Rating Based Modeling of Credit Risk

Rating Based Modeling of Credit Risk
Author: Stefan Trueck,Svetlozar T. Rachev
Publsiher: Academic Press
Total Pages: 280
Release: 2009-01-15
Genre: Business & Economics
ISBN: 0080920306

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In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev

Credit Risk Modeling

Credit Risk Modeling
Author: David Lando
Publsiher: Princeton University Press
Total Pages: 328
Release: 2009-12-13
Genre: Business & Economics
ISBN: 9781400829194

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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.

Credit Risk Modeling using Excel and VBA

Credit Risk Modeling using Excel and VBA
Author: Gunter Löeffler,Peter N. Posch
Publsiher: John Wiley & Sons
Total Pages: 280
Release: 2007-04-30
Genre: Business & Economics
ISBN: 9780470510742

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In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit. Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO’s. The final chapters address modeling issues associated with the new Basel Accord.

Introduction to Credit Risk Modeling

Introduction to Credit Risk Modeling
Author: Christian Bluhm,Ludger Overbeck,Christoph Wagner
Publsiher: CRC Press
Total Pages: 384
Release: 2016-04-19
Genre: Business & Economics
ISBN: 9781584889939

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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

Credit Risk Modeling Theory And Applications

Credit Risk Modeling Theory And Applications
Author: David Lando
Publsiher: Unknown
Total Pages: 326
Release: 2007-01-01
Genre: Electronic Book
ISBN: 8122416969

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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: Those 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 To 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.This Special Low-Priced Edition Is For Sale In India, Bangladesh, Bhutan, Maldives, Nepal, Myanmar, Pakistan And Sri Lanka Only.

Credit Risk

Credit Risk
Author: Niklas Wagner
Publsiher: CRC Press
Total Pages: 600
Release: 2008-05-28
Genre: Mathematics
ISBN: 1584889950

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Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sections, the book • Explores the rapidly developing area of credit derivative products, including iTraxx Futures, iTraxx Default Swaptions, and constant proportion debt obligations • Addresses the relationships between the DJ iTraxx credit default swap (CDS) index and the stock market as well as CDS spreads and macroeconomic factors • Investigates systematic and firm-specific default risk factors, compares CDS pricing results from the CreditGrades industry benchmark to a trinomial tree approach, and applies the Hull–White intensity-based model to the pricing of names from the CDX index • Analyzes aggregate default and recovery rates on corporate bond defaults over a twenty-year period, the responses of hazard rates to changes in a set of economic variables, low-default portfolios, and tests on the accuracy of the Basel II framework • Describes benchmark models of implied credit correlation risk, copula-based default dependence concepts, the fit of various copula models, and a common factor model of systematic credit risk • Studies the pricing of options on single-name CDSs, the pricing of credit derivatives, collateralized debt obligation (CDO) price data, the pricing of CDO tranches, applications of Gaussian and Student’s t copula functions, and the pricing of CDOs Using mathematical models and methodologies, this volume provides the essential knowledge to properly manage credit risk and make sound financial decisions.

Managing Portfolio Credit Risk in Banks An Indian Perspective

Managing Portfolio Credit Risk in Banks  An Indian Perspective
Author: Arindam Bandyopadhyay
Publsiher: Cambridge University Press
Total Pages: 390
Release: 2016-03-31
Genre: Business & Economics
ISBN: 9781107146471

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This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.

Concentration Risk in Credit Portfolios

Concentration Risk in Credit Portfolios
Author: Eva Lütkebohmert
Publsiher: Springer Science & Business Media
Total Pages: 226
Release: 2008-09-30
Genre: Mathematics
ISBN: 9783540708704

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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

A Business Cycle Approach to Rating Based Credit Risk Modeling

A Business Cycle Approach to Rating Based Credit Risk Modeling
Author: Stefan Trück
Publsiher: Unknown
Total Pages: 252
Release: 2005
Genre: Electronic Book
ISBN: OCLC:260074613

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Credit Risk Modeling using Excel and VBA

Credit Risk Modeling using Excel and VBA
Author: Gunter Löeffler,Peter N. Posch
Publsiher: John Wiley & Sons
Total Pages: 358
Release: 2011-01-31
Genre: Business & Economics
ISBN: 9780470660928

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It is common to blame the inadequacy of credit risk models for the fact that the financial crisis has caught many market participants by surprise. On closer inspection, though, it often appears that market participants failed to understand or to use the models correctly. The recent events therefore do not invalidate traditional credit risk modeling as described in the first edition of the book. A second edition is timely, however, because the first dealt relatively briefly with instruments featuring prominently in the crisis (CDSs and CDOs). In addition to expanding the coverage of these instruments, the book will focus on modeling aspects which were of particular relevance in the financial crisis (e.g. estimation error) and demonstrate the usefulness of credit risk modelling through case studies. This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA. They focus specifically on risk management issues and cover default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. The book has an accompanying website, http://loeffler-posch.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.

Credit Risk Modeling Valuation and Hedging

Credit Risk  Modeling  Valuation and Hedging
Author: Tomasz R. Bielecki,Marek Rutkowski
Publsiher: Springer Science & Business Media
Total Pages: 501
Release: 2004-01-22
Genre: Business & Economics
ISBN: 3540675930

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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.

Credit Risk Analytics

Credit Risk Analytics
Author: Bart Baesens,Daniel Roesch,Harald Scheule
Publsiher: John Wiley & Sons
Total Pages: 512
Release: 2016-10-03
Genre: Business & Economics
ISBN: 9781119143987

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The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.

Risk Management

Risk Management
Author: Michael Frenkel,Ulrich Hommel,Markus Rudolf
Publsiher: Springer Science & Business Media
Total Pages: 838
Release: 2005-12-06
Genre: Business & Economics
ISBN: 9783540269939

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Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.

International Convergence of Capital Measurement and Capital Standards

International Convergence of Capital Measurement and Capital Standards
Author: Anonim
Publsiher: Lulu.com
Total Pages: 239
Release: 2004
Genre: Bank capital
ISBN: 9789291316694

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Retail Credit Risk Management

Retail Credit Risk Management
Author: M. Anolli,E. Beccalli,T. Giordani
Publsiher: Springer
Total Pages: 236
Release: 2013-01-29
Genre: Business & Economics
ISBN: 9781137006769

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Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.