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Author : Gabriele Visentin
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)
Download or read book Essays on Portfolio Credit Risk written by Gabriele Visentin and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhen Wu
Publisher :
ISBN 13 : 9780549056577
Total Pages : 166 pages
Book Rating : 4.0/5 (565 download)
Download or read book Essays in Portfolio Credit Risk written by Zhen Wu and published by . This book was released on 2007 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis addresses several problems in credit risk. We first consider an estimation problem for a dynamic default model with discrete market observations. In the dynamic model, all the marginal defaults follow intensity based models, and default barriers are linked by a copula function; in this manner individual defaults are modeled separately from joint defaults. Our estimation procedure leverages off of this structure: in the first step we estimate the parameters of default rates; and in the second step we estimate the parameters of the copula function. The second problem we discuss in this thesis is the formulation of dynamic joint default models. In our models obligors may belong to different seniority classes and defaults can happen any time before maturity. We derive asymptotes for the probability of large default losses in a heterogeneous credit portfolio. To improve estimation accuracy of the probability of large losses in moderate sized portfolios, we develop importance sampling methods to estimate these probabilities by Monte Carlo simulation. Given the dynamic nature of the default models, the simulation of rare events relies on efficiently simulating the entire path of the modeling dynamics. This introduces further numerical errors and simulation "noise". To circumvent this issue we propose to simulate simpler events, related to upper and lower bounds on the tail probability. This leads to biased importance sampling estimators for the original tail probability. We then extend several concepts in standard (unbiased) importance sampling methods to the biased case. The final problem concerns managing portfolio credit risk for one of our proposed dynamic models. We formulate two portfolio selection problems and solve them using asymptotic analysis and importance sampling based simulation methods derived earlier.
Author : Baeho Kim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (613 download)
Download or read book Essays in Portfolio Credit Risk written by Baeho Kim and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation considers the measurement and management of portfolio credit risk. Collateralized debt obligations, which are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. In the first part of the dissertation, we develop stochastic methods to measure the risk of positions in collateralized debt obligations and related instruments tied to an underlying portfolio of defaultable assets. We propose an adaptive point process model of portfolio default timing, a maximum likelihood method for estimating point process models that is based on an acceptance/rejection re-sampling scheme, and statistical tests for model validation. To illustrate these tools, they are used to estimate the distribution of the profit or loss generated by positions in multiple tranches of a collateralized debt obligation that references the CDX High Yield portfolio, and the risk capital required to support these positions. The second part of the dissertation develops maximum likelihood estimators of the term structure of systemic risk in the U.S. financial sector, defined as the conditional probability of failure of a large number of financial institutions. The estimators are based on a new dynamic hazard model of failure timing that captures the influence of time-varying macro-economic and sector-specific risk factors on the likelihood of failures, and the impact of risk spillovers due to contagion or incomplete information about relevant risk factors. The estimation results, which cover the period January 1987 to December 2008, provide strong evidence for the presence of failure clustering not caused by variations in the observable explanatory covariates, which include the trailing return on the S & P 500 index, the lagged slope of the U.S. yield curve, the default and TED spreads, and other sector-specific variables.
Author : Andriy Demchuk
Publisher :
ISBN 13 :
Total Pages : 122 pages
Book Rating : 4.:/5 (249 download)
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:
Author : Tingting Ji
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (574 download)
Download or read book Essays on Consumer Portfolio and Credit Risk written by Tingting Ji and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Three essays comprise this dissertation. The first essay uses panel data to show that labor income risk alone cannot explain limited stock market participation. However, transaction costs and household demographics, considered jointly, can determine both the discrete choice of whether to hold stock and the amount held, conditional on whether the household is already investing in the stock market. Transaction costs are proxied by state-level number of brokers per capita. The second essay builds on the first essay. I measure two different covariance terms. One is between self-evaluated house value and uninsurable labor income risk. The other is between housing investment return and stock return. The results show that homeownership has a diversification effect on stock holdings. This effect occurs because adding a house to the household portfolio can significantly decrease the overall risk of the portfolio. The last essay empirically shows that unemployment is significant in determining both consumer bankruptcy filings and delinquency even after controlling for household demographics. Furthermore, I show that unemployment and the debt/wealth ratio also affect the choice of whether to file for bankruptcy under chapter 7 or chapter 13, after controlling for demographics. The paper then points out some of the implications the empirical results have for policy-makers and banking regulators.
