Credit Risk Modeling

Name: Credit Risk Modeling
Brand: VDM Verlag Dr. Müller
SKU: 9783639132700
Price: 61.0 EUR
Availability: InStock

An Empirical Analysis on Pricing, Procyclicality and Dependence

Автор: Foued Ayari

Език:

Корици: С меки корици

Издател: VDM Verlag Dr. Müller

Наличност: Налично при издателя, по поръчка

Изпращаме след 17-27 дни

61.00 € 119.31 лв

Credit risk modeling has grown significantly over §the past few years; driven by explosive growth in...

Информация за книгата

Автор

Foued Ayari

Език

Английски език

Корици

Книга - С меки корици

Издадена

2009

страници

148

EAN

9783639132700

Enbook ID

06821988

Издател

VDM Verlag Dr. Müller

Теглоt

214

Размери

153 x 218 x 15

Пълно описание

Credit risk modeling has grown significantly over §the past few years; driven by explosive growth in §the credit derivatives market and more §quantitatively sophisticated bank capital §regulations under the upcoming Basel II Accord. §Credit risk modeling relies mainly on three §parameters,probability of default (PD),recovery rate §(RR)and correlation.This book intends first to §explain what is called the implied correlation §skew , and show that liquidity has some explanatory §power on correlation . The second section analyses §the relationship between credit default swap index §spread and stock market returns and the third §section provides a comprehensive analysis on the §cyclicality of default rates,recovery rates and §their dependence using financial data provided by §Bank Call Reports from 1991 to 2005 for all US §commercial banks with total assets greater than $300 §millions. It shows that indeed, default rates and §recovery rates are cyclical and inversely related. §These findings have important implications in credit §risk modeling for both the credit derivatives market §and the new Basel II capital requirement proposed §rule(LGD).

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Credit Risk Modeling

An Empirical Analysis on Pricing, Procyclicality and Dependence

Информация за книгата

Пълно описание

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