Thèses : « Morte a credito »

1

Bourque, Réjean. « Style, narration et communication dans Mort à credit / ». Thèse, Trois-Rivières : Université du Québec à Trois-Rivières, 1986. http://theses.uqac.ca.

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Mémoire (M.A.Fr.)-- Université du Québec à Trois-Rivières, 1986.
Ce mémoire a été réalise à l'Université du Québec à Chicoutimi dans le cadre du programme de maîtrise en études littéraires de l'Université du Québec à Trois-Rivières extentionné a l'Université du Québec à Chicoutimi. CaQCU Document électronique également accessible en format PDF. CaQCU

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Johansson, Sam. « Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling ». Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252566.

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In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. In combination with Monte Carlo simulation, the variance reduction technique importance sampling is used in an attempt to make the simulations more efficient. Importance sampling is used for simulation of both the asset price and, for CVA (Credit Valuation Adjustment) estimation, the default time. CVA is simulated for both European and Bermudan options. It is shown that a significant variance reduction can be achieved by utilizing importance sampling for asset price simulations. It is also shown that a significant variance reduction for CVA simulation can be achieved for counterparties with small default probabilities by employing importance sampling for the default times. This holds for both European and Bermudan options. Furthermore, the regression based method least squares Monte Carlo is used to estimate the price of a Bermudan option, resulting in CVA estimates that lie within an interval of feasible values. Finally, some topics of further research are suggested.
I denna rapport undersöks Monte Carlo-simuleringar för motpartskreditrisk. En jump-diffusion-modell, Bates modell, används för att beskriva prisprocessen hos en tillgång, och sannolikheten att motparten drabbas av insolvens beskrivs av en stokastisk intensitetsmodell med konstant intensitet. Tillsammans med Monte Carlo-simuleringar används variansreduktionstekinken importance sampling i ett försök att effektivisera simuleringarna. Importance sampling används för simulering av både tillgångens pris och, för estimering av CVA (Credit Valuation Adjustment), tidpunkten för insolvens. CVA simuleras för både europeiska optioner och Bermuda-optioner. Det visas att en signifikant variansreduktion kan uppnås genom att använda importance sampling för simuleringen av tillgångens pris. Det visas även att en signifikant variansreduktion för CVA-simulering kan uppnås för motparter med små sannolikheter att drabbas av insolvens genom att använda importance sampling för simulering av tidpunkter för insolvens. Detta gäller både europeiska optioner och Bermuda-optioner. Vidare, används regressionsmetoden least squares Monte Carlo för att estimera priset av en Bermuda-option, vilket resulterar i CVA-estimat som ligger inom ett intervall av rimliga värden. Slutligen föreslås några ämnen för ytterligare forskning.

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Kolman, Marek. « Portfolio Credit Risk Modeling ». Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-75474.

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Thesis Portfolio Credit Risk Modeling focuses on state-of-the-art credit models largely implemented by banks into their banking risk-assessment and complementary valuation system frameworks. Reader is provided in general with both theoretical and applied (practical) approaches that are giving a clear notion how selected portfolio models perform in real-world environment. Our study comprises CreditMetrics, CreditRisk+ and KMV model. In the first part of the thesis, our intention is to clarify theoretically main features, modeling principles and moreover we also suggest hypotheses about strengths/drawbacks of every scrutinized model. Subsequently, in the applied part we test the models in a lab-environment but with real-world market data. Noticeable stress is also put on model calibration. This enables us to con firm/reject the assumptions we made in the theoretical part. In the very end there follows a straightforward general overview of all outputs and a conclusion.

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Wendin, Jonathan Erik Purvis. « Bayesian methods in portfolio credit risk management ». Zürich : ETH, 2006. http://e-collection.ethbib.ethz.ch/ecol-pool/diss/abstracts/p16481.pdf.

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Liu, Xinjia. « Pricing of multi-name credit derivatives using copulas ». Worcester, Mass. : Worcester Polytechnic Institute, 2008. http://www.wpi.edu/Pubs/ETD/Available/etd-010808-160914/.

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Professional Master's Project in partial fulfillment of the requirements for the degree of Master of Science (M.S.)--Worcester Polytechnic Institute.
Keywords: first-to-default baskets; multi-name credit derivatives; copula functions. Includes bibliographical references (leaf 29 ).

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6

Järnberg, Emelie. « Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques ». Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-197322.

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In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. The probability of default and the default time are simulated using Monte Carlo and the number of scenarios needed to obtain convergence in the simulations is investigated. The simulations are performed using the probability matrix method (PMM), which means that a transition probability matrix describing the process is created and used for the simulations. Besides this, two variance reduction techniques are investigated; importance sampling and antithetic variates.
I den här uppsatsen modelleras kreditvärdigheten hos ett företag med hjälp av en stokastisk process. Två kreditmodeller betraktas; Merton's modell, som modellerar värdet av ett företags tillgångar med geometrisk Brownsk rörelse, och "distance to default", som drivs av en två-dimensionell stokastisk process med både diffusion och hopp. Sannolikheten för konkurs och den förväntade tidpunkten för konkurs simuleras med hjälp av Monte Carlo och antalet scenarion som behövs för konvergens i simuleringarna undersöks. Vid simuleringen används metoden "probability matrix method", där en övergångssannolikhetsmatris som beskriver processen används. Dessutom undersöks två metoder för variansreducering; viktad simulering (importance sampling) och antitetiska variabler (antithetic variates).

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Sauter, Dawn Adell. « Estimating swap credit risk : significance of the volatility input using Monte-Carlo simulation / ». Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12052009-020238/.

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Neier, Mark. « Pricing of collateralized debt obligations and credit default swaps using Monte Carlo simulation ». Thesis, Manhattan, Kan. : Kansas State University, 2009. http://hdl.handle.net/2097/2308.

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Sacramento, Junior Luiz Claudio Ferreira. « More than words : broader information sharing and access to the formal credit market ». reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18293.

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This paper shows how information sharing mechanisms might enable Micro and Small Enterprises (MSEs) to increase their access to formal credit markets. Using a unique dataset provided by the Brazilian Central Bank and Ministry of Labor, a change is applied in the threshold of loans that must be reported and shared by all active financial institutions as a gradual increase in the available information on MSEs. Results suggest that borrowers that benefited by this change obtained more loans and smaller interest rates, and by building a good client pool ended up receiving smaller maturities. Firms were also less likely to delay repayments and present smaller loan losses. This evidence sheds light on information asymmetry and literature on financial inclusion by showing that information sharing mechanisms can improve the decision to offer credit, and MSEs can become less dependent of relationship lending to obtain loans.
Esse estudo mostra como mecanismos de compartilhamento de informação podem permitir Micro e Pequenas Empresas (MPEs) podem melhorar seu acesso a mercados de crédito formais. Utilizando uma base de dados única obtida junto ao Banco Central do Brasil e Ministério do Trabalho, uma mudança é aplicada no limite do valor de empréstimos que precisam ser reportados e compartilhados por todas as instituições financeiras ativas como uma mudança gradual na informação disponível sobre MPEs. Os resultados indicam que tomadores de empréstimo que se beneficiaram dessa mudança obtiveram mais empréstimos e menores taxas de juros, e por constituir um bom grupo de clientes acabam por receber menores vencimentos. As empresas são ainda menos prováveis de atrasar seus pagamentos e apresentam menores perdas aos bancos. As consequências desse estudo lançam luz sobre a literatura de assimetria de informação e inclusão financeira ao mostrar que mecanismos de compartilhamento de informação podem auxiliar na decisão de oferecer crédito e MPEs podem se tornar menos dependentes de empréstimos de relacionamento para obter empréstimos.

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Lundström, Love, et Oscar Öhman. « Backtesting of simulated method for Counterparty Credit Risk ». Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284.

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After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. In simple terms CCR is a mix of Market and Credit risk which defines the risk that your counter party will go into bankruptcy. CCR involves the risk factors used in market risk since all of the derivatives are based on underlying assets such as interest rate and currencies. The thesis will focus on how one can backtest individual risk factors driving the value of OTC derivatives. We will present different Monte Carlo simulation techniques that are being used to simulate and represent all possible future outcomes for the risk factors. In order to better understand the performance of a chosen model and how to adjust the calibration window for the ingoing parameters, two different approaches are presented,Quantitative Backtesting and Statistical Backtesting. As an extension to this, a portfolio of interest rate Swaps are backtested whose value are driven by the evolution of the underlying risk factors. The backtesting ofthe portfolio is done with netting. The time horizon for the backtesting procedureis 2010-2020 giving the user up to 261 independent observations with a forecast length of 14 days. Both of the backtesting methods provide the practitioner with a graphical results guiding the user to choose an appropriate model and calibration method for simulating the risk factors. We found that a combination of the two approaches provides the best result. Hence, no backtesting method is superior the other. Instead they complement each other and should be used simultaneously. Using the two backtesting methods one can find a model that perfectly fit the underlying distribution of risk factors, theoretically. However, one should be careful since there will always be uncertainty about the future and there is no guarantee that tomorrow will follow historical evolution exactly.

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Webster, Gregg. « Bayesian logistic regression models for credit scoring ». Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1005538.

