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Klacar, Dorde. "Estimating Expected Exposure for the Credit Value Adjustment risk measure." Thesis, Umeå universitet, Nationalekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73104.
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GLANS, GUSTAV, and JESPER ROSENBERG. "Improving Measurement of SectorConcentration Risk in Credit Portfolios : Evaluation of sector classification and approaches to concentration measure characteristics." Thesis, KTH, Entreprenörskap och Innovation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-189498.
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På en teknisk nivå utgör beräkningen av sektorkoncentrationsrisk ett särskilt utmanande problem. I befintlig teori är riktlinjer till såväl hur industrisektorer ska indelas som risknivån beräknas begränsade. Syftet med studien är att utvärdera och analysera olika tillvägagångssätt till sektorkoncentrationsrisk i kreditportföljer. Detta har utförts i två separata delar där både indelningen i sektorer och riskberäkningen behandlats. Sektorindelningen har utvärderats genom att jämföra korrelationsstrukturen mellan två speciellt intressanta indelningsmetodiker; enligt Morgan Stanely Capital Investment (MSCI) och den av Finansinspektionen föreslagna sektorindelningen (SFSA). Riskberäkningen har utvärderats genom att applicera en rad olika koncentrationsmått på portföljer av varierande koncentrationsgrad. Resultaten visar att en minimering av inter-sektoriella korrelationer samt en maximering av intra-sektoriella korrelation är av stor vikt då sektorer indelas. Med andra ord, för att koncentrationen ska generera en faktisk risk krävs det att sektorerna är tydligt särskilda samt internt homogena. Utöver detta ska individuella exponeringar tydligt kunna placeras inom en sektor och de behandlade sektorerna ska inte vara av diversifierad natur. Resultaten tyder vidare på att MSCI presterar bättre för att hantera sektorkoncentrationsrisk på alla dessa punkter. När det kommer till riskberäkningen, visar resultaten att förutom ördelningen av exponeringar är även sektorspecifika kreditkvaliteter samt korrelationsstrukturer av vikt för att bestämma risknivån. Risken från koncentration är större om risknivån är hög eller om exponeringen är mot korrelerade sektorer. Men framförallt tyder resultaten på att en uniformt fördelat portfölj inte är att se som okoncentrerad. För att ta hänsyn till naturliga koncentrationer är det därför av yttersta vikt att koncentration istället ses i förhållande till den aggregerade kreditmarknaden.On a technical level, the measurement of sector concentration risk poses a particularlychallenging problem. Existing literature lacks direct suggestions both regarding how sectors are to be divided and the risk-level measured. The purpose of the study is to evaluate and analyse different measures of - and approaches to sector concentration risk in credit portfolios. This has been addressed both by analysing sectorial division and which aspects that are of interest for determining the concentration imposed risk- level. The sectorial division has been addressed by comparing the correlation structures of two especially interesting sector classification methods; the standardised Morgan Stanley Capital Investment industry classification (MSCI) and the proposed sector classification of the Swedish Financial Supervisory Authority (SFSA). The sector concentration risk measurement has been analysed through employing different risk-measures on portfolios with varying concentration levels. The results show that in order to capture the risk-level from concentration, the main approach for sectorial division should seek to minimise inter-sector correlations and maximise intra-sector correlations. I.e. sectors should be distinct from each other and internally homogeneous. Moreover, an unambiguous sorting of individual exposures towards one sector should be possible and the considered sectors should not be of a diversified nature. It is also found that MSCI outperforms SFSA for assessing sector concentration risk on all fronts. When it comes to the risk measure, it is found that apart from exposure distribution; credit qualities and correlation structures are of great interest. The risk induced from a concentrated exposure is greater if credit qualities are low or if the exposure is high towards highly correlated sectors. But above all, the results imply that a uniform distribution is not to be seen as unconcentrated. In order for concentration measurement to incorporate natural concentrations it is thereby greatly important that concentration instead is considered as relative towards the aggregate credit market.
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ANSELMI, GIULIO. "ESSAYS ON OPTION IMPLIED VOLATILITY RISK MEASURES FOR BANKS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2016. http://hdl.handle.net/10280/10402.
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La tesi comprende tre saggi sul ruolo della volatilità implicita per le banche. La tesi è organizzata in tre capitoli. Capitolo I - studia il ruolo di skew e spread della volatilità implicita nel determinare i rendimenti delle azioni bancarie. Capitolo II - analizza gli effetti degli skew della volatilità implicita e della realized volatility sulla leva finanziaria delle banche. Capitolo III - si focalizza sul rapporto tra il coefficiente di liquidità delle banche e le misure per il rischio estratte dalla volatilità (skew, spread, realized volatility).The thesis comprehends three essays on option implied volatility risk measures for banks. The thesis is organized in three chapters. Chapter I - studies the informational content for banks' stock returns in option's implied volatilities skews and spread. Chapter II - analyzes the effect of volatility risk measures (volatility skew and realized volatility) on banks' leverage. Chapter III - studies the relationship between banks' liquidity ratio and volatility risk measures.
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Weber, Stefan. "Measures and models of financial risk." Doctoral thesis, [S.l. : s.n.], 2004. http://deposit.ddb.de/cgi-bin/dokserv?idn=973223421.
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Racheva-Iotova, Borjana. "An Integrated System for Market Risk, Credit Risk and Portfolio Optimization Based on Heavy-Tailed Medols and Downside Risk Measures." Diss., lmu, 2010. http://nbn-resolving.de/urn:nbn:de:bvb:19-123750.
