搜索结果: 1-15 共查到“Credit Risk”相关记录25条 . 查询时间(0.084 秒)
Fuzzy-Neuro Model for Intelligent Credit Risk Management
Fuzzy Logic Neural Networks Fuzzy-Neuro Model Credit Risk Management
2013/1/28
This paper presents hybrid fuzzy logic and neural network algorithm to solve credit risk management problem. Credit risk is the risk of loss due to a debtor’s non-payment of a loan or other line of cr...
Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
Binomial Tree Model Bond Pricing Credit Risk
2012/9/14
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework kno...
CREDIT RISK AND INCOMPLETE INFORMATION:: FILTERING AND EM PARAMETER ESTIMATION
contagion Default risk EM algorithm extended Kalman filter factor models partial information
2011/9/2
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven def...
Fair Value Accounting for Liabilities and Own Credit Risk
credit risk debt fair value accounting income recognition
2011/9/2
We find that equity returns associated with credit risk changes are attenuated by the debt value effect of the credit risk changes, as Merton (1974) predicts. We find that the relation between credit ...
Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
credit risk expected shortfall extremal dependence geometric shortcut
2011/8/30
We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Instead of the commonly used no...
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
credit derivative Credit risk default probability first passage time
2011/8/22
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatil...
We consider a structural model for the estimation of credit risk based on Merton's original model. By using Random-Matrix theory we demonstrate analytically that the presence of correlations severely ...
Dependence of defaults and recoveries in structural credit risk models
Credit risk Loss distribution Value at Risk Expected Tail Loss Stochastic
2011/3/23
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are ...
Statistical Inference for Time-changed Brownian Motion Credit Risk Models
Credit risk structural model rst passage problem Levy process fast Fourier transform credit default spread maximum likelihood estimation
2011/3/23
We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent i...
The real estate credit risk based on the value model with jump and stochastic interests
Asset model with jump Volatility Default probability
2010/9/21
This paper is to assess the real estate credit risk with the help of the value model with jump and stochastic interests. Using the value obeying a stochastic jump-diffusion process, applying the Ito t...
Logistic robust method to new generalized geometric credit risk approach
Financial ratios Risk box, Bankruptcy
2010/9/20
This paper presents a complementary technique for empirical analysis of financial ratios and bankruptcy risk. Within this new framework, we propose the use of a new measure of risk, the Generalized Ri...
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
Failing system Urn model Neutral to the right processes
2010/10/19
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example be...
Precautionary Measures for Credit Risk Management in Jump Models
Credit risk management Double exponential jump diffusion Spectrally negative L´ evy processes
2010/10/19
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of...
Credit Risk, Market Sentiment and Randomly-Timed Default
Credit Risk Market Sentiment Randomly-Timed Default
2010/10/20
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed t...
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...