Essays On Credit Risk And Portfolio Choice
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Essays On Credit Risk And Portfolio Choice
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Author : Oussama Chakroun
language : en
Publisher:
Release Date : 2008
Essays On Credit Risk And Portfolio Choice written by Oussama Chakroun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Essays On Consumer Portfolio And Credit Risk
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Author : Tingting Ji
language : en
Publisher:
Release Date : 2004
Essays On Consumer Portfolio And Credit Risk written by Tingting Ji and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bankruptcy categories.
Abstract: Three essays comprise this dissertation. The first essay uses panel data to show that labor income risk alone cannot explain limited stock market participation. However, transaction costs and household demographics, considered jointly, can determine both the discrete choice of whether to hold stock and the amount held, conditional on whether the household is already investing in the stock market. Transaction costs are proxied by state-level number of brokers per capita. The second essay builds on the first essay. I measure two different covariance terms. One is between self-evaluated house value and uninsurable labor income risk. The other is between housing investment return and stock return. The results show that homeownership has a diversification effect on stock holdings. This effect occurs because adding a house to the household portfolio can significantly decrease the overall risk of the portfolio. The last essay empirically shows that unemployment is significant in determining both consumer bankruptcy filings and delinquency even after controlling for household demographics. Furthermore, I show that unemployment and the debt/wealth ratio also affect the choice of whether to file for bankruptcy under chapter 7 or chapter 13, after controlling for demographics. The paper then points out some of the implications the empirical results have for policy-makers and banking regulators.
Essays In Credit Portfolio Management
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Author : June Ho Kim
language : en
Publisher:
Release Date : 2012
Essays In Credit Portfolio Management written by June Ho Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Banks often seek to reduce the default risk exposure associated with their corporate loan portfolios by entering into credit derivative positions. Asset managers seek additional yield through single and multi-name credit derivatives, and must also manage their credit exposures according to disciplined and systematic risk-return analysis. This thesis explores the portfolio selection and risk measurement problem for credit sensitive financial instruments. In comparison to its equity counterpart, the fixed-income portfolio problem presents unique challenges: the risk of issuer default induces skewed return distributions, the correlation of defaults influences the tail of the portfolio return distribution, and credit derivative positions have complex risk-return implications. The first part of this dissertation addresses the static selection problem for a fixed-income portfolio of credit sensitive securities. We optimize the total mark-to-market value of the portfolio at the investment horizon. This value incorporates the intermediate premium and default cash flows of long and short cash and derivative positions, and the survival-contingent market value of these positions at the horizon. The selection problem is cast as a polynomial goal program that involves a two-stage constrained optimization of preference weighted moments of the portfolio mark-to-market. The decision variable is the vector of contract notionals. A capital constraint guarantees the solvency of the investor. The multi-moment formulation addresses the non-Gaussian distribution of the portfolio mark-to-market. It is also computationally tractable, because we obtain analytical expressions for the moments of the portfolio mark-to-market, which are given in terms of nested expectations under risk-neutral and actual probability measures. The expressions are valid for a broad class of intensity-based, doubly-stochastic models of correlated default timing that are widely used in portfolio credit risk and derivatives pricing. Numerical results illustrate the implications for portfolio selection of idiosyncratic default risk and default correlation. They also indicate the robustness of the optimal policies with respect to estimation errors. Although higher moments provide important characterizations of the portfolio risk profile, investment managers often need to compute specific tail percentiles of the profit and loss distribution. In the second part of the thesis we develop an analytical approximation for this distribution. The approximation is based on a small-time expansion of a transform of the portfolio value. The analytical characterization permits tractable computations of Value-at-Risk, and Value-at-risk constrained optimal portfolio selections.
Four Essays On Finance
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Author : Sebastian Ostrowski
language : en
Publisher:
Release Date : 2012
Four Essays On Finance written by Sebastian Ostrowski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Finance categories.
This dissertatation focuses on different aspects in finance, in particular credit risk and dividends. Although the fields under study are broad and only hardly connected, one main concept is more ore less evident in all essays, namely risk. Risk is a key figure in nearly all fields of finance, ranging from the Markowitzian portfolio selection, where the risk and return trade-off of single stocks is considered to construct efficient portfolios, over Macaulay duration, where interest rate risk is considered in the risk management of bonds, to the valuation of derivative contracts, where (basically) stochastic price processes of underlying assets reflect a main risk factor in the basic valuation model introduced by Black, Scholes and Merton.
