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Journal of Credit Risk最新文献

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Double-exponential jump-diffusion processes: a structural model of an endogenous default barrier with a rollover debt structure 双指数跳跃-扩散过程:具有滚转债务结构的内生违约障碍的结构模型
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2012-06-01 DOI: 10.21314/JCR.2012.140
B. Dao, M. Jeanblanc
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引用次数: 11
Modeling exposure at default and loss given default: empirical approaches and technical implementation 默认情况下的风险敞口和默认情况下的损失建模:经验方法和技术实现
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2012-06-01 DOI: 10.21314/JCR.2012.139
Bill Huajian Yang, M. Tkachenko
{"title":"Modeling exposure at default and loss given default: empirical approaches and technical implementation","authors":"Bill Huajian Yang, M. Tkachenko","doi":"10.21314/JCR.2012.139","DOIUrl":"https://doi.org/10.21314/JCR.2012.139","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"27 1","pages":"81-102"},"PeriodicalIF":0.3,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77970429","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 30
The Impact of Counterparty Risk on Credit Default Swap Pricing Dynamics 交易对手风险对信用违约互换定价动态的影响
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2012-03-28 DOI: 10.21314/JCR.2012.136
Stefan Morkoetter, Johanna Pleus, Simone Westerfeld
{"title":"The Impact of Counterparty Risk on Credit Default Swap Pricing Dynamics","authors":"Stefan Morkoetter, Johanna Pleus, Simone Westerfeld","doi":"10.21314/JCR.2012.136","DOIUrl":"https://doi.org/10.21314/JCR.2012.136","url":null,"abstract":"As observed throughout the financial crisis in 2008 CDS contracts are not only exposed to the credit risk of the underlying reference entity but also to the counterparty risk of the protection seller. Conducting a panel regression analysis based on CDS contracts from 2004 to 2009 in Europe and North America for 198 reference entities we find that market-oriented counterparty risk measures are reflected in the pricing of CDS contracts. The impact of counterparty risk is decreasing with a higher creditworthiness of the underlying reference entity. We show that counterparty risk has been incorporated in the CDS spreads for North American reference entities already prior to the financial crisis, whereas for European reference entities the pricing impact only intensified with the outbreak of the financial crisis in September 2008. Market-based counterparty risk measures have a higher impact on the pricing of CDS contracts as compared to measures relying on the correlation structures of asset returns of reference entities and CDS counterparties.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"44 1","pages":"63-88"},"PeriodicalIF":0.3,"publicationDate":"2012-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76194364","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
New risk analysis tools with accounting changes: adjusted Z-score 新的风险分析工具与会计变化:调整z分数
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2012-03-01 DOI: 10.21314/JCR.2012.137
Seong-Yeon Cho, Liang Fu, Y. Yu
{"title":"New risk analysis tools with accounting changes: adjusted Z-score","authors":"Seong-Yeon Cho, Liang Fu, Y. Yu","doi":"10.21314/JCR.2012.137","DOIUrl":"https://doi.org/10.21314/JCR.2012.137","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"14 1","pages":"89-108"},"PeriodicalIF":0.3,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85013396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Pricing corporate loans under the risk-neutral measure 以风险中性标准为企业贷款定价
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2012-03-01 DOI: 10.21314/JCR.2012.148
T. Benzschawel, J. DaGraca, Cheng-Yen Lee
{"title":"Pricing corporate loans under the risk-neutral measure","authors":"T. Benzschawel, J. DaGraca, Cheng-Yen Lee","doi":"10.21314/JCR.2012.148","DOIUrl":"https://doi.org/10.21314/JCR.2012.148","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"134 1","pages":"29-62"},"PeriodicalIF":0.3,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78441067","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Credit loss and systematic loss given default 违约造成的信用损失和系统性损失
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2012-03-01 DOI: 10.21314/JCR.2012.138
Jon Frye, Michael Jacobs
{"title":"Credit loss and systematic loss given default","authors":"Jon Frye, Michael Jacobs","doi":"10.21314/JCR.2012.138","DOIUrl":"https://doi.org/10.21314/JCR.2012.138","url":null,"abstract":"Credit loss varies from period to period, both because the default rate varies and because the loss given default (LGD) rate varies. The default rate has been tied to a firm’s probability of default (PD) and to factors that cause default. The LGD rate has proved more difficult to model because continuous LGD is more subtle than binary default and because LGD data is scarcer and lower in quality. Studies show that the two rates vary together systematically (see Altman and Karlin (2010) and Frye (2000)). Systematic variation works against the lender, who finds that an increase in the number of defaults coincides with an increase in the fraction “percentage”? that is lost in a default. Lenders should therefore anticipate systematic LGD within their credit portfolio loss models, which are required to account for all material risks. This paper presents a model of systematic LGD that is simple and effective. It is simple in that it uses only parameters that are already part of standard models. It is effective in that it survives statistical testing against more complicated models. It may, therefore, serve for comparison in tests of other models of credit risk as well as for the","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"21 1","pages":"109-140"},"PeriodicalIF":0.3,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80081190","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
