Credit derivatives industry

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 113 53   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...

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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.

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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.

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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 49 3   Download

Trade credit financing has become a powerful tool to improve sales and profit in an industry. In general, a supplier retailer frequently offers trade credit to its credit risk downstream member in order to stimulate their respective sales. This trade credit may either be full or partial depending upon the past profile of the downstream member.

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We analyse the mathematical structure of portfolio credit risk models with particular regard to the modelling of dependence between default events in these models. We explore the role of copulas in latent variable models (the approach that underlies KMV and CreditMetrics) and use non-Gaussian copulas to present extensions to standard industry models. We explore the role of the mixing distribution in Bernoulli mixture models (the approach underlying CreditRisk+) and derive large portfolio approximations for the loss distribution.

27p enter1cai 12-01-2013 37 3   Download