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Pricing Portfolio Credit Products
2015Portfolio credit products have a long history in the financial markets, stretching back to the German (Prussian) Pfandbrief (Covered Bond) with its origins in the late 1700s’ reconstruction following the Seven Years War. There are many names for and structural features of portfolio credit instruments but they all share the common feature of having a ...
Roland Stamm +2 more
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Portfolio Optimization Under Credit Risk
Computational Statistics, 2003A financial market model is considered which describes the dynamics of the non-defaultable short rate (\(r\)), the defaultable short rate (\(s\)) and the uncertainty index (\(u\)). Stochastic differential equations by a standard Brownian motion are used to describe \((r(t),s(t),u(t))\).
Rudi Zagst, Bernd Schmid, Jan Kehrbaum
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SSRN Electronic Journal, 2006
A credit-card company must value portfolios of customers based on their future earnings. The payment characteristics of customers serve to classify them into states. This case can be the basis for discussing state dynamics over time in a Markov process.
William T. Scherer +2 more
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A credit-card company must value portfolios of customers based on their future earnings. The payment characteristics of customers serve to classify them into states. This case can be the basis for discussing state dynamics over time in a Markov process.
William T. Scherer +2 more
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The basics of portfolio credit risk
2005The credit risk models we have examined thus far in this book have all focused on single default events, or on the likelihood that a given firm will default on its financial obligations within a given period of time. We shall now shift gears, so to speak, and take a quick tour of approaches and techniques that are useful for modeling credit risk in a ...
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Portfolio diversification in the sovereign credit swap markets
Annals of Operations Research, 2016We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified away.
Consiglio, Andrea +5 more
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Appendix: Credit Portfolio Modeling
2013A credit portfolio model (CPM) is a credit VaR approach (CVaR). Credit portfolio models are mostly designed as multi-factor models.
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The Case for Credit Portfolio Management
2013The unprecedented dynamics of credit markets, as well as reinforced regulatory and shareholder pressure, have required banks to reassess their conventional methods of transacting business, often leaving them in protracted transition phase. With investors again in search of yield enhancements and portfolio managers in need of hedging and return on ...
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2004
One of the most significant innovations in the field of credit risk management over the past decade has been the development of increasingly sophisticated models to quantify the credit risk, and potential losses, embedded in portfolios of credit-sensitive transactions.
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One of the most significant innovations in the field of credit risk management over the past decade has been the development of increasingly sophisticated models to quantify the credit risk, and potential losses, embedded in portfolios of credit-sensitive transactions.
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Capital Allocation for Portfolio Credit Risk
SSRN Electronic Journal, 2006Capital allocation rules are derived that maximize leverage while maintaining a target solvency rate for credit portfolios where risk is driven by a single common factor and idiosyncratic risk is fully diversified. Equilibrium conditions ensure that capital allocations depend on interest earnings as well as credits' probability of default, endogenous ...
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Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula
International Journal of Information Technology and Decision Making, 2017Rongda Chen, Ze Wang, Lean Yu
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