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The Bayesian approach to logistic regression modelling for credit scoring is useful when there are data quantity issues. Data quantity issues might occur when a bank is opening in a new location or there is change in the scoring procedure. Making use of prior information (available from the coefficients estimated on other data sets, or expert knowledge about the coefficients) a Bayesian approach is proposed to improve the credit scoring models. To achieve this, a data set is split into two sets, “old” data and “new” data. Priors are obtained from a model fitted on the “old” data. This model is assumed to be a scoring model used by a financial institution in the current location. The financial institution is then assumed to expand into a new economic location where there is limited data. The priors from the model on the “old” data are then combined in a Bayesian model with the “new” data to obtain a model which represents all the available information. The predictive performance of this Bayesian model is compared to a model which does not make use of any prior information. It is found that the use of relevant prior information improves the predictive performance when the size of the “new” data is small. As the size of the “new” data increases, the importance of including prior information decreases

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BRIGNONE, RICCARDO. « Moment based approximations for arithmetic averages with applications in derivative pricing, credit risk and Monte Carlo simulation ». Doctoral thesis, Università degli Studi di Milano-Bicocca, 2020. http://hdl.handle.net/10281/262926.

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In questa tesi consideriamo tre diversi problemi finanziari la cui soluzione è correlata alla media aritmetica di alcuni processi stocastici “mean-reverting”, la cui distribuzione è sconosciuta, impedendo calcoli espliciti ed esatti. Proponiamo approssimazioni basate sui momenti ed esaminiamo le applicazioni nell’ambito del pricing di derivati esotici, rischio di credito e simulazione Monte Carlo e dimostriamo che questo tipo di soluzione può essere molto utile in quanto in grado di ridurre il costo computazionale rispetto a metodi numerici alternativi, che sono usati come benchmark in questo lavoro. Il primo capitolo di questa tesi è dedicato a fornire un background teorico sulle approssimazioni basate sui momenti, inclusi alcuni fatti di base sul cosiddetto moment-problem, tecniche di approssimazioni comuni, insieme a una revisione della letteratura sull'uso dei momenti in finanza e illustrazioni numeriche. Nel secondo capitolo, proponiamo formule di approssimazione precise basate sui momenti per il prezzo delle opzioni asiatiche nel caso in cui il prezzo del sottostante sia un processo stocastico mean-reverting (con salti). Nel terzo capitolo introduciamo una metodologia efficiente, basata su moment matching, per la calibrazione dell'intensità di default, che è modellata attraverso un processo esponenziale di Ornstein-Uhlenbeck e applichiamo questo risultato al calcolo del Credit Value Adjustment (CVA) in presenza di Wrong Way Risk, nell’ambito di derivati sui tassi di interesse. Nel quarto capitolo, consideriamo il problema della simulazione dei modelli di volatilità stocastica. In letteratura sono stati proposti schemi di simulazione esatta per vari modelli, ma sono inefficienti dal punto di vista computazionale a causa della loro dipendenza dall'integrale del processo della varianza, che si presume generalmente sia mean reverting e la cui distribuzione è sconosciuta. In questo caso, mostriamo come calcolare i momenti di tale distribuzione sconosciuta e sviluppiamo una nuova metodologia di simulazione che risulta essere molto più veloce, dal punto di vista computazionale, rispetto agli schemi esatti, per un livello di precisione simile. Il capitolo finale è diverso dagli altri poiché i momenti trovano solo un'applicazione marginale. Consideriamo un modello “double exponential jump-diffusion” in cui l'intensità dei salti è un processo stocastico di tipo Hawkes. Questo tipo di dinamica è stata introdotta in letteratura al fine di modellare il fenomeno del “jump clustering”, ampiamente osservato nei mercati finanziari e delle materie prime. Deriviamo la funzione caratteristica dell'integrale dei log-rendimenti e troviamo formula per il pricing di opzioni asiatiche geometriche sotto tale modello.
In this thesis we consider three different financial problems whose solution is related to the arithmetic average of some mean reverting stochastic process, whose distribution is unknown, precluding explicit and exact computations. We propose moment based approximations and examine applications in exotic derivatives pricing, credit risk and Monte Carlo simulation and show that this kind of solution can be very useful as able to reduce the computational cost with respect to alternative numerical methods, which are used as benchmark throughout this work. The first chapter of this thesis is devoted to provide some theoretical background on moment based approximations, including some basic facts on the so-called \textit{moment problem}, common approximations techniques, together with a literature review on the usage of moments in finance and numerical illustrations. In the second chapter, we propose accurate moment based approximation formulas for the price of Asian options in the case where the underlying's price is a mean reverting (with jumps) stochastic process. In the third chapter we introduce an efficient methodology, based on moment matching, for the calibration of the default intensity, which is modeled through an exponential Ornstein-Uhlenbeck process and apply this result to the calculation of Credit Value Adjustment (CVA) in presence of wrong way risk for interest rates derivatives. In the fourth chapter, we consider the problem of simulating stochastic volatility models. Exact simulation schemes have been proposed in literature for various models, but are computationally inefficient due to their dependence on the integral of the variance process, which is generally assumed to be mean reverting and whose distribution is unknown. In this case, we show how to compute the moments of such unknown distribution and develop a new simulation methodology which turns out to be much faster, from a computational point of view, than exact schemes, for a similar level of accuracy. The final chapter is different from the others as moments find only marginal application. We consider a double exponential jump diffusion model where the jump intensity is a stochastic process of Hawkes type. This kind of dynamics has been introduced in literature in order to model jump clustering phenomenon, widely observed in financial and commodity markets. We derive the characteristic function of the integral of log-returns and price geometric Asian options under such model.

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Hager, Svenja. « Pricing portfolio credit derivatives by means of evolutionary algorithms ». Wiesbaden : Gabler, 2008. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016575308&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Camacho, Valle Alfredo. « Credit risk modeling in a semi-Markov process environment ». Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/credit-risk-modeling-in-a-semimarkov-process-environment(ad56ed0b-047f-44df-be68-6accef7544ff).html.

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In recent times, credit risk analysis has grown to become one of the most important problems dealt with in the mathematical finance literature. Fundamentally, the problem deals with estimating the probability that an obligor defaults on their debt in a certain time. To obtain such a probability, several methods have been developed which are regulated by the Basel Accord. This establishes a legal framework for dealing with credit and market risks, and empowers banks to perform their own methodologies according to their interests under certain criteria. Credit risk analysis is founded on the rating system, which is an assessment of the capability of an obligor to make its payments in full and on time, in order to estimate risks and make the investor decisions easier.Credit risk models can be classified into several different categories. In structural form models (SFM), that are founded on the Black & Scholes theory for option pricing and the Merton model, it is assumed that default occurs if a firm's market value is lower than a threshold, most often its liabilities. The problem is that this is clearly is an unrealistic assumption. The factors models (FM) attempt to predict the random default time by assuming a hazard rate based on latent exogenous and endogenous variables. Reduced form models (RFM) mainly focus on the accuracy of the probability of default (PD), to such an extent that it is given more importance than an intuitive economical interpretation. Portfolio reduced form models (PRFM) belong to the RFM family, and were developed to overcome the SFM's difficulties.Most of these models are based on the assumption of having an underlying Markovian process, either in discrete or continuous time. For a discrete process, the main information is containted in a transition matrix, from which we obtain migration probabilities. However, according to previous analysis, it has been found that this approach contains embedding problems. The continuous time Markov process (CTMP) has its main information contained in a matrix Q of constant instantaneous transition rates between states. Both approaches assume that the future depends only on the present, though previous empirical analysis has proved that the probability of changing rating depends on the time a firm maintains the same rating. In order to face this difficulty we approach the PD with the continuous time semi-Markov process (CTSMP), which relaxes the exponential waiting time distribution assumption of the Markovian analogue.In this work we have relaxed the constant transition rate assumption and assumed that it depends on the residence time, thus we have derived CTSMP forward integral and differential equations respectively and the corresponding equations for the particular cases of exponential, gamma and power law waiting time distributions, we have also obtained a numerical solution of the migration probability by the Monte Carlo Method and compared the results with the Markovian models in discrete and continuous time respectively, and the discrete time semi-Markov process. We have focused on firms from U.S.A. and Canada classified as financial sector according to Global Industry Classification Standard and we have concluded that the gamma and Weibull distribution are the best adjustment models.

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Cedeno, Yaxum, et Rebecca Jansson. « Modelling Credit Risk : Estimation of Asset and Default Correlation for an SME Portfolio ». Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149281.

