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
ISBN: 9780080920306
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Rating Based Modeling of Credit Risk Book Excerpt:

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 Measurement

Credit Risk Measurement
Author: Anthony Saunders,Linda Allen
Publsiher: Wiley
Total Pages: 336
Release: 2002-10-06
ISBN: 0471274763
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Risk Measurement 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.

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
ISBN: 1928374650XXX
Category: Electronic Book
Language: EN, FR, DE, ES & NL

A Business Cycle Approach to Rating Based Credit Risk Modeling Book Excerpt:

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: 377
Release: 2011-01-31
ISBN: 0470660929
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Risk Modeling using Excel and VBA Book Excerpt:

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.

Managing Credit Risk

Managing Credit Risk
Author: John B. Caouette,Edward I. Altman,Paul Narayanan,Robert Nimmo
Publsiher: John Wiley & Sons
Total Pages: 528
Release: 2011-07-12
ISBN: 111816069X
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Managing Credit Risk Book Excerpt:

Managing Credit Risk, Second Edition opens with a detailed discussion of today’s global credit markets—touching on everything from the emergence of hedge funds as major players to the growing influence of rating agencies. After gaining a firm understanding of these issues, you’ll be introduced to some of the most effective credit risk management tools, techniques, and vehicles currently available. If you need to keep up with the constant changes in the world of credit risk management, this book will show you how.

Credit Risk Modeling Theory And Applications

Credit Risk Modeling Theory And Applications
Author: David Lando
Publsiher: Unknown
Total Pages: 326
Release: 2007-01-01
ISBN: 9788122416961
Category: Electronic Book
Language: EN, FR, DE, ES & NL

Credit Risk Modeling Theory And Applications 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: 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.

Analytical Techniques in the Assessment of Credit Risk

Analytical Techniques in the Assessment of Credit Risk
Author: Michalis Doumpos,Christos Lemonakis,Dimitrios Niklis,Constantin Zopounidis
Publsiher: Springer
Total Pages: 111
Release: 2018-09-29
ISBN: 3319994115
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Analytical Techniques in the Assessment of Credit Risk Book Excerpt:

This book provides a unique, focused introduction to the analytical skills, methods and techniques in the assessment of credit risk that are necessary to tackle and analyze complex credit problems. It employs models and techniques from operations research and management science to investigate more closely risk models for applications within the banking industry and in financial markets. Furthermore, the book presents the advances and trends in model development and validation for credit scoring/rating, the recent regulatory requirements and the current best practices. Using examples and fully worked case applications, the book is a valuable resource for advanced courses in financial risk management, but also helpful to researchers and professionals working in financial and business analytics, financial modeling, credit risk analysis, and decision science.

Credit Risk Analytics

Credit Risk Analytics
Author: Bart Baesens,Daniel Roesch,Harald Scheule
Publsiher: John Wiley & Sons
Total Pages: 512
Release: 2016-09-19
ISBN: 1119278287
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Risk Analytics Book Excerpt:

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.

Credit Derivatives Pricing Models

Credit Derivatives Pricing Models
Author: Philipp J. Schönbucher
Publsiher: John Wiley & Sons
Total Pages: 396
Release: 2003-10-31
ISBN: 0470868171
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Derivatives Pricing Models Book Excerpt:

The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.

Credit Risk Modeling

Credit Risk Modeling
Author: David Lando
Publsiher: Princeton University Press
Total Pages: 328
Release: 2009-12-13
ISBN: 1400829194
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Risk Modeling 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.

Credit Risk Modeling

Credit Risk Modeling
Author: Pup
Publsiher: Unknown
Total Pages: 328
Release: 2007-01-01
ISBN: 9788122421729
Category: Electronic Book
Language: EN, FR, DE, ES & NL

Credit Risk Modeling Book Excerpt:

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: 524
Release: 2004-01-22
ISBN: 9783540675938
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Risk Modeling Valuation and Hedging 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.

Credit Risk Modeling

Credit Risk Modeling
Author: David Lando
Publsiher: Unknown
Total Pages: 0
Release: 2008
ISBN: 9781282608016
Category: Electronic Book
Language: EN, FR, DE, ES & NL

Credit Risk Modeling 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

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: 2013-03-14
ISBN: 3662048213
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Risk Modeling Valuation and Hedging 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.

Semi Markov Migration Models for Credit Risk

Semi Markov Migration Models for Credit Risk
Author: Guglielmo D'Amico,Giuseppe Di Biase,Jacques Janssen,Raimondo Manca
Publsiher: John Wiley & Sons
Total Pages: 316
Release: 2017-05-24
ISBN: 111941511X
Category: Mathematics
Language: EN, FR, DE, ES & NL

Semi Markov Migration Models for Credit Risk Book Excerpt:

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.

Credit Risk Management

Credit Risk Management
Author: Jiří Witzany
Publsiher: Springer
Total Pages: 256
Release: 2017-02-24
ISBN: 3319498002
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Risk Management Book Excerpt:

This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e.g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.

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
ISBN: 1584889934
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Introduction to Credit Risk Modeling 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

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation
Author: Tiziano Bellini
Publsiher: Academic Press
Total Pages: 316
Release: 2019-01-15
ISBN: 0128149418
Category: Business & Economics
Language: EN, FR, DE, ES & NL

IFRS 9 and CECL Credit Risk Modelling and Validation Book Excerpt:

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

Credit Risk

Credit Risk
Author: Darrell Duffie,Kenneth J. Singleton
Publsiher: Princeton University Press
Total Pages: 416
Release: 2012-01-12
ISBN: 1400829178
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Risk Book Excerpt:

In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.

Credit Derivatives Revised Edition

Credit Derivatives  Revised Edition
Author: George Chacko,Anders Sjöman,Hideto Motohashi,Vincent Dessain
Publsiher: FT Press
Total Pages: 272
Release: 2015-12-18
ISBN: 0133249190
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Credit Derivatives Revised Edition Book Excerpt:

Every company faces credit risk. Credit derivatives are among the most powerful tools available for managing it. Once restricted to the financial industry, they are now widely used by businesses of all kinds—and all financial professionals need to understand them. Credit Derivatives, Revised Edition, explains these tools simply, clearly, and rigorously: what they do, how they work, and how to use them in today’s applications. The authors first show how credit risk can be measured and valued. They explain key ideas, such as recovery rates and credit spreads, and show how derivatives transfer credit risk to external investors. Next, they systematically demonstrate how credit risk models can describe and predict credit risk events. They cover structural models, including Merton and Black and Cox; empirical models, such as the Z-score model; and reduced-form models, such as Jarrow-Turnbull. The authors also present detailed explanations of two widely used instruments: credit default swaps (CDSs) and collateralized debt obligations (CDOs). Finally, building on what you’ve learned, the authors offer a brand-new primer on today’s applications for financial instruments with embedded credit risk. FINANCIAL STATEMENT ANALYSIS Perform preliminary financial analysis on any potential project UNDERSTAND, MEASURE, AND ASSESS CREDIT RISK Master core concepts, from credit spreads to default probabilities MASTER POWERFUL CREDIT RISK MODELING APPROACHES Learn structural, empirical, and reduced-form credit risk modeling GAIN DEEP INSIGHT INTO TODAY’S INSTRUMENTS AND APPLICATIONS Understand CDSs, CDOs, and how credit-sensitive products are now used FOR EVERY FINANCIAL PRACTITIONER: BUY-SIDE AND SELL-SIDE For CFOs, treasurers, and other practitioners—everywhere from pension funds to commercial corporations