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CREDIT RISK AND INCOMPLETE INFORMATION:: FILTERING AND EM PARAMETER ESTIMATION
contagion Default risk EM algorithm extended Kalman filter factor models partial information
2011/9/2
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven def...
Fair Value Accounting for Liabilities and Own Credit Risk
credit risk debt fair value accounting income recognition
2011/9/2
We find that equity returns associated with credit risk changes are attenuated by the debt value effect of the credit risk changes, as Merton (1974) predicts. We find that the relation between credit ...
Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
credit risk expected shortfall extremal dependence geometric shortcut
2011/8/30
We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Instead of the commonly used no...
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
credit derivative Credit risk default probability first passage time
2011/8/22
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatil...
We consider a structural model for the estimation of credit risk based on Merton's original model. By using Random-Matrix theory we demonstrate analytically that the presence of correlations severely ...
Dependence of defaults and recoveries in structural credit risk models
Credit risk Loss distribution Value at Risk Expected Tail Loss Stochastic
2011/3/23
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are ...
Statistical Inference for Time-changed Brownian Motion Credit Risk Models
Credit risk structural model rst passage problem Levy process fast Fourier transform credit default spread maximum likelihood estimation
2011/3/23
We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent i...
Precautionary Measures for Credit Risk Management in Jump Models
Credit risk management Double exponential jump diffusion Spectrally negative L´ evy processes
2010/10/19
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of...
Credit Risk, Market Sentiment and Randomly-Timed Default
Credit Risk Market Sentiment Randomly-Timed Default
2010/10/20
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed t...
The Impact of Credit Risk and Implied Volatility on Stock Returns
Credit Risk Implied Volatility Stock Returns
2010/10/20
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of...
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
credit risk structural approach survival probability partial informainformation filtering optimal quantization Monte Carlo method
2010/11/1
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial in...
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price
mortgage backed securities. Many institutions have relied heavily on the credit ratings
provided by credit agency...
Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk
Filtering Problem Applications Credit Risk
2010/12/13
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poiss...