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When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for calculating risk weighted assets (RWA). This formula is part of the Basel Accords and it is implemented in the legal system of all European Union member states. The key parameters of the RWA formula are probability of default, loss given default and asset correlation. Banks today have the option to estimate the probability of default and loss given default by internal models however the asset correlation must be determined by a formula provided by the legal framework. This project is a ﬁrst approach for Handelsbanken to study what would happen if banks were allowed to estimate asset correlation by internal models. We assess two models for estimating the asset correlation of a portfolio of Small and Medium Enterprices (SME). The estimates are compared with the asset correlation given by the regulatory formula and with estimates for another parameter called default correlation. The models are validated using predicted historical data and Monte-Carlo Simulations. For the studied SME portfolio, the models give similar estimates for the asset correlations and the estimates are lower than those given by the regulatory formula. This would imply a lower capital requirement if banks were allowed to use internal models to estimate the asset correlation used in the RWA formula. Default correlation, if not used synonymously with asset correlation, is shown to be another measure and should not be used in the RWA formula.
När banker lånar ut kapital till motparter tar de en risk, mer känt som kreditrisk som traditionellt har varit den största risken för banker. För att skydda sig mot potentiella förluster vid utlåning måste banker ha ett reglerat kapital som bygger på en formel för beräkning av riskvägda tillgångar (RWA). Denna formel ingår i Basels regelverk och är implementerad i rättssystemet i alla EU-länder. De viktigaste parametrarna för RWA-formeln är sannolikheten att fallera, förlustgivet fallissemang och tillgångskorrelation. Bankerna har idag möjlighet att beräkna de två variablerna sannolikheten att fallera och förlustgivet fallissemang med interna modeller men tillgångskorrelation måste bestämmas med hjälp av en standardformel givet från regelverket. Detta projekt är ett första tillvägagångssätt för Handelsbanken att studera vad som skulle hända om banker ﬁck beräkna tillgångskorrelation med interna modeller. Vi analyserar två modeller för att skatta tillgångskorrelation i en portfölj av Små och Medelstora Företag (SME). Uppskattningarna jämförs sedan med den tillgångskorrelation som ges av regelverket och jämförs även mot en parameter som kallas fallissemangskorrelation. Modellerna som används för att beräkna korrelationerna valideras med hjälp av estimerat data och Monte-Carlo Simuleringar. För den studerade SME portföljen ges liknande uppskattningar för de båda tillgångskorrelationsmodellerna, samt visar det sig att de är lägre än den korrelationen som ges av regelverket. Detta skulle innebära ett lägre kapitalkrav om bankerna ﬁck använda sig av interna modeller för att estimera tillgångskorrelation som används i RWA-formeln. Om fallissemangskorrelation inte används synonymt till tillgångskorrelation, visar det sig att fallisemangskorrelation är en annan mätning än tillgångskorrelation och bör inte användas i RWA-formeln.

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Papanastasiou, Dimitrios. « 3 essays on credit risk modeling and the macroeconomic environment ». Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/22014.

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In the aftermath of the recent financial crisis, the way credit risk is affected by and affects the macroeconomic environment has been the focus of academics, risk practitioners and central bankers alike. In this thesis I approach three distinct questions that aim to provide valuable insight into how corporate defaults, recoveries and credit ratings interact with the conditions in the wider economy. The first question focuses on how well the macroeconomic environment forecasts corporate bond defaults. I approach the question from a macroeconomic perspective and I make full use of the multitude of lengthy macroeconomic time series available. Following the recent literature on data-rich environment modelling, I summarise a large panel of 103 macroeconomic time series into a small set of 6 dynamic factors; the factors capture business cycle, yield curve, credit premia and equity market conditions. Prior studies on dynamic factors use identification schemes based on principal components or recursive short-run restrictions. The main contribution to the body of existing literature is that I provide a novel and more robust identification scheme for the 6 macro-financial stochastic factors, based on a set of over-identifying restrictions. This allows for a more straightforward interpretation of the extracted factors and a more meaningful decomposition of the corporate default dynamics. Furthermore, I use a novel Bayesian estimation scheme based on a Markov chain Monte Carlo algorithm that has not been used before in a credit risk context. I argue that the proposed algorithm provides an effcient and flexible alternative to the simulation based estimation approaches used in the existing literature. The sampling scheme is used to estimate a state-of-the-art dynamic econometric specification that is able to separate macro-economic fluctuations from unobserved default clustering. Finally, I provide evidence that the macroeconomic factors can lead to significant improvements in default probability forecasting performance. The forecasting performance gains become less pronounced the longer the default forecasting horizon. The second question explores the sensitivity of corporate bond defaults and recoveries on monetary policy and macro-financial shocks. To address the question, I follow a more structural approach to extract theory-based economic shocks and quantify the magnitude of the impact on the two main credit risk drivers. This is the first study that approaches the decomposition of the movements in credit risk metrics from a structural perspective. I introduce a VAR model with a novel semi-structural identification scheme to isolate the various shocks at the macro level. The dynamic econometric specification for defaults and recoveries is similar to the one used to address the first question. The specification is flexible enough to allow for the separation of the macroeconomic movements from the credit risk specific unobserved correlation and, therefore, isolate the different shock transmission mechanisms. I report that the corporate default likelihood is strongly affected by balance sheet and real economy shocks for the cyclical industry sectors, while the effects of monetary policy shocks typically take up to one year to materialise. In contrast, recovery rates tend to be more sensitive to asset price shocks, while real economy shocks mainly affect secured debt recovery values. The third question shifts the focus to credit ratings and addresses the Through-the- Cycle dynamics of the serial dependence in rating migrations. The existing literature treats the so-called rating momentum as constant through time. I show that the rating momentum is far from constant, it changes with the business cycle and its magnitude exhibits a non-linear dependence on time spent in a given rating grade. Furthermore, I provide robust evidence that the time-varying rating momentum substantially increases actual and Marked-to-Market losses in periods of stress. The impact on regulatory capital for financial institutions is less clear; nevertheless, capital requirements for high credit quality portfolios can be significantly underestimated during economic downturns.

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Vogliotti, Rodrigo. « Mensuração da exposição no momento do default (EAD) para derivativos de balcão através da simulação de Monte Carlo ». Universidade Presbiteriana Mackenzie, 2012. http://tede.mackenzie.br/jspui/handle/tede/627.

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The difficulty in developing a statistical model that includes random variables and the need for intensive data processing capacity are the main challenges for the measurement of counterparty credit risk. The need to know the exposure value at the time of default (EAD) on a derivative instrument is a decisive factor for pricing, portfolio management and capital allocation. Recent events such as the creation of innovative products, coming from the new Basel Accord (Basel II) and the credit crisis of 2007/08 reinforce the importance of knowing what the actual credit risk exposure in a particular transaction. The aim of this study was to develop models for measuring credit risk of the counterparty from the estimation of counterparty exposure to bonds, equities and forward contract through the use of Monte Carlo simulation. The results of the sensitivity analysis indicate that certain parameters such as the interest rate, the mean and standard deviation show strong linear correlation with exposure (EAD) and this issue can be an important driver for the decision-making process. In the model of forward contract was found that correlated random variables can potentiate the exposure value.
A dificuldade em desenvolver um modelo estatístico que contemple variáveis aleatórias e a necessidade de intensa capacidade para processamento de dados são os principais desafios para a mensuração do risco de crédito de contraparte. A necessidade em conhecer o valor da exposição no momento do default (EAD) em um instrumento derivativo é fator decisivo para a precificação, gestão do portfólio e alocação de capital. Recentes acontecimentos como a criação de produtos inovadores, o advindo do novo acordo de Basileia (Basileia II) e a crise de crédito de 2007/08 reforçaram a importância de se saber qual o risco de crédito efetivo que cada contraparte está exposta em uma determinada transação. O objetivo deste estudo foi desenvolver modelos para mensuração do risco de crédito da contraparte a partir da estimação da exposição da contraparte para títulos, ações e contrato a termo de ações através da utilização da simulação de Monte Carlo. Os resultados da análise de sensibilidade indicam que certos parâmetros como a taxa de juro, a média e o desvio padrão apresentam forte correlação linear com a exposição (EAD) calculada e podem ser importantes direcionadores para o processo decisório. No modelo de contrato a termo de ações foi verificado que variáveis aleatórias correlacionadas potencializam o valor da exposição.

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Callegaro, Giorgia. « Credit risk models under partial information ». Doctoral thesis, Scuola Normale Superiore, 2010. http://hdl.handle.net/11384/85658.

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This Ph.D. thesis consists of five independent parts (Introduction included) devoted to the modeling and to studying problems related to default risk, under partial information. The first part constitutes the Introduction. The second part is devoted to the computation of survival probabilities of a firm, conditionally to the information available to the investor, in a structural model, under partial information. We exploit a numerical hybrid technique based on the application of the Monte Carlo method and of optimal quantization. As an application, we trace the credit spreads curve for zero coupon bonds for different maturities, showing that (as in practice on the market) the spreads in the neighborhood of the maturity are not null, i.e., under partial information there is some residual risk on the market, even if we are close to maturity. Calibration to real data completes this second part. In the third part we deal, by means of the Dynamic Programming, with a discrete time maximization of the expected utility from terminal wealth problem, in a market where defaultable assets are traded. Contagion risk between the default times is modeled, as well as model uncertainty, by working under partial information. In the part devoted to numerics we study the robustness of the solution found under partial information. In the fourth part we are interested in studying the problem linked to the uncertainty of the investment horizon. In particular, in a complete market model subject to default risk, we solve, both with a direct martingale approach and with the Dynamic Programming, three different consumption maximization problems. More specifically, denoting by the default time, where is an exogenous positive random variable, we consider three problems of maximization of expected utility from consumption: when the investment horizon is fixed and equal to T, when it is finite, but possibly uncertain, equal to T ^, and when it is infinite. First we consider the general stochastic coefficients case, then, in order to obtain explicit results in the logarithmic and power utility cases, we pass to the constant coefficients case. Finally, in the fifth part we deal with a totally different problem, given that it is purely theoretical. In the context of enlargement of filtrations our aim is to retrieve, in a specific setting, the already known results on martingales’ characterization, on the decomposition of martingales with respect to the reference filtration as semi-martingales in the progressively and in the initially enlarged filtrations and the Predictable Representation Theorem. Some of these results were used in the fourth part of this thesis. The interest in this study is pedagogical: in our specific context most of the results are found more easily, by exploiting "basic" tools, such as Girsanov’s Theorem and by computing conditional expectations.

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Smith, Dorace F. « A study of characteristics that contribute to persistence of adult commuter students who earn 60 or more hours of college credit ». Virtual Press, 1999. http://liblink.bsu.edu/uhtbin/catkey/1117654.

