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Author: H. Gifford Fong
Publisher: John Wiley & Sons
ISBN: 0471787191
Category : Business & Economics
Languages : en
Pages : 254
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Book Description
In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default. In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include: * Estimating default probabilities implicit in equity prices * Structural versus reduced form models: a new information-based perspective * Valuing high-yield bonds * Predictions of default probabilities in structural models of debt * And much more Filled with in-depth insight and expert advice, this invaluable resource offers you the critical information you need to succeed within today's credit market.
Author: H. Gifford Fong
Publisher: John Wiley & Sons
ISBN: 0471787191
Category : Business & Economics
Languages : en
Pages : 254
Get Book Here
Book Description
In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default. In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include: * Estimating default probabilities implicit in equity prices * Structural versus reduced form models: a new information-based perspective * Valuing high-yield bonds * Predictions of default probabilities in structural models of debt * And much more Filled with in-depth insight and expert advice, this invaluable resource offers you the critical information you need to succeed within today's credit market.
Author: Mads Gjedsted Nielsen
Publisher: LAP Lambert Academic Publishing
ISBN: 9783844306118
Category :
Languages : en
Pages : 120
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Book Description
Three different credit risk models are presented, implemented, and calibrated to real data. Each of which presents a different way to model the dynamics of a firm. To better examine their differences, the models are benchmarked against the much celebrated Merton's model. Generally it is shown that structural credit risk models have empirical validity. However, all is not perfect. Since structural credit risk models may have two objectives. One being to accurately predict credit spreads, and another to determine the optimal capital structure. It is argued that if the goal is the former, then future structural models need to incorporate a more exible framework that can price the many di erent types of bonds that make up a company s debt simultaneously. However, if the objective is the latter, then the future models need to better account for the high costs linked with capital restructures in times of nancial distress.
Author: Tomasz R. Bielecki
Publisher: Springer Science & Business Media
ISBN: 3662048213
Category : Business & Economics
Languages : en
Pages : 517
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Book Description
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: Mike Lauer-Grigore
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Melanie Ilg
Publisher:
ISBN:
Category :
Languages : en
Pages : 176
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Book Description
Author: Christian Bluhm
Publisher: CRC Press
ISBN: 1584889934
Category : Business & Economics
Languages : en
Pages : 386
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Book Description
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: Joel Reneby
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
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: Jing-zhi Huang
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
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Book Description
Author: Nikola A. Tarashev
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 56
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Book Description
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:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