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Zhiyong, Li. "Predicting financial distress using corporate efficiency and corporate governance measures." Thesis, University of Edinburgh, 2014. http://hdl.handle.net/1842/9934.
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Credit models are essential to control credit risk and accurately predicting bankruptcy and financial distress is even more necessary after the recent global financial crisis. Although accounting and financial information have been the main variables in corporate credit models for decades, academics continue searching for new attributes to model the probability of default. This thesis investigates the use of corporate efficiency and corporate governance measures in standard statistical credit models using cross-sectional and hazard models. Relative efficiency as calculated by Data Envelopment Analysis (DEA) can be used in prediction but most previous literature that has used such variables has failed to follow the assumptions of Variable Returns to Scale and sample homogeneity and hence the efficiency may not be correctly measured. This research has built industry specific models to successfully incorporate DEA efficiency scores for different industries and it is the first to decompose overall Technical Efficiency into Pure Technical Efficiency and Scale Efficiency in the context of modelling financial distress. It has been found that efficiency measures can improve the predictive accuracy and Scale Efficiency is a more important measure of efficiency than others. Furthermore, as no literature has attempted a panel analysis of DEA scores to predict distress, this research has extended the cross sectional analysis to a survival analysis by using Malmquist DEA and discrete hazard models. Results show that dynamic efficiency scores calculated with reference to the global efficiency frontier have the best discriminant power to classify distressed and non-distressed companies. Four groups of corporate governance measures, board composition, ownership structure, management compensation and director and manager characteristics, are incorporated in the hazard models to predict financial distress. It has been found that state control, institutional ownership, salaries to independent directors, the Chair’s age, the CEO’s education, the work location of independent directors and the concurrent position of the CEO have significant associations with the risk of financial distress. The best predictive accuracy is made from the model of governance measures, financial ratios and macroeconomic variables. Policy implications are advised to the regulatory commission.
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Claußen, Arndt [Verfasser]. "Essays on risk management of financial institutions : systematic risk, cross-sectional pricing of risk factors, parameter errors affecting risk measures, and credit decisions under parameter uncertainty / Arndt Claußen." Hannover : Technische Informationsbibliothek und Universitätsbibliothek Hannover (TIB), 2015. http://d-nb.info/1078747318/34.
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Bourgey, Florian. "Stochastic approximations for financial risk computations." Thesis, Institut polytechnique de Paris, 2020. http://www.theses.fr/2020IPPAX052.
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Dans cette thèse, nous examinons plusieurs méthodes d'approximations stochastiques à la fois pour le calcul de mesures de risques financiers et pour le pricing de produits dérivés.Comme les formules explicites sont rarement disponibles pour de telles quantités, le besoin d'approximations analytiques rapides,efficaces et fiables est d'une importance capitale pour les institutions financières.Nous visons ainsi à donner un large aperçu de ces méthodes d'approximation et nous nous concentrons sur trois approches distinctes.Dans la première partie, nous étudions plusieurs méthodes d'approximation Monte Carlo multi-niveaux et les appliquons à deux problèmes pratiques :l'estimation de quantités impliquant des espérances imbriquées (comme la marge initiale) ainsi que la discrétisation des intégrales apparaissant dans les modèles rough pour la variance forward pour le pricing d'options sur le VIX.Dans les deux cas, nous analysons les propriétés d'optimalité asymptotique des estimateurs multi-niveaux correspondants et démontrons numériquement leur supériorité par rapport à une méthode de Monte Carlo classique.Dans la deuxième partie, motivés par les nombreux exemples issus de la modélisation en risque de crédit, nous proposons un cadre général de métamodélisation pour de grandes sommes de variables aléatoires de Bernoulli pondérées, qui sont conditionnellement indépendantes par rapport à un facteur commun X. Notre approche générique est basée sur la décomposition en polynômes du chaos du facteur commun et sur une approximation gaussienne. Les estimations d'erreur L2 sont données lorsque le facteur X est associé à des polynômes orthogonaux classiques.Enfin, dans la dernière partie de cette thèse, nous nous intéressons aux asymptotiques en temps court de la volatilité implicite américaine et les prix d'options américaines dans les modèles à volatilité locale. Nous proposons également une approximation en loi de l'indice VIX dans des modèles rough pour la variance forward, exprimée en termes de proxys log-normaux et dérivons des résultats d'expansion pour les options sur le VIX dont les coefficients sont explicitesIn this thesis, we investigate several stochastic approximation methods for both the computation of financial risk measures and the pricing of derivatives.As closed-form expressions are scarcely available for such quantities, %and because they have to be evaluated daily, the need for fast, efficient, and reliable analytic approximation formulas is of primal importance to financial institutions.We aim at giving a broad overview of such approximation methods and we focus on three distinct approaches.In the first part, we study some Multilevel Monte Carlo approximation methods and apply them for two practical problems: the estimation of quantities involving nested expectations (such as the initial margin) along with the discretization of integrals arising in rough forward variance models for the pricing of VIX derivatives.For both cases, we analyze the properties of the corresponding asymptotically-optimal multilevel estimatorsand numerically demonstrate the superiority of multilevel methods compare to a standard Monte Carlo.In the second part, motivated by the numerous examples arising in credit risk modeling, we propose a general framework for meta-modeling large sums of weighted Bernoullirandom variables which are conditional independent of a common factor X.Our generic approach is based on a Polynomial Chaos Expansion on the common factor together withsome Gaussian approximation. L2 error estimates are given when the factor X is associated withclassical orthogonal polynomials.Finally, in the last part of this dissertation, we deal withsmall-time asymptotics and provide asymptoticexpansions for both American implied volatility and American option prices in local volatility models.We also investigate aweak approximations for the VIX index inrough forward variance models expressed in termsof lognormal proxiesand derive expansions results for VIX derivatives with explicit coefficients
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Bedini, Matteo. "Information on a default time : Brownian bridges on a stochastic intervals and enlargement of filtrations." Thesis, Brest, 2012. http://www.theses.fr/2012BRES0032.