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Researchers report the need for attrition and persistence studies of adult college students. While adults are enrolling in colleges in record numbers, high percentages are also dropping out. The majority of studies have been completed on 18 to 21 year-old traditional students who have different views, perspectives, and needs than adult students. The purpose of this study was to identify characteristics that have contributed to the persistence of adult commuter students who have earned 60 or more semester hours of college credit.The study was conducted at a midsize midwestern commuter college. The model of Bean and Metzner (1985) was used for the study. Evidence was gathered by in-depth, structured interviews of 20 college students who had completed 60 or more hours of college credit. Using a qualitative analysis, responses were transcribed and inserted in a prestructured case outline. Contact summary sheets, clusters, a frequency network, and two matrices were constructed to weigh the evidence, the characteristics that contributed to persistence, and to note the themes and patterns.The research indicated students varied by ethnicity, social class, and gender. Conclusions were that self-reliance was a characteristic of persistent students who assumed control for selecting courses, attending classes, and studying. Social support from outside or inside the university and a time commitment to college were important. Sufficient study skills, the discipline to study alone, and time management skills were also hallmarks of the successful students. The student's perception that the student was succeeding the first year of college appeared to be important. Beginning college at risk appeared to make only a slight difference in students at 60 or more hours of college.Implications were that administrators should educate students as to what characteristics contribute to success, and, when possible, provide characteristics of success so adult students persist to degree completion. Providing characteristics of success may promote persistence more than eliminating characteristics of dropouts. Recommendations were made for further gender, ethnic, socioeconomic, and developmental studies.
Department of Educational Leadership

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Montes, Juan Miguel. « Aspects of Affine Models in the Pricing of Exotic Options and in Credit Risk ». Doctoral thesis, Università degli studi di Padova, 2014. http://hdl.handle.net/11577/3423536.

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Affine jump-diffusion term structure models (AJTSMs) are recently receiving much attention in mathematical finance, because they often lead to a tractable analysis of the price distribution functions. This thesis concerns three aspects of mathematical finance, when applied to certain classes of AJTSMs. The first aspect concerns the pricing problem in the special case when the underlying process Xt is a Continuous-Time Markov Chain. For exotic options, where the claims are time or path dependent, prices can only be estimated by Monte-Carlo simulation, in most cases. We show that this computation is simplified by conditioning first on the number Nt,T of the jumps of the chain. A recursion is proposed to compute the expected discounted payoff given Nt,T=k; Monte Carlo is then used to average out the result over the distribution of Nt,T=k. This leads to a variance reduction by conditioning. We present results of numerical tests which indicate that the method often outperforms plain vanilla Monte Carlo for different kinds of claims. The second aspect concerns the calibration of a financial model by parameter estimation, when the underlying, a finite state Markov chain, is only partially observed through noisy asset prices. Here, we assume that the jumps of the asset price occurring at the jump-times of the Markov chain are observable as well. Such a model is a special case of the class of models treated in [FR10b]. Their parameter estimation can be addressed via the EM algorithm, following the approach by [EAM08] which, in the case of discrete-time chains, involves the Kalman filter. We extend this approach to to the case of CTMCs via the use of the Wonham filter. Our main contribution is the numerical approximation of the filters and smoothers in the EM algorithm. We compare the classical Euler and Milstein schemes to a new scheme, inspired by [PR10a], that we call a quasi-exact solution and is related to the splitting-up method of [BGR90] and [Gla92]. We prove that such a scheme is of strong convergence order at least 0.5, hence it performs at least as well as the Euler scheme. We present numerical evidence indicating that in fact, in certain cases the method outperforms both the Euler and the Milstein scheme. The third aspect concerns a unified framework for equity and credit risk modeling, with applications to risk management. Here we treat an affine jump-diffusion model with a single jump-to-default, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions between the defaultable underlying asset price, its stochastic volatility and the default intensity, while maintaining full analytical tractability. We characterize all risk-neutral measures which preserve the affine structure of the model and show that risk management as well as pricing problems can be dealt with efficiently by shifting to suitable survival measures. As an example, we consider a jump-to-default extension of the Heston stochastic volatility model. [FR10b] R. Frey and W. J. Runggaldier, Pricing credit derivatives under incomplete information: a nonlinear filtering approach., Finance and Stochastics 14 (2010), no. 4, 495–526. [PR10a] E. Platen and R. Rendek, Quasi-exact approximation of hidden markov chain filters., Communications on Stochastic Analysis 4 (2010), 129–142. [BGR90] A. Bensoussan, R. Glowinski, and A. Rascanu, Approximation of the zakai equation by the splitting up method, SIAM Journal of Control and Optimization 28 (1990), no. 6, 1420–1431. [Gla92] F. Le Gland, Splitting-up approximation for spde’s and sde’s with application to non-linear filtering, in: Stochastic Partial Differential Equations and Their Applications, Charlotte 1991, B. L. Rozovskii and R. B. Sowers, editors, Lecture Notes in Control and Information Sciences 176 (1992), 177–187.
Le strutture a termine affine con diffusione a salti (AJTSMs) stanno recentemente ricevendo molta attenzione in finanza matematica, perché spesso è semplice analizzare le funzioni di distribuzione ad esse associate. Questa tesi riguarda tre diversi aspetti della finanza matematica, applicati su certe classi di AJTSMs. Il primo aspetto riguarda il problema del prezzaggio, nel caso particolare in cui il processo sottostante Xt sia una Catena Markoviana a Tempo Continuo (CTMC). Per opzioni esotiche, dove il “claim”, cioè il “payoff” del derivato è dipende dal tempo oppure dalle traiettorie, solitamente i prezzi devono essere stimati attraverso simulazioni di tipo Monte Carlo. Mostriamo che, quando si condiziona prima sul numero Nt,T=k dei salti della catena, il calcolo di questa stima si semplifica. Viene proposta una ricorsione per calcolare il valore atteso del “payoff” scontato, dato Nt,T=k; in seguito si calcola il valore atteso del “payoff” rispetto alla distribuzione di Nt,T=k attraverso un metodo Monte Carlo. Questo condizionamento comporta una riduzione della varianza. Presentiamo i risultati di vari test numerici, che indicano che, per diversi tipi di “claims”, il metodo proposto supera spesso un semplice “vanilla” Monte Carlo. Il secondo aspetto riguarda la calibrazione, cioè la stima dei parametri di un modello finanziario, dove il processo sottostante (una Catena Markoviana finita) è solo parzialmente osservabile tramite i prezzi corrotti del titolo. In questo lavoro, assumiamo che anche i salti del prezzo del titolo corrispondenti ai tempi dei salti della catena Markoviana siano osservabili. Questo è un caso particolare della classe di modelli trattati in [FR10b]. I loro parametri possono essere stimati mediante l’algoritmo “expectation-maximization” (EM), seguendo l’approccio di [EAM08], che, nel caso delle catene a tempo discreto, coinvolge il filtro di Kalman. Estendiamo questo approccio al caso CTMC, usando invece il filtro di Wonham. Il contributo principale di questa parte della tesi è l’approssimazione numerica dei filtri e degli “smoothers” dell’algoritmo EM. Confrontiamo i classici metodi di Eulero e di Milstein con una nuova strategia, simile a [PR10a], che chiamiamo “soluzione quasi-esatta” e che è anche collegata al metodo di “splitting-up” di [BGR90] e [Gla92]. Dimostriamo che tale schema ha un ordine di convergenza forte di almeno 0.5 e che pertanto è almeno tanto efficace quanto lo schema di Eulero. Presentiamo alcuni risultati numerici che indicano che, di fatto, in certi casi il nuovo metodo converge più velocemente di entrambi i metodi di Eulero e di Milstein. Il terzo aspetto riguarda un quadro unificato per la modellazione del rischio di “equity” e “credit”, con applicazioni alla gestione del rischio. Trattiamo un AJTSM di un’azione con un’unica discontinuità (“jump-to-default”), dove il tempo di fallimento dell’azione è un tempo aleatorio doppiamente stocastico con intensità determinata da un sottostante processo affine. Questo approccio permette una piena trattabilità analitica pur lasciando flessibilità nel definire le interazioni tra il prezzo dell’azione fallibile, la volatilità stocastica e l’intensità del fallimento. Infine caratterizziamo tutte le misure di rischio neutrale che conservano la struttura affine del modello e mostriamo che sia la gestione del rischio che i problemi del prezzaggio possono essere trattati in modo efficiente passando a misure di sopravivenza appropriate. Come esempio, estendiamo il modello di volatilità stocastica di Heston considerando la possibilità di un “jump-to-default”. [FR10b] R. Frey and W. J. Runggaldier, Pricing credit derivatives under incomplete information: a nonlinear filtering approach., Finance and Stochastics 14 (2010), no. 4, 495–526. [PR10a] E. Platen and R. Rendek, Quasi-exact approximation of hidden markov chain filters., Communications on Stochastic Analysis 4 (2010), 129–142. [BGR90] A. Bensoussan, R. Glowinski, and A. Rascanu, Approximation of the zakai equation by the splitting up method, SIAM Journal of Control and Optimization 28 (1990), no. 6, 1420–1431. [Gla92] F. Le Gland, Splitting-up approximation for spde’s and sde’s with application to non-linear filtering, in: Stochastic Partial Differential Equations and Their Applications, Charlotte 1991, B. L. Rozovskii and R. B. Sowers, editors, Lecture Notes in Control and Information Sciences 176 (1992), 177–187.

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Oliveira, Adriano Dinis. « Aplicação da estatística bayesiana ao risco de crédito ». Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7712.

