搜索结果: 1-12 共查到“金融市场 CREDIT”相关记录12条 . 查询时间(0.07 秒)
Consumer Credit: A Primer for Financial Service Professionals and Their Clients
Consumer Credit Financial Service Professionals financial crisis
2011/8/20
As a result of restricted lending following the recent financial crisis, implementation of the 2009 Credit Card Accountability, Responsibility and Disclosure (CARD) Act, and widespread changes in cred...
American Step-Up and Step-Down Credit Default Swaps under Levy Models
American Step-Up Step-Down Credit Default Swaps Models
2011/1/4
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are e...
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that th...
A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...
A Dynamic Model for Credit Index Derivatives
Credit Risk CDO Option Dynamic Model Ane Model
2010/11/2
We present a new model for credit index derivatives, in the top-down approach. This model
has a dynamic loss intensity process with volatility and jumps and can include counterparty risk.It handles C...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...
Credit Default Swap Valuation with Counterparty Risk
Counterparty risk contagious defaults intensity model credit default swap
2009/5/7
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the p...
Credit risk modeling using time-changed Brownian motion
Credit risk structural credit model time change L´ evy process first passage time default probability credit derivative
2010/11/1
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 volat...
Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
credit derivatives credit risk credit default swap inter-temporal relations between markets
2010/11/3
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial inn...
LGD credit risk model: estimation of capital with parameter uncertainty using MCMC
LGD credit risk model capital parameter MCMC
2010/12/13
This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery. We de...
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Markovian Bivariate Spread-Loss Model Portfolio Credit Derivatives
2010/10/29
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity
processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Credit Derivatives Structural Models Black Cox Model Credit Default Swaps
2010/11/3
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to cal-ibrate the model using a chosen number of Cred...