Rating Based Modeling of Credit Risk : Theory and Application of Migration Matrices
Stefan. Trueck
Bok Engelsk 2009 · Electronic books.
| Annen tittel | |
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| Utgitt | Burlington : : Elsevier Science, , 2009.
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| Omfang | 1 online resource (279 p.)
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| Opplysninger | Description based upon print version of record.. - 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. - 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 capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different und
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| Sjanger | |
| Dewey | |
| ISBN | 9780123736833
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