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Mestrado em Matemática Financeira
O cálculo de probabilidade de incumprimento de uma carteira de crédito é essencial para o cálculo dos requisitos de fundos mínimos dos bancos. No entanto, existem diversas circunstâncias em que a informação bancária não é suficiente, ou fiável, fazendo com que uma análise baseada apenas em dados históricos não seja apropriada. O objetivo principal deste projeto é o de desenvolver e implementar um modelo que seja capaz de incorporar a informação fornecida por um perito com a informação histórica de uma carteira de crédito. Para atingir o objetivo recorreu-se à estatística Bayesiana que permite incorporar, de forma coerente, as duas fontes de informação. O estudo recai sobre uma carteira de crédito de empresas de um banco português. Os resultados do projeto apontam para que o valor médio da probabilidade de incumprimento da função a priori e a posteriori sejam semelhantes, no entanto a função a posteriori tem uma menor dispersão. É também constatado que existe uma correlação temporal positiva apesar de não ser muito forte.
The calculation of probability of default of a loan portfolio is essential for computing the minimum capital requirements that banks need to keep. However, there are several circumstances in which bank data is scarce or not reliable, making historical data analysis not appropriate. The main goal of this project is to develop and implement a model able to incorporate information given by an expert and historical data. To pursue the main goal, we have used Bayesian statistics which allows coherent incorporation of both kinds of information (subjective and objective). This study analyses a commercial loan portfolio of a portuguese bank. The results indicate that the expected probability of default given by the expert is similar to the expected probability of default computed using the posteriori function. However, the posteriori function has lower dispersion than the priori. It is also found a weak positive correlation between time periods.

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Larsson, Julia, et Tyra Strandberg. « Optimization of Subscription Lines of Credit in Private Equity : An extensive analysis containing several Investment-, Bridge Facility- and Installment Strategies using Monte Carlo Simulations ». Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-184679.

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In recent years the use of subscription lines of credit has increased exponentially, from $86.1 millions (2014) to $5.3 billions (2018). The rapid growth of the phe- nomenon of private equity funds using subscription lines of credit when acquiring companies (instead of directly making capital drawdowns from investors), has poor academic coverage. The phenomenon has been claimed by previous research to be a return manipulation technique that only benefits the general partner of the fund. The aim with this research is to increase transparency and to create knowledge about the impact and effects of using subscription lines of credit for both parties involved in a private equity deal. An extensive model is built based on the formula of a Geometric Brownian Motion, different subscription lines of credit strategies are evaluated by the performance of the fund and the returns distributed to each party. This in order to optimize the usage for both parties involved in a private equity fund. The main result of this thesis is that private equity funds can achieve higher perfor- mance and increase the actual return distributed to both the limited partners and the general partner by using subscription lines of credit. These results go beyond previous research stating that using subscription lines of credit will increase the per- formance in terms of the measure Internal Rate of Return, without increasing the actual return distributed to the limited partners. Through this research strategies have been found that yield higher performance in terms of a several performance measures and at the same time increase the actual return made compared to the case of not using subscription lines of credit.

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Bujok, Karolina Edyta. « Numerical solutions to a class of stochastic partial differential equations arising in finance ». Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:d2e76713-607b-4f26-977a-ac4df56d54f2.

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We propose two alternative approaches to evaluate numerically credit basket derivatives in a N-name structural model where the number of entities, N, is large, and where the names are independent and identically distributed random variables conditional on common random factors. In the ﬁrst framework, we treat a N-name model as a set of N Bernoulli random variables indicating a default or a survival. We show that certain expected functionals of the proportion L_N of variables in a given state converge at rate 1/N as N [right arrow - infinity]. Based on these results, we propose a multi-level simulation algorithm using a family of sequences with increasing length, to obtain estimators for these expected functionals with a mean-square error of epsilon ² and computational complexity of order epsilon⁻², independent of N. In particular, this optimal complexity order also holds for the inﬁnite-dimensional limit. Numerical examples are presented for tranche spreads of basket credit derivatives. In the second framework, we extend the approximation of Bush et al. [13] to a structural jump-diﬀusion model with discretely monitored defaults. Under this approach, a N-name model is represented as a system of particles with an absorbing boundary that is active in a discrete time set, and the loss of a portfolio is given as the function of empirical measure of the system. We show that, for the inﬁnite system, the empirical measure has a density with respect to the Lebesgue measure that satisﬁes a stochastic partial differential equation. Then, we develop an algorithm to efficiently estimate CDO index and tranche spreads consistent with underlying credit default swaps, using a ﬁnite diﬀerence simulation for the resulting SPDE. We verify the validity of this approximation numerically by comparison with results obtained by direct Monte Carlo simulation of the basket constituents. A calibration exercise assesses the ﬂexibility of the model and its extensions to match CDO spreads from precrisis and crisis periods.

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LI, MIN. « TWO ESSAYS IN BAYESIAN PENALIZED SPLINES ». University of Cincinnati / OhioLINK, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1029342150.

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Zamboni, Sofia <1995&gt. « Chinese Social Credit System : the more we are watched, the better we behave (?) An analysis of the system’s historical evolution, regulatory framework and current implementation ». Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/16700.

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For the past five years, China has been working to establish a comprehensive rating system not only for its citizens, but also for Chinese businesses, social organizations, and government agencies. This system is known as the Social Credit System (社会信用体系shehui xinyong tixi, simply referred to as SCS) and its objective is to assess the “social trustworthiness” of the subjects involved. The system consists, on one hand of rewarding behaviors considered “trust-keeping” and punishing those considered “trust-breaking” on the other. Taking as starting point Jeremy Bentham’s work “The Panopticon”, a widely used metaphor for surveillance, the immediate objective of my work is to shed light on this system, starting with an analysis of surveillance practices adopted both in western countries (such as UK, US, and Italy) and in China (with references to the Chinese history). Therefore, to understand the mechanisms behind this system, attention will be given to the technologies implemented to carry out a radicalized control of society. In conclusion, some pilot programs will be taken as an example in the form of case studies in an attempt to better understand how the Chinese government is currently implementing the planned Social Credit System at the municipal level.

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Schneider, Paul, Leopold Sögner et Tanja Veza. « The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk ». Cambridge University Press, 2010. http://dx.doi.org/10.1017/S0022109010000554.

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Using an extensive cross-section of US corporate CDS this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based jump-diffusion model. Implied LGD is well identified, with obligors possessing substantial tangible assets expected to recover more. Sudden increases in the default risk of investment-grade obligors are higher relative to speculative grade. The probability of structural migration to default is low for investment-grade and heavily regulated obligors because investors fear distress rather through rare but devastating events. (authors' abstract)

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Ngoma, Wilson. « Towards a more flexible approach to the fraud exception in letters of credit under South African law : a comparative analysis with select common law approaches and the UNCITRAL Convention ». Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/15192.

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The aim of this dissertation is to recommend an alternative approach to the fraud exception in South African law. The Current South African position as with the English law, places more weight on upholding the sanctity of the autonomy principle in letters of credit than preventing fraud. This is mainly because the courts have traditionally taken the view that protection of the autonomy principle is central to promoting the needs of trade and maintaining the integrity of the international banking community. Hence, this dissertation argues that an approach to the fraud exception in South African law that is more in line with that of the American law and/or the UNCITRAL Convention strikes a better balance in upholding the value of letters of credit and combatting fraud than the current South African position. Based on the comparative analysis of the position in the United Kingdom, United States of America and under the UNCITRAL Convention, the dissertation seeks to draw upon important lessons and principles pivotal to a preferable approach to the fraud exception in South African law that would enhance a better balance between the autonomy arguments and deterrence of fraud.

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Sak, Halis. « Efficient Simulations in Finance ». Department of Statistics and Mathematics, WU Vienna University of Economics and Business, 2008. http://epub.wu.ac.at/1068/1/document.pdf.

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Measuring the risk of a credit portfolio is a challenge for financial institutions because of the regulations brought by the Basel Committee. In recent years lots of models and state-of-the-art methods, which utilize Monte Carlo simulation, were proposed to solve this problem. In most of the models factors are used to account for the correlations between obligors. We concentrate on the the normal copula model, which assumes multivariate normality of the factors. Computation of value at risk (VaR) and expected shortfall (ES) for realistic credit portfolio models is subtle, since, (i) there is dependency throughout the portfolio; (ii) an efficient method is required to compute tail loss probabilities and conditional expectations at multiple points simultaneously. This is why Monte Carlo simulation must be improved by variance reduction techniques such as importance sampling (IS). Thus a new method is developed for simulating tail loss probabilities and conditional expectations for a standard credit risk portfolio. The new method is an integration of IS with inner replications using geometric shortcut for dependent obligors in a normal copula framework. Numerical results show that the new method is better than naive simulation for computing tail loss probabilities and conditional expectations at a single x and VaR value. Finally, it is shown that compared to the standard t statistic a skewness-correction method of Peter Hall is a simple and more accurate alternative for constructing confidence intervals. (author´s abstract)
Series: Research Report Series / Department of Statistics and Mathematics

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Rezende, Gustavo de Magalhães. « Estimativas de LGD em portfólios de crédito simulados : análises comparativas ». Universidade Presbiteriana Mackenzie, 2011. http://tede.mackenzie.br/jspui/handle/tede/537.