Author : Oussama Chakroun
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (298 download)
Download or read book Essays on Credit Risk and Portfolio Choice written by Oussama Chakroun and published by . This book was released on 2008 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Björn Bick
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (773 download)
Download or read book Essays on Continuous-time Portfolio Optimization and Credit Risk written by Björn Bick and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eva Lütkebohmert
Publisher : Springer Science & Business Media
ISBN 13 : 3540708707
Total Pages : 229 pages
Book Rating : 4.5/5 (47 download)
Download or read book Concentration Risk in Credit Portfolios written by Eva Lütkebohmert and published by Springer Science & Business Media. This book was released on 2008-09-30 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective
Author : Aydin Aslan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (136 download)
Download or read book Essays in Finance: Sustainability in Credit Risk, Carbon Risk and Portfolio Theory written by Aydin Aslan and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan J. Neale
Publisher :
ISBN 13 :
Total Pages : 99 pages
Book Rating : 4.:/5 (957 download)
Download or read book Essays on Mortgage Risk written by Alan J. Neale and published by . This book was released on 2012 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contributes three essays in areas of mortgage risk that are rapidly growing in importance. The first essay develops a fully dynamic optimization model for a borrower's redefault decision on a modified mortgage incorporating real-world frictions relevant for default decisions. Solutions to the model reveal large differences across modification structures and a basic pecking order for redefault performance controlling for resulting mortgage present value. Further, empirical tests utilizing unique and extensive data on modified loans offer broad agreement with the predictions of the model. The second essay provides one of the most complete studies for termination behavior of non-U.S. mortgages to date, jointly estimating the competing risks of prepayment and default in a grouped duration mixed proportional hazard framework applied to Singapore mortgages. The study tests option-theoretic motivations for prepayments and defaults as well as "trigger event" explanations, explores comparative results to U.S. mortgage studies, examines unique institutional characteristics of this market impacting option-theoretic motivations for loan termination, and documents that variation in sources of borrower equity matter for the exercise of default options. The final essay argues that the estimation of tail credit risk in residential mortgage portfolios remains relatively poorly understood, and that many common approaches to the problem have been incomplete or inadequate. In addition to laying out the fundamental components of sound portfolio credit risk assessment, the essay develops competing models for realistic dynamics of underlying risk factors, such as home prices. Particular attention is paid to identifying the properties of these models most consequential for the estimated distribution of losses, and to measures of implied sensitivity to geographic diversification.
Author : Andrew Kimber
Publisher : Elsevier
ISBN 13 : 0080472419
Total Pages : 270 pages
Book Rating : 4.0/5 (84 download)
Download or read book Credit Risk: From Transaction to Portfolio Management written by Andrew Kimber and published by Elsevier. This book was released on 2003-11-17 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Risk: from transaction to portfolio management provides high level, focused analysis of the nature of credit risk in investment bank portfolio management. Written by experienced international practitioners, it offers in-depth information and advice that will help all those charged with managing credit risk at the sharp end.Credit Risk Management strives to protect the capital and reputation of the bank while preserving its franchise and optimising long-term profitability. These goals are achieved by: Recommending suitable credit policies and guidelines Performing due diligence on the banks' customers Incorporating both quanitative and qualitative analysis to balance risk and return Providing creative advice to facilitate client transactions Coordinating legal and operational issues Embracing technological change to enhance bank effectiveness Credit Risk provides financial institutions and their staff with everything they need to know about how to control and manage credit risk. It gives sound analysis of trading strategies and complex derivative product, offers an understanding of settlement procedures and legal issues, and shows how to accurately quantify and measure related risks. Written by professionals for professionals - authors are from two of the world's largest international investment banksIn-depth, focused informationHigh level, comprehensive analysis of the subject
Author : Anthony Saunders
Publisher : John Wiley & Sons
ISBN 13 : 0471274763
Total Pages : 337 pages
Book Rating : 4.4/5 (712 download)
Download or read book Credit Risk Measurement written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2002-10-06 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement. This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity-based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must-read reference for all credit risk professionals. Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions. Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494). Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.
Author : Jochen Felsenheimer
Publisher : John Wiley & Sons
ISBN 13 : 3527501983
Total Pages : 581 pages
Book Rating : 4.5/5 (275 download)
Download or read book Active Credit Portfolio Management written by Jochen Felsenheimer and published by John Wiley & Sons. This book was released on 2006-03-10 with total page 581 pages. Available in PDF, EPUB and Kindle. Book excerpt: The introduction of the euro in 1999 marked the starting point of the development of a very liquid and heterogeneous EUR credit market, which exceeds EUR 350bn with respect to outstanding corporate bonds. As a result, credit risk trading and credit portfolio management gained significantly in importance. The book shows how to optimize, manage, and hedge liquid credit portfolios, i.e. applying innovative derivative instruments. Against the background of the highly complex structure of credit derivatives, the book points out how to implement portfolio optimization concepts using credit-relevant parameters, and basic Markowitz or more sophisticated modified approaches (e.g., Conditional Value at Risk, Omega optimization) to fulfill the special needs of an active credit portfolio management on a single-name and on a portfolio basis (taking default correlation within a credit risk model framework into account). This includes appropriate strategies to analyze the impact from credit-relevant newsflow (macro- and micro-fundamental news, rating actions, etc.). As credits resemble equity-linked instruments, we also highlight how to implement debt-equity strategies, which are based on a modified Merton approach. The book is obligatory for credit portfolio managers of funds and insurance companies, as well as bank-book managers, credit traders in investment banks, cross-asset players in hedge funds, and risk controllers.
