 €
Erhältlich als:
PDF-eBook Download:
48,00 €