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Fundo Mackenzie de Pesquisa
Basel II Accord will allow banks in Brazil to calculate their capital requirements using internal ratings based on the advanced IRB (Internal Rating-Based) approach, depending on their credit risk exposure. The main modeling components that must be estimated are the probability of default (PD), loss given default (LGD) and exposure at default (EAD). The aim of this dissertation is to estimate the parameter LGD using different models found in the literature in order to compare the obtained results. For that, the credit portfolios within this study will be simulated via Monte Carlo simulation, due to the difficulty in getting real losses data.
O acordo de Basileia II no Brasil vai permitir que os bancos utilizem modelos internos, na abordagem IRB avançada (Internal Rating-Based), que sirvam de base para o cálculo dos requisitos mínimos de capital em função do nível de exposição ao risco de crédito. Dentre os principais componentes estimados estão a probabilidade de default (PD probability of default), a perda dado o default (LGD loss given default) e a exposição no default (EAD exposure at default). Esta dissertação tem como objetivo realizar estimativas de LGD utilizando alguns modelos descritos na literatura e comparando os resultados obtidos. Para tanto, os portfólios de crédito do estudo serão simulados através de técnicas de Monte Carlo, dada a escassez de dados de perdas reais.

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Rahman, Dima. « The fragility of financial institutions : dependence structure, extremal behaviour and contagion ». Thesis, Paris 10, 2011. http://www.theses.fr/2011PA100128.

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Cette thèse se propose d’analyser la structure et la dynamique de dépendance de crédit des institutions financières aux Etats-Unis et en Europe durant la crise financière de 2008. Un premier chapitre présente une revue de la littérature des modèles multi-dimensionnels de crédit et des modèles économétriques de contagion financière. Ce chapitre a pour vocation de guider notre réflexion à la fois conceptuelle et méthodologique sur les hypothèses analytiques de la contagion ainsi que ses méthodes de mesure. Nous montrons que si la contagion est devenue une hypothèse centrale des modèles multivariés de risque de crédit, il n’en reste néanmoins que sa définition et sa quantification ne font pas l’objet de consensus dans la littérature. Un deuxième chapitre propose une analyse empirique des co-movements des rendements de CDS de banques et sociétés d’assurance américaines et européennes. La dissociation de leur structure de dépendance entre association linéaire et dépendances extrêmes nous permet de mettre en évidence des phénomènes d'interconnexions entre institutions financières apparues au courant de la crise et véhiculant ainsi sous l'effet de la contagion, un risque systémique croissant. Un dernier chapitre présente une interprétation économique des résultats obtenus dans notre deuxième chapitre. En particulier, nous cherchons à quantifier l'influence jouée par la contagion et les facteurs de risques communs sur la dynamique de dépendance extrême des institutions financières. Nous démontrons ainsi le rôle du risque de contrepartie, du risque de liquidité et du risque de défaut des institutions financières dans la transmission de la contagion sur le marché de CDS
This thesis examines the credit dependence structure and dynamics of financial institutions in the U.S. and Europe amid the recent financial crisis. A first chapter presents a survey of multi-name models of credit risk and econometric models of financial contagion with the purpose of guiding both the analytical and conceptual assumptions and econometric modelling techniques we use in the subsequent chapters. We show that if contagion has become a central cornerstone of multi-name models of credit risk, there is nonetheless a lack of consensus on the way to both define and measure it. A second chapter presents the results of an empirical analysis of U.S. and European banks and insurance companies’ CDS return extreme co-movements. By uncovering financial institutions' linear as well as extremal dependence structures, we provide evidence that their credit dependence has strengthened during the crisis, thereby effectively conveying, in the face of extreme tail events, potential systemic risks. A third and last chapter provides an economic rationale of the results presented in our second chapter. In particular, we examine the impact of common risk factors and contagion on the dynamics of financial institutions' extremal credit dependence. We demonstrate the role of counterparty risk and liquidity risk, as well the repricing by market participants since July 2007 of their jump-to-default premia as additional channels driving financial institutions' increased dependence and amplifying contagion on the CDS market

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Guerra, Renata Rojas. « MODELO BETA AUTORREGRESSIVO DE MÉDIAS MÓVEIS : CRITÉRIOS DE SELEÇÃO E APLICAÇÕES ». Universidade Federal de Santa Maria, 2015. http://repositorio.ufsm.br/handle/1/8336.

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Time series modeling and forecasting has many applicability in scientific and technological researchs. Specifically about variables restricted to the interval (0; 1), which includes rates and proportions, the classical regression models could not be suitable because they assume normality. In this context, Rocha and Cribari-Neto (2009) proposed the beta autoregressive moving average (βARMA) model. It admits that the variable of interest is beta distributed. The beta distribution is more flexible than the normal distribution and also assumes that de dependent variable is restricted to the interval (0; 1). Through βARMA is possible to obtain results closer to the nature of the data. But just choose the better parametric model does not guarantee the accuracy of the fitted model. To identify the lags is also relevant to ensure the accuracy of the adjusted model. It is in this purpose that the model selection criteria, or information criteria, were developed. They compare the explanatory capacity of a group of models and select, among this group, the model which minimizes the information loss. In this context, this paper aims to evaluate by Monte Carlo simulations the performance of different selection criteria in βARMA model. Considering several scenarios and sample sizes, the selection criteria evaluated was AIC, BIC, HQ, AICc, BICc and HQc. The results indicate that BICc, HQ and HQc had the better performance identifying the true model among the candidate models. Using the selection criteria indicated by the simulation study, were also adjusted βARMA models to real data. It were considered the credit delinquency and the relationship between payroll loan and individual credit, both variables are from national financial system. It was adjusted the classical ARIMA models too. This models were compared with βARMA in applications. For both variables was found a reasonable proximity between the original data and the predicted by the models, with advantage for βARMA, as much inside as outside the sample.
A modelagem e a previsão de séries temporais é um campo de ampla aplicabilidade em diversas áreas científicas e tecnológicas. No âmbito específico de variáveis restritas ao intervalo (0; 1), como taxas e proporções, a utilização de modelos clássicos, que supõem normalidade da variável de interesse, pode não ser adequada. Neste contexto, Rocha e Cribari-Neto (2009) propuseram o modelo beta autorregressivo de médias móveis (β ARMA). Por assumir que a variável de interesse possui distribuição beta, que é uma distribuição mais flexível que a normal e com suporte restrito ao intervalo (0; 1), o βARMA possibilita modelagens e previsões mais condizentes com a natureza desses dados. Contudo, apenas a escolha do modelo paramétrico mais adequado não garante a acurácia do modelo ajustado. A identificação das defasagens a serem incluídas também exerce um papel de relevância neste sentido. É neste propósito que foram desenvolvidos os critérios de seleção de modelos, ou critérios de informação. Estes comparam as capacidades de explicação entre um grupo de modelos candidatos e selecionam, dentro deste grupo, o modelo que minimiza a perda de informações. Diante do exposto, este trabalho tem o objetivo de avaliar, via simulações de Monte Carlo, o desempenho de diferentes critérios de seleção no modelo βARMA. Por meio de um extenso estudo de simulação, considerando diversos cenários e tamanhos amostrais, foram avaliados os desempenhos em amostras de tamanho finito dos critérios AIC, BIC, HQ, AICc, BICc e HQc. Como resultados numéricos gerais, destaca-se que os critérios HQ, BICc e HQc foram os que alcançaram os melhores níveis de identificação do modelo verdadeiro. Utilizando os critérios de seleção sugeridos no estudo de simulação também foram ajustados modelos βARMA a dados reais. Para isso, foram considerados o índice de inadimplência de crédito e a relação entre o crédito consignado e o crédito total pessoa física, ambos do Sistema Financeiro Nacional. Também foram ajustados os clássicos modelos ARIMA comparativamente ao modelo βARMA na realização de previsões e posterior comparação entre os resultados de ambas as aplicações. Para as duas variáveis há um grau razoável de proximidade entre os dados originais e previstos, com superioridade do βARMA tanto dentro quanto fora do conjunto de observações utilizado para estimação dos modelos.

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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 explicites
In 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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Turnour, Matthew Dwight. « The stewardship paradigm : an enquiry into the ethical obligation associated with being in control of resorces ». Thesis, Queensland University of Technology, 1999. https://eprints.qut.edu.au/35810/1/35810.pdf.

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The resource allocation and utilization discourse is dominated by debates about rights particularly individual property rights and ownership. This is due largely to the philosophic foundations provided by Hobbes and Locke and adopted by Bentham. In our community, though, resources come not merely with rights embedded but also obligations. The relevant laws and equitable principles which give shape to our shared rights and obligations with respect to resources take cognizance not merely of the title to the resource (the proprietary right) but the particular context in which the right is exercised. Moral philosophy regarding resource utilisation has from ancient times taken cognizance of obligations but with ascendance of modernity, the agenda of moral philosophy regarding resources, has been dominated, at least since John Locke, by a preoccupation with property rights; the ethical obligations associated with resource management have been largely ignored. The particular social context has also been ignored. Exploring this applied ethical terrain regarding resource utilisation, this thesis: (1) Revisits the justifications for modem property rights (and in that the exclusion of obligations); (2) Identifies major deficiencies in these justifications and reasons for this; (3) Traces the concept of stewardship as understood in classical Greek writing and in the New Testament, and considers its application in the Patristic period and by Medieval and reformist writers, before turning to investigate its influence on legal and equitable concepts through to the current day; 4) Discusses the nature of the stewardship obligation,maps it and offers a schematic for applying the Stewardship Paradigm to problems arising in daily life; and, (5) Discusses the way in which the Stewardship Paradigm may be applied by, and assists in resolving issues arising from within four dominant philosophic world views: (a) Rawls' social contract theory; (b) Utilitarianism as discussed by Peter Singer; (c) Christianity with particular focus on the theology of Douglas Hall; (d) Feminism particularly as expressed in the ethics of care of Carol Gilligan; and, offers some more general comments about stewardship in the context of an ethically plural community.

