Credit derivatives

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.

400p tdh186 09-05-2012 177 82   Download

Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodologies in helping professionals to manage financial risks. The newly developed credit derivatives industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk ...

270p vigro23 24-08-2012 88 49   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, giv-ing rise to a liquid market for credit risk that can be easily accessed by many market participants.

176p namde01 08-04-2013 30 9   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.

0p baobinh1311 25-09-2012 20 5   Download

In this paper we propose a new, information-based approach for modelling the dynamic evolution of a portfolio of credit risky securities. In our setup market prices of traded credit derivatives are given by the solution of a nonlinear filtering problem. The innovations approach to nonlinear filtering is used to solve this problem and to derive the dynamics of market prices. Moreover, the practical application of the model is discussed: we analyse calibration, the pricing of exotic credit derivatives and the computation of risk-minimizing hedging strategies.

29p enter1cai 12-01-2013 26 3   Download

Credit derivatives fit neatly into this three-dimen sional scheme . Until recently, credit rema ined one of the ma jor components of business risk for wh ich no tailored risk-managemen t products existed. Credit risk managemen t for the loan portfolio manager mean t a strategy of por tfolio diversification backed by line limits, with an occas ional sale of positions in the secondary ma rket . De riva tives users relied on purchasing insurance, let ters of credit, or guarantees, or negotiating colla teralized ma rk- to-ma rket credit enhancemen t provisions in Master...

88p enterroi 01-02-2013 21 3   Download

Tham khảo tài liệu 'business english lesson – advanced level's archivebusiness buzzwords: credit-derivative', ngoại ngữ, toefl - ielts - toeic phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả

10p thanhvien222 10-07-2011 28 3   Download

Designed for the widest audience, without sacrificing a high level of understanding, graduating from limited math to arithmetic and algebra and some calculus Covers forwards and futures, options, binomial trees, Black-Scholes, volatility and dynamic strategies with detailed definitions and examples

497p greengrass304 14-09-2012 27 10   Download

China’s rural financial system has changed dramatically over the last twenty five years, but rural financial reforms were lagging behind changes in the real economy and required further economic transition. As in other countries moving towards a market economy, the reform of banking systems and the creation of efficient financial markets in China continues to be among the most difficult reform issues. Poorly functioning official financial markets push rural population to rely on informal institutions.

392p haiduong_1 03-04-2013 37 11   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.

38p enterroi 01-02-2013 15 7   Download

Implementable on a desk-top PC, CreditManager allows users to capture, calculate and display the informa tion they need to manage the risk of individual credi t derivatives, or a portfolio of credits. CreditManager handles most credi t instruments including bonds, loans, commitments, letter of credit, market-driven instruments such as swaps and forwards, as we ll as the credit derivatives as discussed in this guide.

67p enterroi 01-02-2013 19 3   Download

There are different ways of managing credit risks for different companies: for financial institutions the mechanisms of handling credit risk issues are mainly embedded in various credit derivatives, while for non-financial companies those are mostly involved in the legibly formulated contract terms. At the same time, however, we are observing erasing the conceptual distinctions between financial and nonfinancial companies due to the same more competitive environment and globalization processes. ...

60p hoangphiyeah1tv 18-04-2013 28 3   Download

Rapid expansion in international credit bears watching because, in many boom-bust credit cycles in the past, such credit tended to grow faster than overall credit during the boom.5 We illustrate this broad finding with data from several European countries that have suffered credit booms and busts since 2000. Then, we draw a parallel with countries that were caught up in the Asian financial crisis of the late 1990s. By international credit, we refer to three components of total bank credit, the first two of which are types of cross-border credit.

5p enter1cai 12-01-2013 17 1   Download

.Page i Valuation Measuring and Managing the Value of Companies .Page ii WILEY FINANCE Advanced Fixed-Income Valuation Tools, Narasimham Jegadeesh and Bruce Tuckman Beyond Value at Risk, Kevin Dowd Buying and Selling Volatility, Kevin B. Connolly Chaos and Order in the Capital Markets: New View of Cycles, Prices, and Market Volatility, Second Edition, Edgar E. Peters Corporate Financial Distress and Bankruptcy, Second Edition, Edward I.

508p leetinh 29-10-2012 119 68   Download

In this chapter we introduce the main, and first, concepts that one has to grasp in order to build, evaluate, purchase and sell financial structured products. Structured finance denotes the art (and science) of designing financial products to satisfy the different needs of investors and borrowers as closely as possible. In this sense, it represents a specific technique and operation of the financial intermediation business. In fact, the traditional banking activity, i.e.

301p thuymonguyen88 07-05-2013 52 28   Download

The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst....

0p baobinh1311 25-09-2012 49 19   Download

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions....

308p tieungot 24-01-2013 54 23   Download

Chapter 5 CREDIT DERIVATIVES. Abstract Credit derivatives are instruments used to measure, manage, and transfer credit risk. Recently, there has been an explosive growth in the use of these instruments in the financial markets.

23p yeutrasua 26-11-2010 62 16   Download

In the past, the government often tried to ensure that we pay "a fair rate" of interest by implementing usury ceilings or limits on the rates that lenders can charge. During the 1980s there was a general trend toward eliminating or raising these limits as policy-makers reacted to the high inflation and record interest rates of the late 1970s. During the early 1990s, however, the trend reversed as some suggested that caps should be placed on credit card rates, which remained at historically high levels while other key interest rates declined significantly.

15p taisaocothedung 09-01-2013 30 6   Download

Several filers reported suspected Ponzi schemes where subjects gathered client funds for investment in commercial real estate or real estate securities without actually purchasing the underlying assets. A hedge fund claimed to invest millions in CMBS and credit derivatives, but the filer found no evidence of CMBS ownership. The hedge fund primarily bought long-term certificates of deposit earning minimal interest, which were inconsistent with the fund’s investment strategy. In addition, the filer noted many small client deposits, consistent with a Ponzi scheme.

81p quaivattim 01-12-2012 30 5   Download