06287oam 22015014 450 991097077500332120250426110504.0978661284375497814623789751462378978978145278235514527823509781451873092145187309397812828437521282843753(CKB)3170000000055309(EBL)1608374(SSID)ssj0000943038(PQKBManifestationID)11492232(PQKBTitleCode)TC0000943038(PQKBWorkID)10974968(PQKB)11608716(OCoLC)712987905(IMF)WPIEE2009162(MiAaPQ)EBC1608374(IMF)WPIEA2009162WPIEA2009162(EXLCZ)99317000000005530920020129d2009 uf 0engurcn|||||||||txtccrRecent Advances in Credit Risk Modeling /Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian Capuano1st ed.Washington, D.C. :International Monetary Fund,2009.1 online resource (33 p.)IMF Working Papers"August 2009."9781451917376 1451917376 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 managementAsset pricesimfAsset valuationimfAsset-liability managementimfBanks and BankingimfCapital and Ownership StructureimfCredit riskimfCreditimfDeflationimfDerivative securitiesimfFinanceimfFinancial InstrumentsimfFinancial Risk and Risk ManagementimfFinancial Risk ManagementimfFinancial risk managementimfFinancial services law & regulationimfFinancing PolicyimfGoodwillimfInflationimfInstitutional InvestorsimfInternational Financial MarketsimfInvestments: OptionsimfMacroeconomicsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfNon-bank Financial InstitutionsimfOptionsimfPension FundsimfPrice LevelimfPricesimfValue of FirmsimfUnited StatesimfCreditManagementMathematical models.Risk management.Asset pricesAsset valuationAsset-liability managementBanks and BankingCapital and Ownership StructureCredit riskCreditDeflationDerivative securitiesFinanceFinancial InstrumentsFinancial Risk and Risk ManagementFinancial Risk ManagementFinancial risk managementFinancial services law & regulationFinancing PolicyGoodwillInflationInstitutional InvestorsInternational Financial MarketsInvestments: OptionsMacroeconomicsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyNon-bank Financial InstitutionsOptionsPension FundsPrice LevelPricesValue of Firms338.542Gasha Jose1816423Capuano Christian1816424Chan-Lau Jorge1815656Medeiros Carlos1816425Santos Andre1816005Souto Marcos1815678International Monetary Fund.Monetary and Capital Markets Dept.DcWaIMFBOOK9910970775003321Recent Advances in Credit Risk Modeling4372485UNINA