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Dans ce travail de thèse le processus d'information concernant un instant de défaut τ dans un modèle de risque de crédit est décrit par un pont brownien sur l'intervalle stochastique [0, τ]. Un tel processus de pont est caractérisé comme plus adapté dans la modélisation que le modèle classique considérant l'indicatrice I[0,τ]. Après l'étude des formules de Bayes associées, cette approche de modélisation de l'information concernant le temps de défaut est reliée avec d'autres informations sur le marché financier. Ceci est fait à l'aide de la théorie du grossissement de filtration, où la filtration générée par le processus d'information est élargie par la filtration de référence décrivant d'autres informations n'étant pas directement liées avec le défaut. Une attention particulière est consacrée à la classification du temps de défaut par rapport à la filtration minimale mais également à la filtration élargie. Des conditions suffisantes, sous lesquelles τ est totalement inaccessible, sont discutées, mais également un exemple est donné dans lequel τ évite les temps d'arrêt, est totalement inaccessible par rapport à la filtration minimale et prévisible par rapport à la filtration élargie. Enfin, des contrats financiers comme, par exemple, des obligations privée et des crédits default swaps, sont étudiés dans le contexte décrit ci-dessusIn this PhD thesis the information process concerning a default time τ in a credit risk model is described by a Brownian bridge over the random time interval [0, τ]. Such a bridge process is characterised as to be a more adapted model than the classical one considering the indicator function I[0,τ]. After the study of related Bayes formulas, this approach of modelling information concerning the default time is related with other financial information. This is done with the help of the theory of enlargement of filtration, where the filtration generated by the information process is enlarged with a reference filtration modelling other information not directly associated with the default. A particular attention is paid to the classification of the default time with respect to the minimal filtration but also with respect to the enlarged filtration. Sufficient conditions under which τ is totally inaccessible are discussed, but also an example is given of a τ avoiding the stopping times of the reference filtration, which is totally inaccessible with respect to its own filtration and predictable with respect to the enlarged filtration. Finally, common financial contracts like defaultable bonds and credit default swaps are considered in the above described settings
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Chao, Ling-pin, and 趙令斌. "Measure Credit Risk by Using Option Pricicng Model." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/02149588138400552548.
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碩士東吳大學
會計學系
88
Accompanied with the bullish economy in the eighties, there was a narrow gap in the credit risk spread. In order to compete, banks had to unconsciously face a significantly high credit risk. The production of derived instrument have also widened and make credit risk more complicate. Investors were not able to easily profit through interest rates and in the exchange market, thus turned into expanding or trading credit risk to gain. Moreover, the fast growth of new-rising markets caused investors and banks to face higher credit risk in making decision. These factors have caused the setting of monitoring controls for credit risk, and increased the importance of credit risk guidelines. This study uses option model to measure credit risk of Taiwan companies in the market with a view to provide more information regarding credit risk. This study defines credit risk as the company can''t pay their liability when assets value less than debt. Thus, a company''s credit risk can be estimated by knowledge of the distribution of its asset value. Inasmuch as company to borrow money is like buying call, a company''s asset value may be measure by option pricing. This study emulates the credit risk computation model of KMV Company by the computation of company default probability in three steps: a. computation of company asset value b. computation of distant from default c. computation of expected default probable In the first step this study uses semi-standard deviation and standard deviation of unusual return in stead of standard deviation of stock return. Moreover, TCRI score is used in place of assets return standard deviation as well. In conclusion, this study finds out that prediction for default risk is more accurate if TCRI score is used in place of standard deviation of assets return.
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Yaping, Ho, and 何雅萍. "Use KMV Model to Measure Credit Risk of Companies." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/25279475614878657646.