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Valeria, Ferretti, Yves Masson Jean, Bernsen Michael et MICHELA LANDI. « La traduzione di un'oralità popolare mitica : Louis-Ferdinand Céline in italiano ». Doctoral thesis, 2015. http://hdl.handle.net/2158/1002420.

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La nostra tesi dal titolo "La traduzione di un'oralità popolare mitica: Louis-Ferdinand Céline in italiano" ha per oggetto la ritraduzione del romanzo Mort à crédit di L.-F. Céline. Dopo una breve introduzione generale trattiamo, nella prima parte della tesi, lo sviluppo degli studi traduttologici degli ultimi decenni soffermandoci in particolare sulla portata della ritraduzione delle opere letterarie. Nella seconda parte della tesi, dopo aver ripercorso il contesto storico e culturale in cui emerge il primo periodo della genesi romanzesca dell'epopea celiniana, concentriamo la nostra attenzione su alcuni aspetti della poetica dell'autore. Ci basiamo, in particolare, sulle numerose testimonianze lasciate dall'autore (lettere ad amici, traduttori, colleghi, articoli giornalistici, saggi, registrazioni audio/video, estratti di suoi romanzi) che abbiamo raccolto lungo il nostro percorso di studi, in Italia e all'estero. Inoltre, tentiamo di approfondire la questione, ormai leggendaria, della cosiddetta “petite musique” celiniana attraverso l'esempio delle trasposizioni traduttive e delle riscritture/interpretazioni teatrali di artisti francesi contemporanei che si sono preoccupati di restituire l'aspetto performativo dello stile celiniano. Anche se si tratta di approcci diversi tra loro, tutte le testimonianze artistiche pongono infatti l'accento su un comune denominatore: la gestualità – nonché l'oralità - insita nella scrittura del romanziere. Nella parte finale del lavoro, metteremo a confronto due versioni italiane di Mort à crédit appartenenti rispettivamente al poeta Giorgio Caproni e a Giuseppe Guglielmi, traduttore quest'ultimo, di altri romanzi celiniani. Tale confronto sarà accompagnato dalla nostra personale proposta traduttiva. Questi documenti sono la testimonianza di uno spaccato storico della lingua italiana nonché della sensibilità di due letterati che non senza difficoltà hanno voluto ri-creare il mito della “petite musique” celiniana. Abbiamo inoltre ritenuto opportuno riprodurre in appendice una parte del dattiloscritto della versione integrale di Guglielmi gentilemente concessa dagli eredi e da noi fotocopiata e analizzata. È importante segnalare che il documento è ad oggi inedito. Our thesis relates to the italian retranslation of the novel Mort à crédit of L.-F. Céline. After a brief general introduction, the first part of the thesis deals with the development of translation studies in recent decades, focusing on the re-translation of literary works. In the second part of our thesis, after having outlined the historical and cultural context in which the the genesis of the first Louis-Ferdinand Céline's novels takes place, we focus our attention on certain aspects of the poetics of the author. We rely in particular on the many documents left by the author (letters to friends, translators and colleagues, newspaper articles, essays, audiovisual interviews, extracts of his novels) that we have collected along our study course, in Italy and abroad. In addition, we try to figure out the question, now legendary, of the so-called Céline "petite musique", even by giving examples of theatrical transpositions of contemporary French artists who have bothered to perform Céline's style. Although their approaches are different to each other, all the creations stress emphasis on a common denominator: the gestures - and orality – behind the writing of the novelist. In the final part of our work, we will compare two italian versions of Mort à crédit belonging respectively to the poet Giorgio Caproni and Giuseppe Guglielmi. This comparison will be accompanied by our personal translation's proposal. Their translations proof the historical importance of Italian language as well as the sensitivity of two intellectuals who did not easily re-create the myth of the Céline "petite musique". We have also add in the annex a small part of the typescript of Guglielmi kindly granted by the heirs that we photocopied and analyzed. It is important to note that this document is unpublished to date.

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Havelka, Robert. « Monte Carlo simulation of Counterparty Credit Risk ». Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-332617.

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The counterparty credit risk is particularly hard to simulate and this thesis is only the second work so far, which considers effective simulation of couterparty risk. There are two new approaches to stochastic modelling, which are useful with respect to ef- ficient simulation of counterparty risk. These are Path-Dependent Simulation (PDS) and Direct-Jump to Simulation date (DJS). It had been show that DJS is far more ef- fective, when it comes counterparty risk simulation of path-independent derivatives. We focus on a portfolio of interest rate swaps, which are effectively path-dependent. DJS approach yields estimates with much lower variance than PDS approach. But as expected, the DJS is also much more computationally intensive. The increase in computing time in majority of cases wipes out any gains in lower variance and PDS approach is shown to be more effective, when computing time is taken into account. We also show that in practice the convergence rate of Monte Carlo method signif- icantly underestimates the true reduction in variance, which can be achieved with increasing number of scenarios. JEL Classification C02, C15, C63, G01, G12, G32 Keywords Monte Carlo, CVA, Exposure, Variance Author's e-mail robberth.cz@gmail.com Supervisor's e-mail boril.sopov@gmail.com

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Lee, Yi-hsi, et 李宜熹. « Monte Carlo Methods for Multifactor Portfolio Credit Risk ». Thesis, 2010. http://ndltd.ncl.edu.tw/handle/76349278397107737529.

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博士
國立中山大學
財務管理學系研究所
98
This study develops a dynamic importance sampling method (DIS) for numerical simulations of rare events. The DIS method is flexible, fast, and accurate. The most importance is that it is very easy to implement. It could be applied to any multifactor copula models, which conduct by arbitrary independent random variables. First, the key common factor (KCF) is determined by the maximum value among the coefficients of factor loadings. Second, searching the indicator by the order statistics and applying the truncated sampling techniques, the probability of large losses (PLL) and the expected excess loss above threshold (EELAT) can be estimated precisely. Except for the assumption that the factor loadings of KCF do not exit zero elements, we do not impose any restrictions on the composition of the portfolio. The DIS method developed in this study can therefore be applied to a very wide range of credit risk models. Comparison of the numerical experiment between the method of Glasserman, Kang and Shahabuddin (2008) and the DIS method developed in this study, under the multifactor Gaussian copula model and the high market impact condition (the factor loadings of marketwide factor of 0.8), both variance reduction ratio and efficient ratio of the DIS model are much better than that of Glasserman et al. (2008)’s. And both results approximate when the factor loadings of marketwide factor decreases to the range of 0.5 to 0.25. However, the DIS method is superior to the method of Glasserman et al. (2008) in terms of the practicability. Numerical simulation results demonstrate that the DIS method is not only feasible to the general market conditions, but also particularly to the high market impact condition, especially in credit contagion or market collapse environments. It is also noted that the numerical results indicate that the DIS estimators exit bounded relative error.

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Bourque, Réjean. « Style, narration et communication dans Mort à credit ». Thèse, 1986. http://constellation.uqac.ca/1656/1/1445771.pdf.

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Pearlston, Karen. « For the more easy recovery of debts in His Majesty’s plantations : credit and conflict in Upper Canada, 1788-1809 ». Thesis, 1999. http://hdl.handle.net/2429/9305.

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This thesis is concerned with the relationship between creditor/debtor law and broader political, economic, and social relations in Upper Canada before 1812. The research reviews the history of credit relations in early Upper Canada through a critical reassessment of both the historiographic debates and available primary legal and archival sources. Recent historical writing, in seeking out the community based nature of creditor/debtor relations has often tended to overlook the extent to which social, political, and economic conflicts were also played out in the arena of credit and debt. In early Upper Canada, matters relating to credit and debt were not infrequently the focus of conflicts about constitutionalism and the rights of colonial subjects. The thesis argues for a re-framing of the study of creditor/debtor relations to take account of the overall context of economic inequality. Feminist historical and theoretical work is drawn upon to expand conventional understandings of the economic, and to argue that local or communal based relations are not always consensual. The thesis draws a connection between social inequality, political repression, constitutional politics and the private law of property, credit, and debt. It asserts that early Upper Canadian creditor/ debtor relations were expressive of the struggle over the kinds of institutions that would represent the new polity, and of a sensibility among at least some portion of the population that the rule of law should apply to a wider range of people than those who made up the elite. It is found that the role of certain financial instruments and the contents of certain court records has been misunderstood. These findings change our understanding of the 1794 court reforms in Upper Canada, which established an English-style Court of King's Bench. It is also found that debtor/creditor law, in particular the seizure of land for debt in Upper Canada (a remedy that was not available in England) impacted upon the constitutional politics of the time.

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Chen, Ya-Hui, et 陳雅惠. « Application of Markov Chain Monte Carlo to Structural Credit Risk Model ». Thesis, 2008. http://ndltd.ncl.edu.tw/handle/7746cq.

