Xem 1-10 trên 10 kết quả Correlated defaults
  • In banking, especially in risk management, portfolio management, and structured finance, solid quantitative know-how becomes more and more important. We had a two-fold intention when writing this book: First, this book is designed to help mathematicians and physicists leaving the academic world and starting a profession as risk or portfolio managers to get quick access to the world of credit risk management. Second, our book is aimed at being helpful to risk managers looking for a more quantitative approach to credit risk. ...

    pdf285p vigro23 24-08-2012 103 51   Download

  • Understanding the relationship between credit and interest rate risk is critical to many applications in finance, from valuation of credit and interest rate-sensitive instruments to risk management. This study empirically examines the relationship between interest rates and default risk using firm level corporate default data in the United States between 1982 and 2008. We find significant negative contemporaneous correlations between the changes in short interest rates and aggregate default rates, with a particularly strong relationship around financial crises.

    pdf17p man3172 12-06-2010 106 35   Download

  • Over the last two decades there has been a notable increase in the number of corporate governance codes and principles, as well as a range of improvements in structures and mechanisms. Despite this, corporate governance failed to prevent a widespread default of fiduciary duties of corporate boards and managerial responsibilities in the finance industry, which contributed to the 2007–2010 global financial crisis.

    pdf414p namde02 08-03-2013 76 20   Download

  • In recent years, the credit derivatives market has become extremely active. Especially credit default swaps (CDSs) and collateralized debt obligations (CDOs) have contributed to what has been an amazing development. The most important benefit of credit derivatives is their ability to transfer the credit risk of an arbitrary number of obligors in a simple, efficient, and standardized way, giving rise to a liquid market for credit risk that can be easily accessed by many market participants.

    pdf0p baobinh1311 25-09-2012 18 5   Download

  • The complainant also contended that the default security settings themselves are too liberal in nature in that the initial user content may be seen by most people and can be indexed by search engines. Finally, the complainant considered that the settings pages and links provided discourage the new user from applying certain security settings and points out that some important settings cannot be edited on a user’s main page, for example, access by third party applications and search engines. FB-I contended that it does receive the specific consent of Facebook users.

    pdf0p tay_thi_le 19-02-2013 14 3   Download

  • By the end of 2000, close to two million immigrants were residing in the Netherlands, of a total population of nearly 16 million. Among the immigrant population, 2,661 patients with pulmonary tuberculosis were identified during 1996–2000. Information about country of origin and time since immigration was missing in 3% and 13% of the study patients, respectively, and was accounted for by multiple imputation (five times) to avoid bias in the calculation of incidence rates, relative risks, and confidence intervals (1).

    pdf10p taisaocothedung 12-01-2013 12 1   Download

  • n my "Word of Greeting" of the first edition of this book which was dedicated to Günter Dufey, I pointed out that I appreciate Günter Dufey as someone who builds bridges between Germany and the United States. Meanwhile, almost 5 years have gone by. Günter Dufey's significance as an academic intermediary between the continents has even increased since then. Due to his efforts, the cooperation be-tween high ranked U.S. business schools and the WHU - Otto Beisheim Hochschule in Germany have been intensified. The joint summer MBA program on the WHU campus is attended by 45 U.S.

    pdf841p namde01 04-04-2013 40 26   Download

  • Forecasting credit portfolio risk poses a challenge for the banking industry. One important goal of modern credit portfolio models is the forecast of the future credit risk given the information which is available at the point of time the forecast is made. Thus, the discussion paper “Forecasting Credit Portfolio Risk“ proposes a dynamic concept for the forecast of the risk parameters default probabilities and default correlations.

    pdf38p enterroi 01-02-2013 15 7   Download

  • In the present paper we use a model to forecast default probabilities and estimate default correlations based on the threshold model described above. The default probability measures the probability of an obligor’s assets falling short of a threshold. In addition, asset correlations are modeled as a measure of co-movement of the asset values of two obligors. Default correlations can then be derived analytically.

    pdf36p enterroi 01-02-2013 19 5   Download

  • The model allows default probabilities to be forecasted for individual borrowers and to estimate correlations between those borrowers simultaneously. We show that asset and default correlations depend on the point in time calibration of the default probabilities. In addition a simultaneous estimation eases the validation of default probabilities. Thus, default probabilities and correlations should never be derived separately from each other.

    pdf49p enterroi 01-02-2013 11 4   Download

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