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碩士輔仁大學
金融研究所
93
Abstract From 1988, the Bank for International Settlements (BIS) has been concerned with the infrastructure and application of risk measurement and management techniques. The 1988 Basle Accord established international minimum capital guidelines that linked internationally active banks’capital requirements to their credit exposures. This Accord was initially developed by the Basle Committee on Banking Supervision, and later endorsed by the central bank governors of the Group of Ten (G-10) countries. The banking industry suggested that banks should be allowed to develop their own internal credit VaR models, in lieu of the 1988 BIS Accord. Over the last few years, a variety of industry-sponsored credit VaR methodologies have been devised, including CreditMetrics and CreditRisk+. Credit VaR models are also developed by various software and consulting firms, the well-known KMV approach which models expected default frequencies is now in use at many U.S. banks. This thesis applies KMV model to measure the credit risk of electronic corporations. There are two advantages in using KMV model. First, one can easily retrieve the required financial information of all companies from a public database, plug into the model, and then divide firms into credit risk categories according to their default risk measures. Second, the KMV model which was developed from the Black-Scholes Model, already widely accepted by the investment community, can be readily applied to credit risk measurement. The calculation of the standard deviation of stock returns is based on the Exponentially Weighted Moving Average Model (EWMA) which reacts quickly to changes in the stock market volatility conditions as recent data carry more weights than data in the distant past. The default point is based on four different measures: the liability shown on the balance sheet, the interest-bearing debt, the net liability and the net interest-bearing debt after deducting cash and marketable securities from the liability and the interest-bearing debt. The calculated default distances and default probabilities are sorted and rated, named“Ping rating.”The correlation coefficients among the four default-point measures are investigated to see whether different measures will affect the results substantially. Companies that have already defaulted are collected to test the predictive power of the four default measures. Finally, the paper compares “Ping rating” against Taiwan Corporate Credit Risk Index (TCRI) to investigate their differences. The major results are as follows. First, the parameter of the exponentially weighted moving average model, the decay factor, is 0.935 which means that recent stock volatility data of the electronic industry in Taiwan carry more weights than data in the distant past. Second, though the four default distance measures are not highly positively correlated, the correlations among the derived four default probability measures are extremely high. Third, the “Ping rating” resulted from the four default-point measures are not highly positively correlated with the TCRI rating, only in the medium range. Among them, the Ping rating from net debt has the highest correlation, 0.59, with the TCRI rating. Fourth, focusing on companies that had already defaulted, we observe that the Ping rating predicts better when taking net debt at the end of 2003 into consideration. Fifth, in comparison with TCRI, we observe that the four default distance measures are negatively correlated with TCRI, and the default probability is increasing substantially when credit rating is at or above “Ping rating” 8. Finally, comparing the differences among the four default distance measures, we observe that after sorting them in order, those located in the last 70 are almost the same regardless of the measures.
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Tsay, Fung-Yuan, and 蔡豐源. "Measure the Credit Risk in the Cross Currency Swaps." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/61001643994160382466.
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碩士中原大學
企業管理學系
87
ABSTRACT The currency swap has been one of the most important derivative products in international market. It usually coordinates with bond to be published, in order to decrease the leveraged cost. The investor also utilized the currency swap to manage money market, and increased rate of return. The currency swap's risk occurs when exchange changes, and it is the variation in corporate profit earning's efficiency, net cash flow, and market price. The currency swap involves interest rate risk and currency rate risk, included the basis risks and mismatched risks which evaded the risk in swap. Even though currency swap may produce profit, yet the credit risk still exist, Because the opponent could reject contract obligation. This research uses Credit-Metric which was developed by J.P.Morgan in 1997 to calculate the risk transfer coefficient which is defined in Hull (1998) and simulation method to develop the model which measures the credit risk when the currency swap carries on. The research obtained the followed empirical result: 1. Domestic banks acquire fixed currency rate and fixed interest rate bond interest, The credit risk's transfer coefficient are distinctly between 0.358%-0.953% and 0.645%-4.025%.The result is similar to which Federal Reserve Board and the Bank of England evaluating the credit risk in interest distribution assumption, at a 95% confidence interval which does not exceed 1%. 2. This research finds that the credit risk transfer coefficient will enlarge when the contract period lengthers with observing the individual parameter. 3. When the banks deal with the currency swap, the credit risk the banks involved is much smaller than the risk of currency rate and interest rate. 4. The credit risk's exposure is positively related with currency rate and interest rate fluctuation, it shows that the credit risk's exposure increases when the currency rate and interest rate fluctuated acrimoniously.
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Okhrati, Ramin. "Credit Risk Modeling under Jump Processes and under a Risk Measure-Based Approach." Thesis, 2011. http://spectrum.library.concordia.ca/35962/1/Okhrati_PhD_F2011.pdf.
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Having a precise idea of how information is used is a key element in studying credit risk models. This concept plays an important role in structural and reduced form models and most recently in information based models. In this thesis the relationship between these models and the idea of information, more specifically through filtration expansions, is studied in depth. Special attention is given to the study of intensity processes under different types of filtration expansions.
Credit derivatives are path dependent financial products. Therefore their analysis is based on the history of the underlying risky process. If the underlying process is allowed to have jumps, then this analysis is more challenging. This explains why, normally, risk management techniques for these products assume that the underlying process is continuous, the derivative is path independent, or the probability measure is risk neutral. In our model, in the context of a locally risk-minimization approach, the problems of pricing and hedging of defaultable claims are discussed without imposing any of the above assumptions.
The impact of risk measures in financial markets can no longer be ignored. Considering this, a methodological procedure based on risk measures is developed to gauge the credit quality of defaultable bonds in real bond markets. Through this process a new type of indicator is introduced that can be useful to detect inconsistencies in bond markets. This can be helpful in market integration applications.
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Chang-long, Huang, and 黃建隆. "Use the Market Model to Measure The Credit Risk of Corporations." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/43998337565482972146.
