06044oam 22013934 450 991078833090332120230721045654.01-4623-7897-81-4527-8235-01-4518-7309-397866128437541-282-84375-3(CKB)3170000000055309(EBL)1608374(SSID)ssj0000943038(PQKBManifestationID)11492232(PQKBTitleCode)TC0000943038(PQKBWorkID)10974968(PQKB)11608716(OCoLC)712987905(MiAaPQ)EBC1608374(IMF)WPIEE2009162(EXLCZ)99317000000005530920020129d2009 uf 0engurcn|||||||||txtccrRecent Advances in Credit Risk Modeling /Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian CapuanoWashington, D.C. :International Monetary Fund,2009.1 online resource (33 p.)IMF Working Papers"August 2009."1-4519-1737-6 Includes bibliographical references.Contents; I. Introduction; II. Structural Models; A. Single-Issuer Default Risk; B. Distance-to-Default: Variations on a Theme; Figure; 1. Dah-Sing Bank: Distance-to-Default; C. Portfolio Credit Risk Models; III. Reduced-Form Models; A. Structural and Reduced-Form Models: Reconciliation Attempts; Boxes; 1. Compensators and Pricing Trends: Some Definitions-Elizalde (2006); B. Some Models; C. Nonlinear Filtering; 2. The Modeling Strategy of Frey, Schmidt, Gabih (2007); IV. Other Innovations in the Modeling of Credit Risk; A. Default Correlation Using Copulas and Other Recent ApproachesB. Pricing of Credit Index Options C. Distressed Debt Prices and Recovery Rate Estimation; V. Conclusions; Appendix; Filtration and the Pricing of Credit Index Options; ReferencesAs is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models. It also discusses the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of the prices of distressed debt and estimation of recovery values.IMF Working Papers; Working Paper ;No. 2009/162CreditManagementMathematical modelsRisk managementBanks and BankingimfFinancial Risk ManagementimfInvestments: OptionsimfMacroeconomicsimfMoney and Monetary PolicyimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfInternational Financial MarketsimfPrice LevelimfInflationimfDeflationimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfFinanceimfFinancial services law & regulationimfMonetary economicsimfCredit riskimfAsset valuationimfAsset pricesimfOptionsimfCreditimfFinancial risk managementimfAsset-liability managementimfPricesimfDerivative securitiesimfUnited StatesimfCreditManagementMathematical models.Risk management.Banks and BankingFinancial Risk ManagementInvestments: OptionsMacroeconomicsMoney and Monetary PolicyFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillInternational Financial MarketsPrice LevelInflationDeflationPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralFinanceFinancial services law & regulationMonetary economicsCredit riskAsset valuationAsset pricesOptionsCreditFinancial risk managementAsset-liability managementPricesDerivative securitiesGasha Jose1472648Santos Andre1464131Chan-Lau Jorge1462089Medeiros Carlos1472649Souto Marcos1472650Capuano Christian1472651International Monetary Fund.Monetary and Capital Markets Dept.DcWaIMFBOOK9910788330903321Recent Advances in Credit Risk Modeling3685514UNINA