An Empirical Investigation of a Structural Credit Risk Model
Author | : Wai Ming Koo |
Publisher | : |
Total Pages | : 40 |
Release | : 2000 |
Genre | : |
ISBN | : |
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Author | : Wai Ming Koo |
Publisher | : |
Total Pages | : 40 |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : guan seng khoo |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
This study by my MSC students in 2000 suggests an empirical approach to identify some KRIs or early warning signs of this type of credit deterioration, which can be used as regime change indicators based on the IFRS9 reporting. The findings have implications for the new IFRS9 standards where the stage 2 or 3 designation is a result of severe credit deterioration.
Author | : Yi-Kang Liu |
Publisher | : |
Total Pages | : 336 |
Release | : 2005 |
Genre | : |
ISBN | : |
Author | : Joel Reneby |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Reduced form credit risk models are often thought to be better suited for pricing corporate bonds than structural models. In this paper we challenge this view; by conditioning not only on equity but also on bond and dividend information, our structural model performs well in comparison to previously tested reduced form models. Moreover, we consider pricing of bond portfolios and show that model errors are to a large extent diversifiable.
Author | : Tomasz R. Bielecki |
Publisher | : Springer Science & Business Media |
Total Pages | : 517 |
Release | : 2013-03-14 |
Genre | : Business & Economics |
ISBN | : 3662048213 |
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 | : Christian Cech |
Publisher | : |
Total Pages | : 19 |
Release | : 2007 |
Genre | : |
ISBN | : |
Empirical results from several studies indicate that changes in interest rates and changes in credit spreads are negatively related in the short run. These findings are further investigated by examining the dependence structure between interest rate and credit risk factor changes that are computed from sovereign and corporate bond indices. Several copulas (Gaussian, Student t, BB1, and Frank copula) are calibrated and their goodness-of-fit is compared. No clear pattern of the dependence structure can be observed as it varies substantially with the duration and - concerning the credit risk factor changes - the rating of the obligors. The Student t copula's fit in terms of the AIC goodness-of-fit measure is superior to that of all other copulas. The null hypothesis of a specific copula being the true copula can be rejected for the Student t copula in the least cases. Additionally employing a likelihood-ratio test, the null hypothesis of a Gaussian copula can be rejected in favour of a Student t copula. The Gaussian copula seems to underestimate the probability of joint strong risk factor changes, while the Student t copula seems to overestimate it.
Author | : Andrej Sedej (matematik.) |
Publisher | : |
Total Pages | : 84 |
Release | : 2018 |
Genre | : |
ISBN | : |
Author | : Mike Lauer-Grigore |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Author | : Nikola A. Tarashev |
Publisher | : |
Total Pages | : 56 |
Release | : 2005 |
Genre | : Credit |
ISBN | : |
This paper evaluates empirically the performance of six structural credit risk models by comparing the probabilities of default (PDs) they deliver to ex post default rates. In contrast to previous studies pursuing similar objectives, the paper employs firm-level data and finds that theory-based PDs tend to match closely the actual level of credit risk and to account for its time path. At the same time, nonmodelled macro variables from the financial and real sides of the economy help to substantially improve the forecasts of default rates. The finding suggests that theory-based PDs fail to fully reflect the dependence of credit risk on the business and credit cycles. Most of the upbeat conclusions regarding the performance of the PDs are due to models with endogenous default. For their part, frameworks that assume exogenous default tend to underpredict credit risk. Three borrower characteristics influence materially the predictions of the models: the leverage ratio; the default recovery rate; and the risk-free rate of return.
Author | : Didier Cossin |
Publisher | : John Wiley & Sons |
Total Pages | : 384 |
Release | : 2001 |
Genre | : Business & Economics |
ISBN | : |
Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management. The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.