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碩士中國文化大學
會計研究所
91
Today banking in Taiwan use the Basel Capital Accord, made in 1988 by Basel Committee of Banking Supervision of the Bank of International Settlement, to manage their risk and follow the rule of capital adequacy. In 2001, Basel Committee of Banking Supervision declared the draft of New Basel Capital Accord, the more complete risk management resolution, going to put into practice at beginning of 2006 in American and European areas. In the long term, Taiwan government will take effect to this accord be-cause our policy and economy follows the American and European. Therefore, banking in Taiwan now has the problem to comply with this accord. In new accord, the major requests are about credit risk management. The most im-portant element of the credit risk management tools is the credit rating. Generally speaking, meaning of credit rating is probably the same at credit scoring systems’, which had been widely used. The credit rating systems use each kind of subjective and objective information to determine the opponents’ capacity of whole payment, and give proper ratings. Now there are theoretical supports and advantages in some more mature credit risk models, but which is suitable for use in Taiwan has to be evaluated. The new accord allows bankers to establish the credit rating systems themselves in credit giving and there is large flexibility in what credit risk models to use. Since the new accord allows self-established model to measure the credit risk, this study based of Merton Option Pricing Model, through model correcting, variable changing, and established the credit risk model, using the stock market price informa-tion mainly, suitable for the economy environment in Taiwan, government policy, and objective of risk management. At the beginning, this study inferred the Merton Option Pricing Model to put in use to credit risk measurement, and established the credit risk model. Then this study put each financial report data and stock market information into this model to measure the credit risk of listed companies in Taiwan at the end of 2000. At the same time, according the real condition in Taiwan and relative theories, this study put five debt substitute variables and three stand deviation of return in stock market price substitute variables into the model, intending to find the best substitute variables combination suitable in Taiwan. Because of the complexity of this model in computing, this study corrected the structure of Merton Option Pricing Model with the financial theories existing, and measured the credit risk of listed companies in Taiwan again. This study compared the credit risk information computed by the model to the credit rating existing in Taiwan that could reflect the real credit conditions to verify the effectiveness of the model es-tablished before and after the model correcting and the variable changing. The result of this study showed that the model established had certain high level of effectiveness, but it was worse to electronic and information industries than others. After the model cor-rected, the computing process could be simplified and the effectiveness was not far away from that before the model corrected.
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Chen, Pei-Jung, and 陳姵蓉. "How to Measure the Credit Risk of Loan Positions by Risk Neutral Valuation for Commercial Banks." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/91585069800424081217.
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碩士國立中央大學
財務金融研究所
91
For the past decades, we usually use 5C, 5P methods and financial ratio analysis to measure credit risk for bank loans; however, they are too subjective. Therefore this paper uses an objective and quantitative model, Risk Neutral Valuation, to measure credit risk of loan positions. The model is used to study: 1) If Risk Neutral Valuation is better than traditional methods; and 2) If credit spread is significant correlated with different types of data. Those data are from market interest rates, TEJ, and bank loans. We estimate credit spread, the probability of default and the differences between actual spread (AS) and credit spread (CS). The empirical results: 1) By Chi—Square Test, actual spread is significant correlated with different types of lending companies, conditions of loans, terms of loans, collateral and purposes. It means the direction of the subjective analysis is not wrong.2) the average of the differences between AS and CS are negatives, so we infer actual spread is too low. In order to know if our inference is right, the probability of default (or loss given default) is significant correlated with the differences between AS and CS. In other words, actual spread is lower than credit spread, and it proves our inference. Hence, we suggest the bank should use quantitative model to calculate the accurate spread to enhance credit risk management and policies.
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Wu, Yu-Che, and 吳宇哲. "Using Distance to Default to Measure the Credit Risk of US Public Companies." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/57198577732044697294.
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碩士元智大學
管理研究所
90
The development of internal models for credit risk measurement is at an early stage. Its present level of development is similar to that of market risk in 1994, when RiskMetrics first appeared and was followed by alternative approaches such as historic simulation and Monte Carlo simulation. The goal of this study is to describe why there’s a revolution in credit risk measurement and management recently, and to review the current proposed industry sponsored Credit Value-at-Risk methodologies. Moreover, this study use an option-pricing BSM-type model, viewing the market-value position of equity holders in a borrowing firm as isomorphic to holding a call option on the assets of the firm, to estimate the number of standard deviation move in the asset value from the market net worth to the default point (distance to default) as a credit risk measure with a view to see the strengths and drawbacks of KMV model. The data of this study such as bankruptcy date, market value of equity, interest rate, and book liabilities comes from SDC, CRSP, Datastream, and Compustat database respectively. This essay uses distance to default to measure credit risk, and test the default measure performance by power curve to assess KMV model''s ability to discriminate between different levels of credit risk. Finally, this study compares the predictive ability between DD and S&P rating. In conclusion, this study finds out that high-DD companies are high risky ones as expected, and the power curves also show that DD is good at discriminating different levels of risk. As for the compassion of DD and S&P rating, DD is better.
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Shyu, Yuh-ching, and 徐玉清. "Application of Option Pricing Model to Measure the Credit Risk of Listed Companies." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/35475712355644974247.
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碩士東吳大學
會計學系
101
Because of the economic depression, corporate bonds default worsening, and financial derivatives innovate constantly, default risk has become a major sources of risk of banking and financial institutions, credit risk measurement and management will become increasingly important. In this study, application of the Black & Scholes and Merton option pricing model, investigates the development of default risk measurement model of the KMV company, and estimates the expected default frequency, and compares with the existing domestic credit rating, and measures the relevance of default risk and credit ratings, to provide more credit information for listed companies. In the empirical process, the abnormal returns standard deviation of equity value of the company, the half standard deviation of equity value of the company, and the standard deviation of TCRI rating scores, to be the substitution variables of the standard deviation of return on equity value of the company, estimates value of the assets, and the standard deviation of return on value of the assets, calculates distance from the standard deviation of default, then finds the regression equation with the historical default frequency, final estimates the expected default frequency of listed companies, executes empirical analysis, and observes the relevance of empirical results and TCRI rating scores. In this study, the results show that, there is no significant difference among the three substitution variables of estimating value of the assets, and there is no significant difference among the three substitution variables of the standard deviation of return on value of the assets in the sort. There is no significant difference among the three substitution variables of estimating the expected default frequency in the sort, still capable of, effectively distinguish the default situation of sample companies. There is no significant difference among the three substitution variables of correlation coefficient of TCRI rating scores, all of them reach statistically significant level, and show positively correlated with TCRI rating scores.
