Credit Risk Modeling: An Empirical Analysis on Pricing, Procyclicality and Dependence - Softcover

AYARI, FOUED

Softcover

ISBN 10: 363913270X ISBN 13: 9783639132700

Verlag: VDM Verlag Dr. Müller, 2009

Inhaltsangabe

Credit risk modeling has grown significantly over the past few years; driven by explosive growth in the credit derivatives market and more quantitatively sophisticated bank capital regulations under the upcoming Basel II Accord. Credit risk modeling relies mainly on three parameters,probability of default (PD),recovery rate (RR)and correlation.This book intends first to explain what is called the implied ?correlation skew?, and show that liquidity has some explanatory power on correlation . The second section analyses the relationship between credit default swap index spread and stock market returns and the third section provides a comprehensive analysis on the cyclicality of default rates,recovery rates and their dependence using financial data provided by Bank Call Reports from 1991 to 2005 for all US commercial banks with total assets greater than $300 millions. It shows that indeed, default rates and recovery rates are cyclical and inversely related. These findings have important implications in credit risk modeling for both the credit derivatives market and the new Basel II capital requirement proposed rule(LGD).

Details zur Ausgabe

• Verlag: VDM Verlag Dr. Müller
• Erscheinungsdatum: 2009
• Sprache: Englisch
• ISBN 10: 363913270X
• ISBN 13: 9783639132700
• Einband: Taschenbuch
• Anzahl der Seiten: 148
• Kontakt zum Hersteller: Nicht verfügbar
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