Author : June Ho Kim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (781 download)
Download or read book Essays in Credit Portfolio Management written by June Ho Kim and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Banks often seek to reduce the default risk exposure associated with their corporate loan portfolios by entering into credit derivative positions. Asset managers seek additional yield through single and multi-name credit derivatives, and must also manage their credit exposures according to disciplined and systematic risk-return analysis. This thesis explores the portfolio selection and risk measurement problem for credit sensitive financial instruments. In comparison to its equity counterpart, the fixed-income portfolio problem presents unique challenges: the risk of issuer default induces skewed return distributions, the correlation of defaults influences the tail of the portfolio return distribution, and credit derivative positions have complex risk-return implications. The first part of this dissertation addresses the static selection problem for a fixed-income portfolio of credit sensitive securities. We optimize the total mark-to-market value of the portfolio at the investment horizon. This value incorporates the intermediate premium and default cash flows of long and short cash and derivative positions, and the survival-contingent market value of these positions at the horizon. The selection problem is cast as a polynomial goal program that involves a two-stage constrained optimization of preference weighted moments of the portfolio mark-to-market. The decision variable is the vector of contract notionals. A capital constraint guarantees the solvency of the investor. The multi-moment formulation addresses the non-Gaussian distribution of the portfolio mark-to-market. It is also computationally tractable, because we obtain analytical expressions for the moments of the portfolio mark-to-market, which are given in terms of nested expectations under risk-neutral and actual probability measures. The expressions are valid for a broad class of intensity-based, doubly-stochastic models of correlated default timing that are widely used in portfolio credit risk and derivatives pricing. Numerical results illustrate the implications for portfolio selection of idiosyncratic default risk and default correlation. They also indicate the robustness of the optimal policies with respect to estimation errors. Although higher moments provide important characterizations of the portfolio risk profile, investment managers often need to compute specific tail percentiles of the profit and loss distribution. In the second part of the thesis we develop an analytical approximation for this distribution. The approximation is based on a small-time expansion of a transform of the portfolio value. The analytical characterization permits tractable computations of Value-at-Risk, and Value-at-risk constrained optimal portfolio selections.
Author :
Publisher :
ISBN 13 :
Total Pages : 291 pages
Book Rating : 4.:/5 (191 download)
Download or read book Essays on Credit Risk written by and published by . This book was released on 2007 with total page 291 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey R. Bohn
Publisher : John Wiley & Sons
ISBN 13 : 0470455128
Total Pages : 645 pages
Book Rating : 4.4/5 (74 download)
Download or read book Active Credit Portfolio Management in Practice written by Jeffrey R. Bohn and published by John Wiley & Sons. This book was released on 2009-04-01 with total page 645 pages. Available in PDF, EPUB and Kindle. Book excerpt: State-of-the-art techniques and tools needed to facilitate effective credit portfolio management and robust quantitative credit analysis Filled with in-depth insights and expert advice, Active Credit Portfolio Management in Practice serves as a comprehensive introduction to both the theory and real-world practice of credit portfolio management. The authors have written a text that is technical enough both in terms of background and implementation to cover what practitioners and researchers need for actually applying these types of risk management tools in large organizations but which at the same time, avoids technical proofs in favor of real applications. Throughout this book, readers will be introduced to the theoretical foundations of this discipline, and learn about structural, reduced-form, and econometric models successfully used in the market today. The book is full of hands-on examples and anecdotes. Theory is illustrated with practical application. The authors' Website provides additional software tools in the form of Excel spreadsheets, Matlab code and S-Plus code. Each section of the book concludes with review questions designed to spark further discussion and reflection on the concepts presented.
Author : Mário Fernandes
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays on the Determinants of the Financial Strength written by Mário Fernandes and published by . This book was released on 2017 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: To manage and mitigate credit risk, financial institutions and large companies which grant credit use several models and techniques to evaluate the financial data of their client firms. The present empirical research updates the quantitative methods to score and model the financial strength of clients. To present how to evaluate and model a powerful algorithm that provides a financial strength of a client this research uses the credit portfolio of an Oil & Gas company with diversified upstream and downstream portfolios. The mentioned portfolio includes differentiated clients from several sub-portfolios, such as wholesale markets (bunkering, jet fuel, lubricants, oil distribution or chemicals) and the retail markets (oil stations and fuel cards). This research should help companies' Chief Risk Officers (CRO) and commercial departments to evaluate the individual credit risk analysis and the credit portfolio as a whole. The results presented are validated by micro-econometric techniques. It is also important to note that the achieved outcomes were validated by expert judgments using the financial strength method to filter out poor risk firms and individuals.