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Ventura, Cláudia Cristina Valério. "Evaluating the Maximization-Maximization approach to measure default probabilities on structural credit risk models." Master's thesis, 2018. http://hdl.handle.net/10400.14/25481.
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This thesis implements the Maximization-Maximization (MM) algorithm proposed by Forte and Lovreta (2012), where in the first step the expected assets rate of return and the asset volatility are estimated applying the Maximum Likelihood technique. As the firm’s assets value is not observable, the observed equity values are treated as transformed data in order to derive the log-likelihood function. In a second step, the default barrier is estimated according to the interests of shareholders, corresponding to the optimal level considered for the firm to default, and as the one that maximizes their participation. Using a sample of fifty-five companies and a time period for the estimation of one year, our results prove that estimating the expected rate of return is hard and does not provide statistically significant results, as it is dependent and highly correlated to the observed equity values. The results for the five-year default probabilities computed were most of them equal to zero or too high.Esta tese implementa o algoritmo Maximization-Maximization (MM) proposto por Forte e Lovreta (2012), em que no primeiro passo, o retorno esperado dos ativos e a volatilidade destes são estimados aplicando a técnica da Máxima Verosimilhança. Como o valor dos ativos da empresa não é observável, os valores do capital próprio são tratados como dados transformados de forma a derivar a função log-likelihood. Num segundo passo, a barreira de incumprimento é estimada de acordo com os interesses dos acionistas, correspondendo ao nível ótimo considerado para a empresa entrar em incumprimento, bem como àquela que maximiza a participação destes. Usando uma amostra de cinquenta e cinco empresas e um período de tempo de um ano para a estimação, os nossos resultados mostram que estimar a taxa de retorno esperado dos ativos é difícil e não fornece resultados estatisticamente significativos, por ser dependente e fortemente correlacionado com os valores do capital próprio. Os resultados das probabilidades de incumprimento a cinco anos calculadas foram na maioria igual a zero ou demasiado altas.
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Miranda, Guilherme Donário. "On the application of structural credit risk models to sovereign issuers." Master's thesis, 2018. http://hdl.handle.net/10400.14/25494.
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This dissertation uses CDS spreads to extract the probability of default of the Portuguese sovereign using a structural credit risk model. The model considered assumes that the government revenue follows a geometric Brownian motion. In addition, the government is assumed to have fixed costs corresponding to its total expenditure. The sovereign defaults at the first time its revenue falls below a certain level, which is estimated in this thesis as a multiple of the government debt. Under the assumption of a 40% recovery rate, estimates on the 5-year probability of default were extracted. This was done both under the risk neutral and the physical measure. This was possible assuming that the market price of risk implicit in sovereign CDS markets was equal to the one implied in Portuguese listed equities.
The results obtained were in line with expectations. The probability of default of the Portuguese government is close to zero in 2007, 2008, 2016 and 2017 and reaches very high levels in 2011 and 2012. Though the highest probability of default (under both measures) is observed in 2011, the largest difference between the probability of default under the risk neutral and physical measures is observed in 2012. In this year, the difference in the 5-year probability of default under the two measures reaches 13.90 percentage points.Esta tese utiliza spreads dos CDS para extrair a probabilidade de incumprimento do Estado Português utilizando um modelo estrutural de risco de crédito. O modelo considerado assume que a receita do governo segue um movimento Browniano geométrico. Para além disso, assume-se que o governo tem custos fixos correspondentes à sua despesa total. O soberano entra em incumprimento quando a sua receita desce abaixo de um determinado nível que, nesta tese, é estimado como um múltiplo da dívida soberana. Assumindo uma taxa de recuperação de 40%, a probabilidade de incumprimento a 5 anos foi extraída na medida neutra ao risco e a física. Isto foi possível assumindo que o preço de mercado do risco implícito nos CDS dos soberanos era igual ao implícito em empresas Portuguesas cotadas em bolsa. Os resultados obtidos estão em linha com os esperados. A probabilidade de incumprimento do estado Português a 5 anos foi próxima de zero nos anos de 2007, 2008, 2016 e 2017 e atingiu níveis extremamente elevados em 2011 e 2012. O valor mais elevado para esta variável, em ambas as medidas, foi observado em 2011. A maior diferença entre a medida neutra ao risco e a medida física ocorreu em 2012. Neste ano, a diferença na probabilidade de incumprimento a 5 anos entre as duas medidas atingiu 13.90 pontos percentuais.
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Cheng, Li-Min, and 鄭黎明. "To Apply DD Measure of MKMV Explaining the Resource of Credit-Risk-Premium with Quoting on the Unsecured Corporate Bond of Taiwan." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/xj34w8.
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碩士銘傳大學
財務金融學系碩士在職專班
92
The size of domestic bond fund obviously increases with the trend of diversification of raising capital in recent years. The pricing for varied bonds which are differentiated among pecking order can not be overemphasized. This paper applies distance-to-default (DD) measures of MKMV to explain the resource of credit risk premium of the unsecured corporate bonds bearing on more default risk. The data is fully quoted on the database of Taiwan Economical Journal Co., Ltd. Firstly, we calculate the default probability of unsecured corporate bond in the use of MKMV model allowing for reflecting the contingent states in the future where the probability of default is measured as theoretical and empirical distance-to-default (DD). Then, we build up a linear regression model allowing for measuring the effects of corporation governance. The explanatory variables is divided by three parts: typical market-risk variables, distance to default (theoretical and empirical DD), and governance variables (the ratio of stock-holding and stock-pledging by directors and supervisors). It is found that the credit risk premium is much accounted for by the theoretical and empirical DD. Nevertheless, it pays to notice that the addition of governance variables into the regression model will highlight the effects of DD on the credit risk premium. It implies that the quality of corporation governance has definite impact on the price of credit-risk to some extent.
