Gasha, Jose Giancarlo.
Recent Advances in Credit Risk Modeling. - 1 online resource (33 pages) - IMF Working Papers . - IMF Working Papers .
Intro -- 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.
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.
9781451917376
Credit -- Management -- Mathematical models.
Risk management.
Electronic books.
HG3751 -- .C378 2009eb
338.542
Recent Advances in Credit Risk Modeling. - 1 online resource (33 pages) - IMF Working Papers . - IMF Working Papers .
Intro -- 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.
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.
9781451917376
Credit -- Management -- Mathematical models.
Risk management.
Electronic books.
HG3751 -- .C378 2009eb
338.542