Essays In Portfolio Credit Risk
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Author : Zhen Wu
language : en
Publisher:
Release Date : 2007
Essays In Portfolio Credit Risk written by Zhen Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
This thesis addresses several problems in credit risk. We first consider an estimation problem for a dynamic default model with discrete market observations. In the dynamic model, all the marginal defaults follow intensity based models, and default barriers are linked by a copula function; in this manner individual defaults are modeled separately from joint defaults. Our estimation procedure leverages off of this structure: in the first step we estimate the parameters of default rates; and in the second step we estimate the parameters of the copula function. The second problem we discuss in this thesis is the formulation of dynamic joint default models. In our models obligors may belong to different seniority classes and defaults can happen any time before maturity. We derive asymptotes for the probability of large default losses in a heterogeneous credit portfolio. To improve estimation accuracy of the probability of large losses in moderate sized portfolios, we develop importance sampling methods to estimate these probabilities by Monte Carlo simulation. Given the dynamic nature of the default models, the simulation of rare events relies on efficiently simulating the entire path of the modeling dynamics. This introduces further numerical errors and simulation "noise". To circumvent this issue we propose to simulate simpler events, related to upper and lower bounds on the tail probability. This leads to biased importance sampling estimators for the original tail probability. We then extend several concepts in standard (unbiased) importance sampling methods to the biased case. The final problem concerns managing portfolio credit risk for one of our proposed dynamic models. We formulate two portfolio selection problems and solve them using asymptotic analysis and importance sampling based simulation methods derived earlier.
Essays On Portfolio Credit Risk
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Author : Gabriele Visentin
language : en
Publisher:
Release Date : 2022
Essays On Portfolio Credit Risk written by Gabriele Visentin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Three Essays In Portfolio Management And Credit Risk
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Author : Andriy Demchuk
language : en
Publisher:
Release Date : 2003
Three Essays In Portfolio Management And Credit Risk written by Andriy Demchuk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Essays In Derivatives
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Author : Don M. Chance
language : en
Publisher: John Wiley & Sons
Release Date : 2011-07-05
Essays In Derivatives written by Don M. Chance and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-05 with Business & Economics categories.
In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Essays In Credit Portfolio Management
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Author : Vikrant Tyagi
language : en
Publisher:
Release Date : 2010
Essays In Credit Portfolio Management written by Vikrant Tyagi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
The current financial crisis has lessons for three areas of credit portfolio management. First, the credit crisis has highlighted the need to manage the funding risk of a bank. Second, it has highlighted the need to manage the underwriting risk of debt syndications. Finally, it has suggested the need to understand the drivers of relationship banking. The first paper in this dissertation develops an empirically grounded model to manage the funding risk of a bank. The second paper develops an option pricing framework to manage the underwriting risk in debt syndications. The last paper in this dissertation uses a proprietary dataset to study the empirical determinants of relationship banking benefits.
Three Essays On The Risk And Distribution Of A Portfolio S Future Losses
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Author : Wei He
language : en
Publisher:
Release Date : 2001
Three Essays On The Risk And Distribution Of A Portfolio S Future Losses written by Wei He and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
This Ph.D. dissertation contains three individual and internally related essays. The first essay applies the least-squares Monte-Carlo (LSM) methodology to derive the distribution of the exotic option values at a future time. LSM presents a powerful statistical procedure that efficiently yields derivative distributions for exotic options that do not possess analytic solutions. By means of several examples, using options with closed-from solutions, this essay demonstrates the ability of LSM to produce excellent estimates of derivative distribution at a reasonable computational cost. The second and third essays compare two of the major credit risk portfolio models used by two prominent financial companies: J. P. Morgan's CreditMetrics and Credit Swiss First Boston's CreditRisk+. The second essay compares the two models from a methodological and an empirical point of view. Factor Analysis is utilized to link the different input data employed by these two models. The third essay creates a hypothetical world in which the true transition matrices are known so that a benchmark distribution of portfolio loss is derived to evaluate the model's performance. The results suggest that despite the fact that the recommendations made by each approach to a financial institution trying to determine how much economic capital to hold is different, these two models perform equally well when credit-rating-change risk is eliminated from the CreditMetrics approach.