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Zhang, Zan Zan. "Importance of documentary credit in international trade: analysis of risk and prevention measures." Master's thesis, 2020. http://hdl.handle.net/1822/68855.
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Dissertação de mestrado em International BusinessIn international trade settlement, letters of credit (documentary credit), documentary collections, and remittances are generally accepted international settlement methods. Letters of credit take the leading position, with the characteristics of bank credit and the reciprocal rights and obligations of buyer and seller. It has the function of guaranteeing security to both exporters and importers; therefore, it is relatively safe means of settlement, which guarantees the adequate functioning of international transactions. However, due to their characteristics, letters of credit are not exempt from risks in their practical application. Therefore, the study of the risk and preventive measures of the letter of credit has a strong relevance to the practice of international trade. This dissertation mainly analyzes the risk that the applicant, the bank (issuing bank and negotiating bank) and the beneficiary may face in the process of using the credit, and puts forward the corresponding risk prevention measures. Using a qualitative approach, we found a unique perspective and new findings on the risk and risk prevention measures. The results of this exploratory study suggest that there is a consensus in considering the principle of letter of credit independence as one of its main sources of risk. This consensus suggests that future development of the letter of credit involves reducing their independence, without completely losing its independence essence. The evolution of letters of credit may also include the cooperative development of operations and the use of digital platforms to facilitate the investigation of the credibility of business partners.
No comércio internacional, letras de crédito (crédito documentário), cobranças documentárias e remessas são os métodos de pagamento geralmente aceites. A letra de crédito assume a posição de liderança enquanto forma de pagamento no comércio internacional com as características do crédito bancário e os direitos e obrigações recíprocos do comprador e do vendedor. Tem a função de garantir a segurança a importadores e exportadores, sendo uma forma de liquidação relativamente segura, que garante a condução normal das transações internacionais. No entanto, pelas suas características, as letras de crédito não estão isentas de risco na sua aplicação prática. Portanto, o estudo do risco e das medidas preventivas do risco da carta de crédito tem uma forte relevância para a prática comercial internacional. Esta dissertação analisa principalmente o risco que o ordenador (comprador), os bancos (banco emitente e banco negociador) e o beneficiário (vendedor) podem enfrentar no processo de utilização das letras de crédito e discute as correspondentes medidas de prevenção de risco. Com base numa abordagem qualitativa, foi possível obter uma perspetiva prática sobre os riscos e as correspondentes medidas de prevenção de risco. Os resultados deste estudo exploratório sugerem que existe um consenso em considerar o princípio da independência da carta de crédito como uma das suas principais fontes de risco. Esse consenso sugere que o desenvolvimento futuro da letra de crédito deverá passar por reduzir a sua independência, mas sem perder completamente a sua essência de independência. A evolução também deverá incluir o desenvolvimento cooperativo das operações e o uso das plataformas digitais para facilitar a investigação da credibilidade dos parceiros de negócios.
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Chang, Chun-Chieh, and 張鈞傑. "A Credit Risk Model that Incorporates Adjustments for Both Real- and Accrual-Earnings Management Measures." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/25439806084042015549.
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碩士國立臺灣大學
國際企業學研究所
102
Traditional credit risk rating models based on financial ratios are prevalent; nevertheless, problems with credit scores might emerge from some earnings manipulaitons. This study aims to explore the influences of real and accrual-based earnings management schemes on the effectiveness of accounting credit risk models, using data from publicly listed companies in Mainland China. Specifically, this study adopts as dummy variables that reflect the significance of real and accrual-based earnings manipulation input factors to the credit risks rating model, aiming to explore the extent to which such modification adds to in-sample fitting (learning) period and out-of-sample (forecasting) period explanatory power of the forecast models. Moreover, this study identifies three types of firms including firms that legally defaulted during the sample period (hereafter the actual default firms), the firms that encountered substantial debt negotiations or reconstructions but did not legally defaulted during the sample period (hereafter the stealth default firms), and the firms that had not been subject to either of the defaults during the same period (hereafter the continuing firms). Thereby it conducts tests with (1) the actual default firms serving as the experimental group and (2) both actual default firms and stealth default firms serving as the experimental group. The empirical results shows: during the learning period, adding real earnings management and discretionary accrual to the models enhance the explanatory power, regardless of explaining actual or stealth defaults. As for the out-of-sample (forecasting) tests, including real earnings management and accrual-based earnings management measures in the predicting models, the forecast accuracy appears to increase significantly. However, the effect of adding the earnings manipulation measures on stealth plus-actual default sample are insignificant.
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Racheva-Iotova, Borjana [Verfasser]. "An integrated system for market risk, credit risk and portfolio : optimization based on heavy-tailed models and downside risk measures / Borjana Racheva-Iotova." 2010. http://d-nb.info/1009607707/34.
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Chen, Jung-che, and 陳榮澤. "A Study of the Influence and Measures of The New Basel Capital Accord on Bank Credit Risk Management." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/v977vu.
