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Credit Risk Management and Credit Derivatives [PDF]
, 2014 Credit risk management is an important issue in banking. In this chapter we give an overview of the models for calculating the default risk exposure of a credit portfolio. The primary goal of these models is to help credit analysts define whether a loan should be issued, which risk premia is appropriate and how much capital should be directed to the ...
Jürgen Franke +2 more
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Credit, Credit Derivatives, and Credit Default
2011After some empirics we want to build up some theory. This will be done in this and the next chapter. As shown in ch. 19, one of the accelerating and magnifying forces in the recent financially driven boom-bust cycle seems to have come from credit and credit derivatives. Before going into the securitization of debt instruments, which played an important
Willi Semmler, Willi Semmler
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, 2016
We find that banks with capital and liquidity constraints are more likely to use credit risk transfer (CRT) instruments, including the credit derivative and the secondary loan markets.
M. Beyhaghi, Nadia Massoud, A. Saunders
semanticscholar +1 more source
We find that banks with capital and liquidity constraints are more likely to use credit risk transfer (CRT) instruments, including the credit derivative and the secondary loan markets.
M. Beyhaghi, Nadia Massoud, A. Saunders
semanticscholar +1 more source
2005
In this chapter, we discuss some basic concepts regarding credit derivatives. We start with a simple definition of what is a credit derivative and then introduce the main types of credit derivatives. Some key valuation principles are also highlighted.
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In this chapter, we discuss some basic concepts regarding credit derivatives. We start with a simple definition of what is a credit derivative and then introduce the main types of credit derivatives. Some key valuation principles are also highlighted.
openaire +4 more sources
Options, futures, and other derivative securities
, 19891. Introduction. 2. Futures Markets. 3. Forward and Futures Prices. 4. Interest Rate Futures. 5. Swaps. 6. Options Markets. 7. Properties of Stock Option Prices. 8. Trading Strategies Involving Options. 9. A Model of the Behavior of Stock Prices. 10. The
J. Hull
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2003
Publisher Summary Credit derivatives allow investors to manage the credit risk exposure of their portfolios or asset holdings, essentially by offering insurance against deterioration in credit quality of the borrowing entity. Credit risk is the risk that a borrowing entity will default on a loan, either through inability to maintain the interest ...
Moorad Choudhry, Brian A. Eales
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Publisher Summary Credit derivatives allow investors to manage the credit risk exposure of their portfolios or asset holdings, essentially by offering insurance against deterioration in credit quality of the borrowing entity. Credit risk is the risk that a borrowing entity will default on a loan, either through inability to maintain the interest ...
Moorad Choudhry, Brian A. Eales
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Bank Risk, Financial Stress, and Bank Derivative Use
, 2017This paper distinguishes hedging from speculative derivative usage by U.S. bank holding companies (BHCs). This is accomplished by implementing a multi†step procedure that relates the implied volatility from options on these banks, the broad components ...
Barbara A. Bliss +2 more
semanticscholar +1 more source
, 2014
The introduction of Central Clearing Counterparties (CCPs) in most derivative transactions will dramatically change the landscape of derivatives pricing, hedging and risk management, and, according to the TABB Group, will lead to an overall liquidity ...
D. Brigo, A. Pallavicini
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The introduction of Central Clearing Counterparties (CCPs) in most derivative transactions will dramatically change the landscape of derivatives pricing, hedging and risk management, and, according to the TABB Group, will lead to an overall liquidity ...
D. Brigo, A. Pallavicini
semanticscholar +1 more source
Credit risk and credit derivatives in banking [PDF]
, 2002 Wir verwenden den industrieökonomischen Ansatz der Theorie der Bank und untersuchen eine Bank mit Marktmacht im Einlagen- und Kreditmarkt bei Kreditrisiko. Ziel der Untersuchung sind Aussagen darüber, wie das Kreditrisiko optimales Verhalten im Einlagen- und Kreditmarkt beeinflusst, wenn Kreditderivate verfügbar sind.
Udo Broll, Thilo Pausch, Peter Welzel
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Credit Derivatives in an Affine Framework [PDF]
Asia-Pacific Financial Markets, 2007 An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three firms. As an application we provide closed form expressions for the joint distribution of default times, default ...
Li Chen, Damir Filipovic
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