Recent advances in credit risk modeling / / prepared by Christian Capuano ... [et al.]

• Autore: Capuano Christian <1975->
• Pubblicazione: Washington, D.C., : International Monetary Fund, c2009
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (33 p.)
• Disciplina: 338.542
• Soggetto topico: Credit - Management - Mathematical models; Risk management
• Altri autori: CapuanoChristian <1975->
• Note generali: "August 2009."
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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 Approaches ; B. 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
• Sommario/riassunto: As 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.
• Titolo autorizzato: Recent advances in credit risk modeling
• ISBN: 1-4623-7897-8; 1-4527-8235-0; 1-4518-7309-3; 9786612843754; 1-282-84375-3
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910828972603321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/09/162.