Three Essays On Credit Risk
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Three Essays On Credit Risk Microform
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Author : Peter Chi Pang Miu
language : en
Publisher: National Library of Canada = Bibliothèque nationale du Canada
Release Date : 2003
Three Essays On Credit Risk Microform written by Peter Chi Pang Miu and has been published by National Library of Canada = Bibliothèque nationale du Canada this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Three Essays On Credit Risk
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Author : Jin Liu
language : en
Publisher:
Release Date : 2004
Three Essays On Credit Risk written by Jin Liu 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.
Three Essays In Credit Risk
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Author : Leandro Saita
language : en
Publisher:
Release Date : 2006
Three Essays In Credit Risk written by Leandro Saita and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Credit categories.
Overrated Credit Risk
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Author : Dion Bongaerts
language : en
Publisher:
Release Date : 2010
Overrated Credit Risk written by Dion Bongaerts 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.
Three Essays On Credit Risk Management
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Author : Yingying Shao
language : en
Publisher:
Release Date : 2010
Three Essays On Credit Risk Management written by Yingying Shao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Bank management categories.
Three Essays On Credit Risk With Special Focus On The Subprime Financial Crisis
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Author : Bastian Breitenfellner
language : en
Publisher:
Release Date : 2012
Three Essays On Credit Risk With Special Focus On The Subprime Financial Crisis written by Bastian Breitenfellner 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.
Three Essays On Credit Risk
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Author : Tomas Hricko
language : en
Publisher:
Release Date : 2001
Three Essays On Credit Risk written by Tomas Hricko 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.
Three Essays On Credit Risk Modeling
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Author : Xiaopeng Zhang
language : en
Publisher:
Release Date : 2001
Three Essays On Credit Risk Modeling written by Xiaopeng Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Credit categories.
Three Essays In Credit Risk
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Author : Mirela Raluca Predescu Vasvari
language : en
Publisher:
Release Date : 2006
Three Essays In Credit Risk written by Mirela Raluca Predescu Vasvari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Dissertations, Academic categories.
This thesis consists of three essays in credit risk. The first essay examines the relationship between credit default swap (CDS) spreads and bond yields as well as the relationship between CDS spreads and credit rating announcements. We test the no-arbitrage theoretical relationship between CDS spreads and bond yields and reach conclusions on the benchmark risk-free rate used by participants in the credit derivatives market. We then carry out a series of tests to explore the extent to which credit rating announcements by Moody's are anticipated by participants in the credit default swap market. The third essay extends the 1976 Black and Cox structural model in order to value correlation-dependent credit derivatives. The proposed model assumes that the correlations between the assets of the obligors are determined by one or more common factors. We first implement a base case model where the asset correlations and recovery rates are constant. We compare our model with the widely used Gaussian copula model of survival time and test how well our model fits market prices of CDO tranches. We then consider two extensions of the base case model. One reflects empirical research showing that default correlations are positively dependent on default rates. The other reflects empirical research showing that recovery rates are negatively dependent on default rates. The second essay investigates the performance of structural models of credit risk along two dimensions. First, I analyze the models' ability to explain CDS spreads. I find that the pricing accuracy of structural models depends heavily on the market information set used in the estimation. Incorporating past time series of CDS spreads in addition to equity and balance sheet information improves the out-of-sample model pricing performance by 50%. Second, I investigate the incremental value of structural models above and beyond CDS spreads in predicting credit ratings migrations. I find evidence that three-month changes in the Distance to Default (DD) have incremental value for anticipating rating downgrades over and above changes in CDS spreads. However, this is not the case for one-month changes in DD.
Three Essays On Credit Risk Information And Default
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Author : Philipp Gmehling
language : en
Publisher:
Release Date : 2016
Three Essays On Credit Risk Information And Default written by Philipp Gmehling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.