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.
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. 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 and Managing Credit Risk
Measuring and Managing Credit 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 and Managing Credit Risk write by Arnaud de Servigny. This book was released on 2004-05-05. Measuring and Managing Credit Risk available in PDF, EPUB and Kindle. Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm’s credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including: Determinants of credit risk and pricing/spread implications Quantitative models for moving beyond Altman’s Z score to separate “good” borrowers from “bad” Key determinants of loss given default, and potential links between recovery rates and probabilities of default Measures of dependency including linear correlation, and the impact of correlation on portfolio losses A detailed review of five of today’s most popular portfolio models—CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager How credit risk is reflected in the prices and yields of individual securities How derivatives and securitization instruments can be used to transfer and repackage credit risk Today’s credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible—and mitigate it when necessary.
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.