Approximating default probabilities with soft information 用软信息逼近违约概率
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2012-03-01 DOI: 10.21314/JCR.2012.135
Dror Parnes
{"title":"Approximating default probabilities with soft information","authors":"Dror Parnes","doi":"10.21314/JCR.2012.135","DOIUrl":"https://doi.org/10.21314/JCR.2012.135","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"18 1","pages":"3-28"},"PeriodicalIF":0.3,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73660959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Modelling sector correlations with CreditRisk+: The common background vector model 用CreditRisk+建模行业相关性:通用背景向量模型
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2011-12-01 DOI: 10.21314/JCR.2011.134
M. Fischer, C. Dietz
{"title":"Modelling sector correlations with CreditRisk+: The common background vector model","authors":"M. Fischer, C. Dietz","doi":"10.21314/JCR.2011.134","DOIUrl":"https://doi.org/10.21314/JCR.2011.134","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"2 1","pages":"23-43"},"PeriodicalIF":0.3,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76307058","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Market pricing of credit-linked notes: the case of retail structured products in Germany 信贷联系票据的市场定价:以德国零售结构性产品为例
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2011-12-01 DOI: 10.21314/JCR.2011.149
A. Rathgeber, Yun Wang
{"title":"Market pricing of credit-linked notes: the case of retail structured products in Germany","authors":"A. Rathgeber, Yun Wang","doi":"10.21314/JCR.2011.149","DOIUrl":"https://doi.org/10.21314/JCR.2011.149","url":null,"abstract":"The volume of the primary market of certificates for retail investors has increased enormously in the past ten years, and German banks have recently started issuing credit-linked notes (CLNs). As with other types of certificates, the question can be raised as to whether coupon payments for these instruments are fair and adequate compared with the related risk and, if not, what the reasons for this mispricing are. In this paper we analyze the pricing of 136 outstanding CLNs and discover that CLNs are generally greatly overpriced in the primary market. Furthermore, we find strong evidence for an essential hypothesis that is still debated in the literature: the more complex the product and the less transparent the market, the more overpricing there tends to be.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"28 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72929973","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Credit default model for a dynamically changing economy 动态变化经济的信用违约模型
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2011-12-01 DOI: 10.21314/JCR.2011.132
Patrik Andersson
{"title":"Credit default model for a dynamically changing economy","authors":"Patrik Andersson","doi":"10.21314/JCR.2011.132","DOIUrl":"https://doi.org/10.21314/JCR.2011.132","url":null,"abstract":"This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. In Paper II we propose a model describing an economy where companies may default due to contagion. The features of the model are analyzed using diffusion approximations. We show that the model can reproduce oscillations in the default rates similar to what has been observed empirically. In Paper III we consider the problem of finding an optimal betting strategy for a house-banked casino card game that is played for several coups before reshuffling. A limit result for the return process is found and the optimal card counting strategy is derived. This continuous time strategy is shown to be a natural generalization of the discrete time strategy where the so called effects of removals are replaced by the infinitesimal generator of the card process. In Paper IV we study interest rate models where the term structure is given by an affine relation and in particular where the driving stochastic processes are so-called generalised Ornstein-Uhlenbeck processes. We show that the return and variance of a portfolio of bonds which are continuously rolled over, also called rolling horizon bonds, can be expressed using the cumulant generating functions of the background driving Levy processes associated with the OU processes. We also show that if the short rate, in a risk-neutral setting, is given by a linear combination of generalised OU processes, the implied term structure can be expressed in terms of the cumulant generating functions.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"7 1","pages":"3-22"},"PeriodicalIF":0.3,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77818948","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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