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Author : Natalie Packham
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (575 download)
Download or read book Credit Gap Risk in a First Passage Model with Jumps written by Natalie Packham and published by . This book was released on 2009 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Natalie Packham
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (554 download)
Download or read book Credit Gap Risk in a First Passage Time Model with Jumps written by Natalie Packham and published by . This book was released on 2009 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Natalie Packham
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (466 download)
Download or read book Credit Dynamics in a First Passage Model with Jumps written by Natalie Packham and published by . This book was released on 2009 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ayhan Yuksel
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783838381312
Total Pages : 164 pages
Book Rating : 4.3/5 (813 download)
Download or read book Credit Risk Modeling written by Ayhan Yuksel and published by LAP Lambert Academic Publishing. This book was released on 2010 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models.
Author : Natalie Packham
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (554 download)
Download or read book Credit Dynamics in a First Passage Time Model with Jumps written by Natalie Packham and published by . This book was released on 2009 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Bluhm
Publisher : CRC Press
ISBN 13 : 1584889934
Total Pages : 386 pages
Book Rating : 4.5/5 (848 download)
Download or read book Introduction to Credit Risk Modeling written by Christian Bluhm and published by CRC Press. This book was released on 2016-04-19 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin
Author : Natalie Packham
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
Download or read book Credit Dynamics in a First-passage Time Model with Jumps and Latin Hypercube Sampling with Dependence written by Natalie Packham and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tomasz R. Bielecki
Publisher : Springer Science & Business Media
ISBN 13 : 3662048213
Total Pages : 517 pages
Book Rating : 4.6/5 (62 download)
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.
Author : Peter Tankov
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (129 download)
Download or read book Pricing and Hedging Gap Risk written by Peter Tankov and published by . This book was released on 2008 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a new class of exotic equity derivatives called gap options or gap risk swaps. These products are designed by major banks to sell off the risk of rapid downside moves, called gaps, in the price of the underlying. We show that to price and manage gap options, jumps must necessarily be included into the model, and present explicit pricing and hedging formulas in the single asset and multi-asset case. The effect of stochastic volatility is also analyzed.
Author : Laura Ballotta
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (13 download)
Download or read book Counterparty Credit Risk in a Multivariate Structural Model with Jumps written by Laura Ballotta and published by . This book was released on 2014 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact of changing correlation between names on these adjustments and study the effect of wrong-way and right-way risk.
Author : Bernd Schmid
Publisher : Springer Science & Business Media
ISBN 13 : 3540247165
Total Pages : 388 pages
Book Rating : 4.5/5 (42 download)
Download or read book Credit Risk Pricing Models written by Bernd Schmid and published by Springer Science & Business Media. This book was released on 2012-11-07 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.
Author : Damiano Brigo
Publisher : John Wiley & Sons
ISBN 13 : 047066178X
Total Pages : 464 pages
Book Rating : 4.4/5 (76 download)
Download or read book Counterparty Credit Risk, Collateral and Funding written by Damiano Brigo and published by John Wiley & Sons. This book was released on 2013-03-05 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular ‘concrete’ financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.
Author : Chin Pang Li
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (191 download)
Download or read book Estimating Jumps for Structural Models of Credit Risk written by Chin Pang Li and published by . This book was released on 2006 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Diego Amaya
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Maximum Likelihood Estimation of First-passage Structural Credit Risk Models Correcting for the Survivorship Bias written by Diego Amaya and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Lando
Publisher : Princeton University Press
ISBN 13 : 1400829194
Total Pages : 328 pages
Book Rating : 4.4/5 (8 download)
Download or read book Credit Risk Modeling written by David Lando and published by Princeton University Press. This book was released on 2009-12-13 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
Author : Chunsheng Zhou
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.E/5 ( download)
Download or read book A Jump-diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities written by Chunsheng Zhou and published by . This book was released on 1997 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gunter Meissner
Publisher : John Wiley & Sons
ISBN 13 : 1118796896
Total Pages : 268 pages
Book Rating : 4.1/5 (187 download)
Download or read book Correlation Risk Modeling and Management written by Gunter Meissner and published by John Wiley & Sons. This book was released on 2013-12-19 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
