Rating based modeling of credit risk theory and application of migration matrices
In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capi...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
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London :
Academic
2009.
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| Edición: | 1st edition |
| Colección: | Academic Press advanced finance series.
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| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627754406719 |
Tabla de Contenidos:
- Front Cover; Rating Based Modeling of Credit Risk; Copyright Page; Table of Contents; Preface; Chapter 1. Introduction: Credit Risk Modeling, Ratings, and Migration Matrices; 1.1 Motivation; 1.2 Structural and Reduced Form Models; 1.3 Basel II, Scoring Techniques, and Internal Rating Systems; 1.4 Rating Based Modeling and the Pricing of Bonds; 1.5 Stability of Transition Matrices, Conditional Migrations, and Dependence; 1.6 Credit Derivative Pricing; 1.7 Chapter Outline; Chapter 2. Rating and Scoring Techniques; 2.1 Rating Agencies, Rating Processes, and Factors; 2.1.1 The Rating Process
- 2.1.2 Credit Rating Factors2.1.3 Types of Rating Systems; 2.2 Scoring Systems; 2.3 Discriminant Analysis; 2.4 Logit and Probit Models; 2.4.1 Logit Models; 2.4.2 Probit Models; 2.5 Model Evaluation: Methods and Difficulties; 2.5.1 Model Performance and Benchmarking; 2.5.2 Model Accuracy, Type I and II Errors; Chapter 3. The New Basel Capital Accord; 3.1 Overview; 3.1.1 The First Pillar-Minimum Capital Requirement; 3.1.2 The Second Pillar-Supervisory Review Process; 3.1.3 The Third Pillar-Market Discipline; 3.2 The Standardized Approach; 3.2.1 Risk Weights for Sovereigns and for Banks
- 3.2.2 Risk Weights for Corporates3.2.3 Maturity; 3.2.4 Credit Risk Mitigation; 3.3 The Internal Ratings Based Approach; 3.3.1 Key Elements and Risk Components; 3.3.2 Derivation of the Benchmark Risk Weight Function; 3.3.3 Asset Correlation; 3.3.4 The Maturity Adjustment; 3.3.5 Expected, Unexpected Losses and the Required Capital; 3.4 Summary; Chapter 4. Rating Based Modeling; 4.1 Introduction; 4.2 Reduced Form and Intensity Models; 4.2.1 The Model by Jarrow and Turnbull (1995); 4.2.2 The Model Suggested by Madan and ̈ Unal (1998); 4.2.3 The Model Suggested by Lando (1998)
- 4.2.4 The Model of Duffie and Singleton (1999)4.3 The CreditMetrics Model; 4.4 The CreditRisk+ Model; 4.4.1 The First Modeling Approach; 4.4.2 Modeling Severities; 4.4.3 Shortcomings of the First Modeling Approach; 4.4.4 Extensions in the CR+ Model; 4.4.5 Allocating Obligors to One of Several Factors; 4.4.6 The pgf for the Number of Defaults; 4.4.7 The pgf for the Default Loss Distribution; 4.4.8 Generalization of Obligor Allocation; 4.4.9 The Default Loss Distribution; Chapter 5. Migration Matrices and the Markov Chain Approach; 5.1 The Markov Chain Approach; 5.1.1 Generator Matrices
- 5.2 Discrete Versus Continuous-Time Modeling5.2.1 Some Conditions for the Existence of a Valid Generator; 5.3 Approximation of Generator Matrices; 5.3.1 The Method Proposed by Jarrow, Lando, and Turnbull (1997); 5.3.2 Methods Suggested by Israel, Rosenthal,and Wei (2000); 5.4 Simulating Credit Migrations; 5.4.1 Time-Discrete Case; 5.4.2 Time-Continuous Case; 5.4.3 Nonparametric Approach; Chapter 6. Stability of Credit Migrations; 6.1 Credit Migrations and the Business Cycle; 6.2 The Markov Assumptions and Rating Drifts; 6.2.1 Likelihood Ratio Tests; 6.2.2 Rating Drift
- 6.2.3 An Empirical Study
