LEADER 06293oam 22015014 450 001 9910970775003321 005 20251116163657.0 010 $a9786612843754 010 $a9781462378975 010 $a1462378978 010 $a9781452782355 010 $a1452782350 010 $a9781451873092 010 $a1451873093 010 $a9781282843752 010 $a1282843753 035 $a(CKB)3170000000055309 035 $a(EBL)1608374 035 $a(SSID)ssj0000943038 035 $a(PQKBManifestationID)11492232 035 $a(PQKBTitleCode)TC0000943038 035 $a(PQKBWorkID)10974968 035 $a(PQKB)11608716 035 $a(OCoLC)712987905 035 $a(IMF)WPIEE2009162 035 $a(MiAaPQ)EBC1608374 035 $a(IMF)WPIEA2009162 035 $aWPIEA2009162 035 $a(EXLCZ)993170000000055309 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aRecent Advances in Credit Risk Modeling /$fJose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian Capuano 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (33 p.) 225 1 $aIMF Working Papers 300 $a"August 2009." 311 08$a9781451917376 311 08$a1451917376 320 $aIncludes bibliographical references. 327 $aContents; 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 Approaches 327 $aB. Pricing of Credit Index Options C. Distressed Debt Prices and Recovery Rate Estimation; V. Conclusions; Appendix; Filtration and the Pricing of Credit Index Options; References 330 3 $aAs is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models. It also discusses the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of the prices of distressed debt and estimation of recovery values. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/162 606 $aCredit$xManagement$xMathematical models 606 $aRisk management 606 $aAsset prices$2imf 606 $aAsset valuation$2imf 606 $aAsset-liability management$2imf 606 $aBanks and Banking$2imf 606 $aCapital and Ownership Structure$2imf 606 $aCredit risk$2imf 606 $aCredit$2imf 606 $aDeflation$2imf 606 $aDerivative securities$2imf 606 $aFinance$2imf 606 $aFinancial Instruments$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aFinancial Risk Management$2imf 606 $aFinancial risk management$2imf 606 $aFinancial services law & regulation$2imf 606 $aFinancing Policy$2imf 606 $aGoodwill$2imf 606 $aInflation$2imf 606 $aInstitutional Investors$2imf 606 $aInternational Financial Markets$2imf 606 $aInvestments: Options$2imf 606 $aMacroeconomics$2imf 606 $aMonetary economics$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aMoney and Monetary Policy$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aOptions$2imf 606 $aPension Funds$2imf 606 $aPrice Level$2imf 606 $aPrices$2imf 606 $aValue of Firms$2imf 607 $aUnited States$2imf 615 0$aCredit$xManagement$xMathematical models. 615 0$aRisk management. 615 7$aAsset prices 615 7$aAsset valuation 615 7$aAsset-liability management 615 7$aBanks and Banking 615 7$aCapital and Ownership Structure 615 7$aCredit risk 615 7$aCredit 615 7$aDeflation 615 7$aDerivative securities 615 7$aFinance 615 7$aFinancial Instruments 615 7$aFinancial Risk and Risk Management 615 7$aFinancial Risk Management 615 7$aFinancial risk management 615 7$aFinancial services law & regulation 615 7$aFinancing Policy 615 7$aGoodwill 615 7$aInflation 615 7$aInstitutional Investors 615 7$aInternational Financial Markets 615 7$aInvestments: Options 615 7$aMacroeconomics 615 7$aMonetary economics 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aMoney and Monetary Policy 615 7$aNon-bank Financial Institutions 615 7$aOptions 615 7$aPension Funds 615 7$aPrice Level 615 7$aPrices 615 7$aValue of Firms 676 $a338.542 700 $aGasha$b Jose$01816423 701 $aCapuano$b Christian$01816424 701 $aChan-Lau$b Jorge$01815656 701 $aMedeiros$b Carlos$01816425 701 $aSantos$b Andre$01816005 701 $aSouto$b Marcos$01815678 712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Department. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910970775003321 996 $aRecent Advances in Credit Risk Modeling$94372485 997 $aUNINA