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碩士銘傳大學
財務金融學系碩士在職專班
94
The credit risk has always been one of the most main projects on the risk of the banking industry management. The so-called credit risk refers to the transaction match not to honor an agreement, which makes the bank have risk of the loss. Along with financial internationalization and liberalized vigorous development, in the fast-changing market the bank risk management becomes increasingly important. The loans, the guarantee, or the finance commodity exchange contract all involves the bank credit risk management. Therefore, the credit risk management ability, strong or weak, has everything to do with the good or bad bank management achievement. The New Basel Capital Accord furnishes data for the risk, constructs a more widespread risk management method, and provides a common world risk management overseeing standard. The bank as a fund intermediary role accordingly becomes the risk superintendent. This research makes an introduction to The New Basel Capital Accord, and offers an explanation of the credit risk. The measures taken in the United States of America, the United Kingdom, and others are given, and the implementation of The New Basel Capital Accord in our country is made a SWOT analysis. It is hoped that all these will be kept for reference by the overseeing institution and banking industry, to reduce the implementation difficulty, and promote the ability of the credit risk management.
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yang, yen-fu, and 楊延福. "A Study on the Prediction of Corporate Credit Risk by Employing Accounting Information and Earning Quality Measures – A Comparison between the Multivariate Discriminate Analysis and the Artificial Neural Network Model." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/24496333598541107050.
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碩士國立臺北大學
國際財務金融碩士在職專班
94
The issue of managing corporate credit risk becomes more and more important with the booming financial market in Taiwan. Many firms have faced financial crises or even went bankrupt since the 1997 Asian financial storm. Therefore, our government began to make tremendous efforts to reform financial markets in recent years. The actions our government has taken include handling problematic banks, stimulating bank mergers, lowering business tax, encouraging banks to sell and to write off bad debt, etc. All the actions have been taken for the purpose of solving the problems that many financial institutions have suffered. In addition, Taiwan investors have also begun to pay attention to the high default ratio of bank loans and the associated corporate credit risk problems in recent years. Nowadays, there is concern about the topic of measuring corporate credit risk. This research focuses on how to calculate the default rate. The data used in the study is from 166 listed corporations in the period from 2001 to 2005. The methodologies used are the Stepwise Discriminate Analysis (SDA) and the Multivariate Discriminate Analysis (MDA). By utilizing these two analysis tools, we build up credit risk forecasting models, one that uses only the financial indexes, the other that adds the earning quality index. Moreover, comparing the MDA model with the Artificial Neural Network model (ANN), which one has higher forecasting probability? The research may therefore offer creditors and investors one method to quantify corporate credit risk. In addition, it may also provide one effective risk managing method and establish investing strategies. This empirical study led to two conclusions. Firstly, this study found no difference between the MDA model with the earning quality variable and that without, because of the same correct forecasting probability of 80.92%. However, the correct rate of the default forecasting model formed by earning quality variables is only 65.89%. The consequence means that earning quality variable is still a powerful explanatory factor. As for the failure of earning quality variable in the MDA model, it could be due to collinearly problem. Secondly, in comparison to the result between the MDA and ANN models, however the number of variables chosen, the precision rate of the whole three year model, accurate rate of each year model, and the transferability for the ANN model always outperforms the MDA model. Therefore, the ANN model is superior to the MDA model.
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Carapeto, Rui Filipe Cavaco. "Adaptação da metodologia de gestão do risco de crédito. CreditMetrics da J.P. Morgan." Master's thesis, 2000. http://hdl.handle.net/10400.5/18688.
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Instituto Superior de Economia e GestãoNeste trabalho é proposta a aplicação prática de uma nova metodologia de gestão do risco de crédito, CreditMetrics da J.P.Morgan, a uma carteira de crédito pessoal, com determinação do valor cm risco ou VaR, complementada por um modelo de avaliação de operações de crédito que incorpora o risco. Após se ter procedido ao estabelecimento da relação entre as probabilidades de incumprimento (deduzidas a partir de um modelo de notação numérica, ou scoring, normalmente utilizado no processo de tomada de decisão do tipo de crédito referido) e as classes de risco, apresentou-se o modelo teórico que suporta a metodologia a aplicar e respectivas características. Com base numa amostra real recolhida, procedemos à adaptação do modelo CreditMetrics da J.P. Morgan, em termos de hipóteses teóricas e alternativas de cálculo, à realidade da IF que disponibilizou os dados. Os resultados obtidos através da utilização desta metodologia foram comparados com a política de provisões em vigor, imposta pelo Banco de Portugal. Por fim, propõe-se a utilização de um modelo de avaliação das operações de crédito analisadas que incorpora os riscos de incumprimento e de mercado, procedendo-se a uma análise comparativa entre os resultados do modelo e a legislação em vigor, no que respeita ao cumprimento de requisitos mínimos de capital por parte das instituições financeiras.
This work envisages the application of a new credit management methodology, CrcditMetrics from J.P.Morgan, to a consumer loan portfolio, with value at risk (VaR) determination complemented with a risk-adjusted valuation model. After establishing the existing relationship between default probabilities (deducted from a numeric scoring system, normaly used on the decision making process on such credit type) and the risk classes, we will proceed with the analysis of the theoretical method supporting the applicable methodology and its characteristics. Based on a actual sample, we tried to fit the CrcditMetrics model, in terms of both altemative calculation and theoretical hypothesis, to the reality of the financial institution that supplied the data. The results obtained through this methodology were then compared with the provision policy presently enforced by Banco de Portugal. Finallly, we suggest the application of a risk-adjusted valuation model integrating both default and market risks, to the above mentioned consumer loan portfolio, with a comparative analysis between the model results and the law in force, regarding the fulfillment of the minimum required capital, by the finacial institutions.
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