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An Analysis of the Japanese Credit Network
Banks-firms credit Credit topology Short-long term loan
2010/10/29
An analysis of the Japanese credit market in 2004 between banks and quoted firms is
done in this paper using the tools of the networks theory. It can be pointed out that: (i) a
backbone of the credi...
Structure and temporal change of the credit network between banks and large firms in Japan
Banking Credit topology Bipartite network Systemic risk
2010/10/29
We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach examine the temporal change in the structure of the Japanese credit ne...
Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
credit derivatives credit risk credit default swap inter-temporal relations between markets
2010/11/3
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial inn...
The Spread of the Credit Crisis: View from a Stock Correlation Network
networks econophysics equities stock market correlation credit crisis
2010/10/29
The credit crisis roiling the world’s financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however,demons...
Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models
Single Name Dynamics Credit Top Down Models
2010/10/29
In the top-down approach to multi-name credit modeling, calculation of singe name sensitivities
appears possible, at least in principle, within the so-called random thinning (RT)
procedure which dis...
LGD credit risk model: estimation of capital with parameter uncertainty using MCMC
LGD credit risk model capital parameter MCMC
2010/12/13
This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery. We de...
Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk
Filtering Problem Applications Credit Risk
2010/12/13
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poiss...
Heterogeneous credit portfolios and the dynamics of the aggregate losses
Heterogeneous credit portfolios dynamics aggregate losses
2010/12/20
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that make...
The price of bond and European option on bond without credit risk. Classical look and its quantum extension
price bond European option credit risk Classical look quantum extension
2010/12/17
In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier process while the second o...
Agency Problems, Screening and Increasing Credit Lines
Agency Problems Screening Increasing Credit Lines
2014/3/19
We propose a model in which an optimal dynamic financing contract for a cash-constrained entrepreneur is a credit line with a growing credit limit. This simple contract, which resembles those used in ...
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Markovian Bivariate Spread-Loss Model Portfolio Credit Derivatives
2010/10/29
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity
processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...
The role of credit rationing in Czech agriculture – the case of large agricultural enterprises
: loan, credit rationing large agricultural enterprise production function PGRLF (Support and Guarantee Farm and Forestry Fund)
2014/3/20
The article is concerned with the analysis of the role of credit rationing in Czech agriculture on the case of large
agricultural enterprises. The part of results, first presents the author’s d...
Credit Default Swap Valuation with Counterparty Risk
Counterparty risk contagious defaults intensity model credit default swap
2010/12/7
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the pr...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Credit Derivatives Structural Models Black Cox Model Credit Default Swaps
2010/11/3
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to cal-ibrate the model using a chosen number of Cred...