Measuring Corporate Default Risk - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Measuring Corporate Default Risk write by Darrell Duffie. This book was released on 2011-06-23. Measuring Corporate Default Risk available in PDF, EPUB and Kindle. This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations over roughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where possible, the content based on methodology has been separated from the substantive empirical findings, in order to provide access to the latter for those less focused on the mathematical foundations. A key finding is that corporate defaults are more clustered in time than would be suggested by their exposure to observable common or correlated risk factors. The methodology allows for hidden sources of default correlation, which are particularly important to include when estimating the likelihood that a portfolio of corporate loans will suffer large default losses. The data also reveal that a substantial amount of power for predicting the default of a corporation can be obtained from the firm's "distance to default," a volatility-adjusted measure of leverage that is the basis of the theoretical models of corporate debt pricing of Black, Scholes, and Merton. The findings are particularly relevant in the aftermath of the financial crisis, which revealed a lack of attention to the proper modelling of correlation of default risk across firms.
Measuring Corporate Default Risk
Measuring Corporate Default Risk - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Measuring Corporate Default Risk write by Darrell Duffie. This book was released on 2011-06-23. Measuring Corporate Default Risk available in PDF, EPUB and Kindle. public corporations since 1980.
Measuring Correlated Default Risk
Measuring Correlated Default Risk - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Measuring Correlated Default Risk write by Siamak Javadi. This book was released on 2017. Measuring Correlated Default Risk available in PDF, EPUB and Kindle. Extracting information from daily CDS spreads, we propose a measure of correlated default risk, which we show is a meaningful predictor of bankruptcy clusters. Focusing on U.S. corporate bonds, we also find that our measure of correlated default risk is more pronounced and commands a higher premium during periods of financial distress and for speculative issues. For instance, we find that after controlling for other known determinants of bond pricing, a 0.5 increase in aggregate correlated default risk is associated with a 13-bps increase in credit spreads, and elevates to a 22-bps premium for speculative issues and to a 17-bps premium during periods of financial distress. Overall, our paper provides compelling evidence as to the efficacy of our measure in capturing correlations in the likelihood of default over time, and has important implications for future work in asset allocation and fixed-income pricing.
Managing Portfolio Credit Risk in Banks: An Indian Perspective
Managing Portfolio Credit Risk in Banks: An Indian Perspective - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Managing Portfolio Credit Risk in Banks: An Indian Perspective write by Arindam Bandyopadhyay. This book was released on 2016-05-09. Managing Portfolio Credit Risk in Banks: An Indian Perspective available in PDF, EPUB and Kindle. This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Currency Mismatches and Corporate Default Risk
Currency Mismatches and Corporate Default Risk - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Currency Mismatches and Corporate Default Risk write by Andre Santos. This book was released on 2006-12. Currency Mismatches and Corporate Default Risk available in PDF, EPUB and Kindle. Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed models can be adapted to different exchange rate regimes, are analytically tractable, and can be estimated using available equity price and balance sheet data. The paper provides a detailed explanation on how to calibrate the models and discusses two applications to financial surveillance: the measurement of systematic risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector.
