03453nam 2200637Ia 450 991082897260332120200520144314.01-4623-7897-81-4527-8235-01-4518-7309-397866128437541-282-84375-3(CKB)3170000000055309(EBL)1608374(SSID)ssj0000943038(PQKBManifestationID)11492232(PQKBTitleCode)TC0000943038(PQKBWorkID)10974968(PQKB)11608716(OCoLC)712987905(IMF)WPIEE2009162(MiAaPQ)EBC1608374(EXLCZ)99317000000005530920101016d2009 uf 0engurcn|||||||||txtccrRecent advances in credit risk modeling /prepared by Christian Capuano ... [et al.]1st ed.Washington, D.C. International Monetary Fundc20091 online resource (33 p.)IMF working paper ;WP/09/162"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 paper ;WP/09/162.CreditManagementMathematical modelsRisk managementCreditManagementMathematical models.Risk management.338.542Capuano Christian1975-1756678Capuano Christian1975-1756678International Monetary Fund.Monetary and Capital Markets Dept.MiAaPQMiAaPQMiAaPQBOOK9910828972603321Recent advances in credit risk modeling4194111UNINA