Hedging Von Credit Risk
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Credit Risk Frontiers
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Author : Tomasz Bielecki
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-14
Credit Risk Frontiers written by Tomasz Bielecki 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 2011-02-14 with Business & Economics categories.
A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.
Hedging Von Credit Risk
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Author : Katrin Tamm
language : de
Publisher: diplom.de
Release Date : 2002-02-22
Hedging Von Credit Risk written by Katrin Tamm and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-02-22 with Business & Economics categories.
Inhaltsangabe:Einleitung: Das Kreditgeschäft ist neben dem Einlagegeschäft die wichtigste klassische Dienstleistung eines Kreditinstitutes. Während die Einlagen in der gesamten Branche aufgrund des sinkenden Zinsniveaus in den letzten Jahren in höher verzinsliche Anlagen (u.a. Investmentfonds, Lebensversicherungen, direkte Wertpapieranlage und Immobilien) umgeschichtet wurden, erhöhte sich das vergebene Kreditvolumen kontinuierlich. Von 1990 bis 1999 erhöhten sich die Kredite an Unternehmen im Schnitt um 6,8% p.a. Der stetige Anstieg von Unternehmensinsolvenzen in Verbindung mit der eben aufgeführten Marktsituation führten zu hohen Verlusten im traditionellen Kreditgeschäft und damit zu einer Verknappung des Mindest-Eigenkapitals. Die gesamten Faktoren führten letztendlich seit Anfang der 90er Jahre zu einem Umbruch im Kreditrisikomanagement der Gesamtbankbranche. Einen erneuten Einbruch im Geschäftserfolg lösten die Asienkrise und die Russlandkrise Ende der 90er Jahre aus, so dass ein wirksames Risk Management unerlässlich geworden ist. Für dieses ist nicht nur die Identifizierung der Risiken, sondern insbesondere die Steuerung in Form einer vom Management verfolgten institutsspezifischen Risikostrategie von zentraler Bedeutung. Während sich für Marktpreisrisiken (z.B. Zins- und Währungsrisiken) schon seit dem Zweiten Weltkrieg in den Vereinigten Staaten von Amerika und später auch in Deutschland Finanzinnovationen als adäquate Absicherungsinstrumente in Form verschiedener Derivate entwickelten, kamen zur Steuerung von Ausfallrisiken erst in den letzten Jahren in Deutschland die schon seit den 70er Jahren in den USA bekannte Verbriefung und Veräußerung von Kreditforderungen (Securitization) und später der von der Forderung getrennte Verkauf des Risikos (Kreditderivate) hinzu. Die isolierte einzelfallbezogene Betrachtung der Kreditrisiken wird zunehmend durch die Gesamtbetrachtung eines Segmentes abgelöst, um eine Konzentration von Risiken und damit verbundene Großausfälle zu vermeiden. Vor diesem Hintergrund ist es das Ziel der vorliegenden Arbeit, ein theoretisches Fundament zur Lokalisation, Messung und den weiteren Umgang mit Risiken und Derivaten im Kreditgeschäft anhand verschiedener Beispiele zu erstellen. Weiterhin wird das aktuelle Absicherungsinstrument Kreditderivat auf eventuelle Problemfelder untersucht und analysiert, ob deren Einsatz eine positive Auswirkung auf die zukünftige Performance der Risiko-Aktiva erwarten lässt. Die [...]
Credit Risk
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Author :
language : en
Publisher:
Release Date : 2004
Credit Risk written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Liquidity Risk
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Author : Yao Chen
language : de
Publisher: GRIN Verlag
Release Date : 2009
Liquidity Risk written by Yao Chen and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
Studienarbeit aus dem Jahr 2009 im Fachbereich BWL - Rechnungswesen, Bilanzierung, Steuern, Note: 1,0, Universität zu Köln (Seminar für Allgemeine Betriebswirtschaftslehre und Bankbetriebslehre), Sprache: Deutsch, Abstract: Als die Kreditzusagen und der Commercial Paper Markt in den letzten Jahrzehnten in den USA verstärkt an Bedeutung gewonnen haben, hat sich auch die entsprechende Literatur in diesem Bereich schnell entwickelt. In Anbetracht der historischen Entwicklung des Commercial Paper Marktes ist das Ziel dieser Seminararbeit, einen Überblick über die Rolle der Banken auf dem Commercial Paper Markt zu geben, wobei der Fokus auf einem theoretischen Paper von Gatev & Strahan (2006) "Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market" liegt. In der Arbeit wird nach einer Einführung die bisherigen Arbeiten über Kreditzusagen, insbesondere über Commercial Paper Backup Lines, dargestellt. Danach wird das Paper von Gatev & Strahan präsentiert, welches den Vorteil der Banken gegenüber Nichtbanken- Finanzintermediären bei der Liquiditätsbereitstellung via Kreditzusagen untersucht. Hierbei werden sowohl die grundlegende Argumentation als auch die empirische Belegung und die angewendeten statistischen Methoden vorgestellt. Ausgehend von diesem Paper werden auch einige Punkte für Diskussionen geschildert.
