Recent Advances in Credit Risk Modeling.
Title:
Recent Advances in Credit Risk Modeling.
Author:
Gasha, Jose Giancarlo.
ISBN:
9781451917376
Personal Author:
Physical Description:
1 online resource (33 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. Structural Models -- A. Single-Issuer Default Risk -- B. Distance-to-Default: Variations on a Theme -- C. Portfolio Credit Risk Models -- III. Reduced-Form Models -- A. Structural and Reduced-Form Models: Reconciliation Attempts -- B. Some Models -- C. Nonlinear Filtering -- 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 -- Figure -- 1. Dah-Sing Bank: Distance-to-Default -- Boxes -- 1. Compensators and Pricing Trends: Some Definitions-Elizalde (2006) -- 2. The Modeling Strategy of Frey, Schmidt, Gabih (2007) -- Appendix -- Filtration and the Pricing of Credit Index Options -- References.
Abstract:
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.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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