Essays On Portfolio Credit Risk
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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.
Essays In Portfolio Credit Risk
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Author : Baeho Kim
language : en
Publisher:
Release Date : 2010
Essays In Portfolio Credit Risk written by Baeho Kim 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.
This dissertation considers the measurement and management of portfolio credit risk. Collateralized debt obligations, which are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. In the first part of the dissertation, we develop stochastic methods to measure the risk of positions in collateralized debt obligations and related instruments tied to an underlying portfolio of defaultable assets. We propose an adaptive point process model of portfolio default timing, a maximum likelihood method for estimating point process models that is based on an acceptance/rejection re-sampling scheme, and statistical tests for model validation. To illustrate these tools, they are used to estimate the distribution of the profit or loss generated by positions in multiple tranches of a collateralized debt obligation that references the CDX High Yield portfolio, and the risk capital required to support these positions. The second part of the dissertation develops maximum likelihood estimators of the term structure of systemic risk in the U.S. financial sector, defined as the conditional probability of failure of a large number of financial institutions. The estimators are based on a new dynamic hazard model of failure timing that captures the influence of time-varying macro-economic and sector-specific risk factors on the likelihood of failures, and the impact of risk spillovers due to contagion or incomplete information about relevant risk factors. The estimation results, which cover the period January 1987 to December 2008, provide strong evidence for the presence of failure clustering not caused by variations in the observable explanatory covariates, which include the trailing return on the S & P 500 index, the lagged slope of the U.S. yield curve, the default and TED spreads, and other sector-specific variables.
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 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 Continuous Time Portfolio Optimization And Credit Risk
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Author : Björn Bick
language : en
Publisher:
Release Date : 2012
Essays On Continuous Time Portfolio Optimization And Credit Risk written by Björn Bick 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.
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.
Essays In Finance Sustainability In Credit Risk Carbon Risk And Portfolio Theory
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Author : Aydin Aslan
language : en
Publisher:
Release Date : 2022
Essays In Finance Sustainability In Credit Risk Carbon Risk And Portfolio Theory written by Aydin Aslan 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.
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.