Modelling Pricing And Hedging Counterparty Credit Exposure
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Author : Giovanni Cesari
language : en
Publisher: Springer
Release Date : 2012-03-01
Modelling Pricing And Hedging Counterparty Credit Exposure written by Giovanni Cesari and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-01 with Business & Economics categories.
It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.
Pricing And Hedging Interest And Credit Risk Sensitive Instruments
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Author : Frank Skinner
language : en
Publisher: Elsevier
Release Date : 2004-10-29
Pricing And Hedging Interest And Credit Risk Sensitive Instruments written by Frank Skinner and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-10-29 with Business & Economics categories.
This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD. * Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models* Can be used for self-study - a complete book on the topic, which includes examples with answers
Credit Risk Hedging In Bank Lending
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Author : Atanas Kamelarov
language : en
Publisher:
Release Date : 2022
Credit Risk Hedging In Bank Lending written by Atanas Kamelarov 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.
Counterparty Credit Risk Collateral And Funding
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Author : Damiano Brigo
language : en
Publisher: John Wiley & Sons
Release Date : 2013-04-22
Counterparty Credit Risk Collateral And Funding written by Damiano Brigo 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 2013-04-22 with Business & Economics categories.
The book's content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular 'concrete' financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a 'feel' for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.
Financial Hedging
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Author : Patrick N. Catlere
language : en
Publisher:
Release Date : 2009
Financial Hedging written by Patrick N. Catlere and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Financial futures categories.
Financial hedging refers to taking out investments in order to reduce or cancel the risk in another investment. Its purpose is to minimise unwanted business risk while still allowing the business to profit from investment activity. The problem of credit risk is one of the most important problems in finance. It consists of computing the probability of a firm defaulting on a debt. The time evolution of rating for credit risk models can be studied by means of Markov transition models. This book looks at the homogeneous and non-homogeneous semi-Markov backward credit risk migration models. A joint optimisation model for a firm's hedging and leverage decisions is also examined to help establish an integrated framework for value creation. Rather than artificially separating the two interrelated parts of the firm's financial policy, both corporate decision variables are treated as endogenous. Furthermore, the cross-sectional variation in indirect bankruptcy costs is discussed, possibly resulting from a deterioration of relationships with customers, suppliers or other stakeholders prior to the legal act of bankruptcy. The effect of probability weighting on hedging decisions is explored in this book. Observed hedge ratios in a storage context are close to zero in many situations and often smaller than the standard minimum-variance hedge zero. Thus, the importance of probability weighting in decision making and how it can cause dramatic changes in behavior is looked at. This book also re-examines hedging performance of the minimum variance hedge ratios (MVHR) estimated using both the OLS and the GARCH-type models with S&P 500 index futures contracts. In particular, the out-of-sample comparison of hedging performance of the MVHRs under different market volatility regimes are looked at. In addition, the analysis for parametric and non-parametric Markov processes are discussed and the construction of the transition matrix in these two different cases. Several possible strategies where the investors recalibrate their portfolios at a fixed temporal horizon are proposed. The authors also show how the Markov assumption can be used to forecast the portfolio returns and some simple empirical comparisons between Markovian strategies and classic reward-risk ones. Finally, articles in this book contribute to the literature on futures hedging in commodity futures markets by using wavelet transform analysis to define an explicit and tractable concept of time horizon. Differences in hedge ratios are discussed both across commodities and, for each commodity, over all time horizons of decision-making.
Credit
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Author :
language : en
Publisher:
Release Date : 2001
Credit written by 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.