Author: Xiaopeng Zhang
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 442
Book Description
Three Essays on Credit Risk Modeling
Author: Xiaopeng Zhang
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 442
Book Description
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 442
Book Description
Three Essays on Structural Credit Risk Modelling
Three Essays on Credit Risk [microform]
Author: Peter Chi Pang Miu
Publisher: National Library of Canada = Bibliothèque nationale du Canada
ISBN: 9780612784031
Category :
Languages : en
Pages : 266
Book Description
Publisher: National Library of Canada = Bibliothèque nationale du Canada
ISBN: 9780612784031
Category :
Languages : en
Pages : 266
Book Description
Three Essays in the Theory of Credit Risk
Three Essays in Credit Risk
Author: Leandro Saita
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 137
Book Description
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 137
Book Description
Three Essays on Credit Risk, Fixed Income and Derivatives
Author: Redouane Elkamhi
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 179
Book Description
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 179
Book Description
Three Essays on Credit Risk
Three Essays on Credit Risk Management
Author: Yingying Shao
Publisher:
ISBN:
Category : Bank management
Languages : en
Pages : 188
Book Description
Publisher:
ISBN:
Category : Bank management
Languages : en
Pages : 188
Book Description
Three Essays in Credit Risk
Author: Mirela Raluca Predescu Vasvari
Publisher:
ISBN: 9780494219478
Category : Dissertations, Academic
Languages : en
Pages : 234
Book Description
This thesis consists of three essays in credit risk. The first essay examines the relationship between credit default swap (CDS) spreads and bond yields as well as the relationship between CDS spreads and credit rating announcements. We test the no-arbitrage theoretical relationship between CDS spreads and bond yields and reach conclusions on the benchmark risk-free rate used by participants in the credit derivatives market. We then carry out a series of tests to explore the extent to which credit rating announcements by Moody's are anticipated by participants in the credit default swap market. The third essay extends the 1976 Black and Cox structural model in order to value correlation-dependent credit derivatives. The proposed model assumes that the correlations between the assets of the obligors are determined by one or more common factors. We first implement a base case model where the asset correlations and recovery rates are constant. We compare our model with the widely used Gaussian copula model of survival time and test how well our model fits market prices of CDO tranches. We then consider two extensions of the base case model. One reflects empirical research showing that default correlations are positively dependent on default rates. The other reflects empirical research showing that recovery rates are negatively dependent on default rates. The second essay investigates the performance of structural models of credit risk along two dimensions. First, I analyze the models' ability to explain CDS spreads. I find that the pricing accuracy of structural models depends heavily on the market information set used in the estimation. Incorporating past time series of CDS spreads in addition to equity and balance sheet information improves the out-of-sample model pricing performance by 50%. Second, I investigate the incremental value of structural models above and beyond CDS spreads in predicting credit ratings migrations. I find evidence that three-month changes in the Distance to Default (DD) have incremental value for anticipating rating downgrades over and above changes in CDS spreads. However, this is not the case for one-month changes in DD.
Publisher:
ISBN: 9780494219478
Category : Dissertations, Academic
Languages : en
Pages : 234
Book Description
This thesis consists of three essays in credit risk. The first essay examines the relationship between credit default swap (CDS) spreads and bond yields as well as the relationship between CDS spreads and credit rating announcements. We test the no-arbitrage theoretical relationship between CDS spreads and bond yields and reach conclusions on the benchmark risk-free rate used by participants in the credit derivatives market. We then carry out a series of tests to explore the extent to which credit rating announcements by Moody's are anticipated by participants in the credit default swap market. The third essay extends the 1976 Black and Cox structural model in order to value correlation-dependent credit derivatives. The proposed model assumes that the correlations between the assets of the obligors are determined by one or more common factors. We first implement a base case model where the asset correlations and recovery rates are constant. We compare our model with the widely used Gaussian copula model of survival time and test how well our model fits market prices of CDO tranches. We then consider two extensions of the base case model. One reflects empirical research showing that default correlations are positively dependent on default rates. The other reflects empirical research showing that recovery rates are negatively dependent on default rates. The second essay investigates the performance of structural models of credit risk along two dimensions. First, I analyze the models' ability to explain CDS spreads. I find that the pricing accuracy of structural models depends heavily on the market information set used in the estimation. Incorporating past time series of CDS spreads in addition to equity and balance sheet information improves the out-of-sample model pricing performance by 50%. Second, I investigate the incremental value of structural models above and beyond CDS spreads in predicting credit ratings migrations. I find evidence that three-month changes in the Distance to Default (DD) have incremental value for anticipating rating downgrades over and above changes in CDS spreads. However, this is not the case for one-month changes in DD.