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碩士
銘傳大學
財務金融學系碩士班
96
In the recent years, many companies in Taiwan face financial distress, and therefore the early-warning ability of credit risk becomes the key determinant of operational performance of financial institutions. However, the prior studies about the structural credit risk models typically calibrating asset volatility from the observed volatility of equity always ignored time-variation in equity volatility, and could result in unrealistic parameter estimates and asset mispricing. Some subsequent studies incorporating pricing errors and parameter uncertainty in maximum likelihood method are feasible. Nevertheless, the maximum likelihood method is computationally slow as it relies on high-dimensional optimization, and resorts to asymptotic approximations for standard errors and can also suffer from unrealistic in practice. Based Markov Chain Monte Carlo (MCMC) methods, this study can easily obtain the parameters from posterior distributions without resorting to asymptotic approximations, and prices on multiple securities for state variable dynamics can be simultaneously estimated leading to tighter parameter estimates. In short, this study can provide an easier computation process and more accurate results in the field of empirical research. Furthermore, the KMV(1995) model with exogeneous default point and Leland(1994) with endogeneous bankruptcy threshold are two popular credit risk models today. This study therefore will employ MCMC methods estimate the parameters of Leland model, and then compare the two expected default probabilities. Finally, the optimal credit risk model for Taiwan listed-stock firms will be found. Our empirical results indicate that Leland model think that tax and bankruptcy cost will influence the market value of the firm’s assets and employ MCMC method estimate the parameters. Leland model combine with MCMC method will provide more powerful ability to discriminate high default risk firms from low default risk firms, and also can signal the early warning signs before the credit events effectively.

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Ye, Shang Shin, et 葉尚鑫. « Pricing American credit default swap options with least-square monte carlo simulation ». Thesis, 2007. http://ndltd.ncl.edu.tw/handle/76515671584425459378.

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碩士
國立政治大學
金融研究所
96
The most liquid European CDS options are usually of short maturities. This may result from that options with longer maturity have to bear more default risk of the reference company. American CDS options allow the holders to exercise options before option matures so that they can focus on spread movements without worrying about default risk. In this paper, we price American CDS options with one-period CDS spread model presented by Brigo (2004). The primary advantage of this model is that it is similar to LIBOR market model in interest rate theory. Therefore, path-dependent CDS-related products can be easily priced with familiar ideas.

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Liu, Chao-yuan, et 劉兆袁. « The Study of the Counterparty Credit Risk Exposure -- Quantifying Potential Future Exposure by Monte Carlo Simulation Method and Compiling Credit Convention Factors ». Thesis, 2012. http://ndltd.ncl.edu.tw/handle/437mc3.

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碩士
國立臺灣科技大學
財務金融研究所
100
Due to the blooming development in the international financial derivatives market and the more complex transactions, the range of the influence from the counterparty credit risk became more extensive. In 2007~2008 the global financial crisis wreaked havoc through financial markets worldwide, and many well-known large financial institutions such as Bear Stearns, Lehman Brothers and AIG with the investment rating also have had to file for bankruptcy or asked for the bailout. And let international financial market participants and supervisory authorities gradually pay more attention on counterparty credit risk management issues. This study focuses on understanding the method of the counterparty credit risk management and analyzing the evaluation of the counterparty credit risk exposure as well as setting a more efficient mechanism to manage the counterparty credit risk. First, we collect the historical market data of the risk factors that will influence the exposure of the OTC derivatives and make choice of models for the risk factors. We use Monte Carlo simulation method and choose an appropriate probability distribution of the risk factor to quantify the worst exposure (The worst-case gain) of the OTC derivatives (quantify maximum potential future exposure, Maximum PFE). Then, according to the maturity of the contracts, we summarize the outcome of the Maximum PFE simulation and compile the credit convention factor tables which are typically generic tables that can be used for derivatives trading purpose or risk controlling purpose. In this study, we have simulated the Maximum PFE of several types of OTC derivatives and compiled the credit convention factor tables listed as below： 1.Foreign exchange rate derivatives：(1) FX Forward：13 different currency pairs, (2) FX Option Call / Put (at the money)：15 different currency pairs. 2.Interest rate derivatives：(1) Interest Rate Swap：6 different currency interest rate indexes, (2) Cross Currency Swap：3 different currency pairs. 3. Equity derivatives：8 major market indices. Finally, we illustrate the add-on method for estimating the contract-level PFE and exposure using examples of the OTC derivatives contracts and demonstrate how to manage and control counterparty credit risk exposure with a specific counterparty. Then, we compare the exposure estimates under the CCF tables of the BaselⅡ clause and the compiled CCF tables of this study to the same contract of derivatives in current exposure method (CEM). The results do however give some insight into the dynamics of the two different CCF tables for calculating exposure at default (EAD). The conclusion of the study can provide the financial institutions which trades in the OTC derivatives market with a simple approximation in an attempt to measure their exposure to counterparty credit risk more easily and efficiently. In addition, by updating the market data and simulating the PFE of the OTC derivatives frequently (quarterly or semi-yearly), the financial institutions which have adopted the mechanism can enhance their assessment of counterparty credit risk exposure much closer to the current financial market trends.

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Lin, Uei, et 林蔚. « Which Method Is More Powerful in Predicting Crisis Company in Taiwan ? Re-comparing Credit Scoring & ; Option Pricing ». Thesis, 2005. http://ndltd.ncl.edu.tw/handle/51616215903369562782.

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碩士
國立中正大學
財務金融所
93
According to the policy of authority, there were more and more M&A between financial institutions in past few years which were never happened before. In the end, there were fourteen financial holding companies. However, the competition between financial institutions is still heat. At this situation, the profit margin of the practitioners is going thinner and thinner. To overcome it, practitioners need to put emphasis on evaluating credit risk of their customers. Predicting crisis companies is one important issue of evaluating credit risk. Keep improving model of predicting crisis companies comes an never stopping work for practitioners. Our research is focus on model of predicting crisis companies. In this research we try to find out which model is more powerful on predicting crisis companies through comparing credit-scoring method and option-pricing method. We use Altman Z-score model to represent credit-scoring method and the EDF of Moody’s KMV Credit Monitor to represent option-pricing method. Then we use intra-cohort analysis to inspect the relative predicting power of these two indexes and logit regressions to find out which index is the much more efficiency equipment on predicting crisis companies. For the companies which are filed to crisis companies in the coming year, we couldn’t identify which index is the relative powerful predictor through the empirical result of intra-cohort analysis. Even we control one of them, the other one still contributes its predicting information. The result of logit regressions point that EDF could file the companies correctly at 86.4% better than that of Z-Score at 70.1%. We would like to say that EDF is a new and powerful index of option-pricing method which consists with the research of Miller（1998）and Kealhofer and Kurbat（2001）and also effect in Taiwan area.

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Naji, Almassi Ali. « Credit Value Adjusted Real Options Based Valuation of Multiple-Exercise Government Guarantees for Infrastructure Projects ». Thesis, 2012. http://hdl.handle.net/1807/35736.

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Public-Private-Partnership (P3) is gaining momentum as the delivery method for the development of public infrastructure. These projects, however, are exposed to economic risks. If the private parties are not comfortable with the level of the risks, they would not participate in the project and, as a result, the infrastructure will most likely not be realized. As an incentive for participation in the P3 project, private parties are sometimes offered guarantees against unfavorable economic risks. Therefore, the valuation of these guarantees is essential for deciding whether or not to participate in the project. While previous works focused on the valuation of guarantees, the incorporation of credit risk in the value of the P3 projects and the guarantees has been neglected. The effect of credit risk can be taken into account by using the rigorous Credit Value Adjustment method (CVA). CVA is a computationally demanding method that the valuation methods currently in the literature are not capable of handling. This research offers a novel approach for the valuation of guarantees and P3 projects which is computationally superior to the existing methods. Because of this computational efficiency, CVA can be implemented to account for credit risk. For the development of this method, a continuous stochastic differential equation (SDE) is derived from the forecasted curve of an economic risk. Using the SDE, the partial differential equation (PDE) governing the value of the guarantees will be derived. Then, the PDE will be solved using Finite Difference Method (FDM). A new feature for this method is that it obtains exercise strategies for the Australian guarantees. The present work extends the literature by providing a valuation method for the cases that multiple risks affect P3 projects. It also presents an approach for the valuation of the Asian style guarantee, a contract which reimburses the private party based on the average of risk factor. Finally, a hypothetical case study illustrates the implementation of the FDM-based valuation method and CVA to obtain the value of the P3 project and the guarantees adjusted for the counterparty credit risk.

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Ю, Кирилова І. « Управління кредитним ризиком комерційного банку з використанням VaR-моделі (на прикладі ПАТ «УкрСиббанк») ». Thesis, 2019. http://dspace.oneu.edu.ua/jspui/handle/123456789/11162.

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У роботі розглядаються теоретичні аспекти управління ризиком кредитного портфеля банку, розглянуто сутність та класифікацію кредитного ризику; досліджено методику, інструментарій управління ризиком кредитного портфелю банку та особливості кредитної діяльності банку. Проаналізовано якість та структуру кредитного портфелю банку та проведено оцінку ризику кредитного портфелю з застосуванням VaR моделі через Monte Carlo; Запропоновано рекомендації щодо впровадження VaR моделі через Monte Carlo для оцінки кредитних ризиків банку та пропозиції щодо розробки кредитної політики банку з урахуванням системи можливих ризиків.
The paper considers theoretical aspects of managing a bank's credit portfolio, in particular, the nature and classification of credit risk; the methodology, risk management tools of the bank loan portfolio and the peculiarities of the credit activity of the bank has been investigated. The quality and structure of the bank’s loan portfolio has been analyzed and credit portfolio has been assessed using VaR model via Monte Carlo; The paperwork is proposing the following recommendations regarding credit risk assessment in the commercial bank: credit risk measuring via VaR model through Monte Carlo and taking into account the system of possible risks in the process of developing credit policy of the bank.

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Thèses sur le sujet « Morte a credito »

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