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Validation of credit default probabilities via multiple testing procedures
credit default probabilities testing procedures
2010/10/21
We apply multiple testing procedures to the validation of estimated default probabilities in credit rating systems. The goal is to identify rating classes for which the probability of default is estim...
上海财经大学宏观经济学课件Chapter17 World Markets in Goods and Credit
上海财经大学 宏观经济学 课件 Chapter17 World Markets Goods Credit
2010/6/28
上海财经大学宏观经济学课件Chapter17 World Markets in Goods and Credit。
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...
The Impact of Credit Risk and Implied Volatility on Stock Returns
Credit Risk Implied Volatility Stock Returns
2010/10/20
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of...
Precautionary Measures for Credit Risk Management in Jump Models
Credit risk management Double exponential jump diffusion Spectrally negative Levy processes Scale functions Optimal stopping
2010/4/27
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of ...
Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity modeling survey
2010/10/18
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...
Information Asymmetry in Pricing of Credit Derivatives
Information Asymmetry Pricing Credit Derivatives
2010/10/18
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the...
An Assessment of the Credit Crisis Solutions
Credit, financial crises banks other depository institutions
2010/9/8
The paper reviews and assesses the various models that have been suggested for resolving the current credit crisis. It is argued that policymakers are inclined to adopt the ‘business-as-usual’ model m...
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that th...
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Credit Default Swaps StructuralModels Black Cox Model, Calibration
2010/11/3
In this paper we develop structural first passage models (AT1P and SBTV)with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, ...
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term struc-ture is summarized and shown to be equivalent to a particular ty...
A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...
A Dynamic Model for Credit Index Derivatives
Credit Risk CDO Option Dynamic Model Ane Model
2010/11/2
We present a new model for credit index derivatives, in the top-down approach. This model
has a dynamic loss intensity process with volatility and jumps and can include counterparty risk.It handles C...
Analytical Framework for Credit Portfolios. Part I: Systematic Risk
Analytical Framework Credit Portfolios Systematic Risk
2010/11/2
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfol...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...