Rating Based Modeling of Credit Risk

Rating Based Modeling of Credit Risk
Author: Stefan Trueck,Svetlozar T. Rachev
Publsiher: Academic Press
Total Pages: 280
Release: 2009-01-15
Genre: Business & Economics
ISBN: 0080920306

Download Rating Based Modeling of Credit Risk Book in PDF, Epub and Kindle

In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev

Credit Risk Modeling

Credit Risk Modeling
Author: David Lando
Publsiher: Princeton University Press
Total Pages: 328
Release: 2009-12-13
Genre: Business & Economics
ISBN: 9781400829194

Download Credit Risk Modeling Book in PDF, Epub and Kindle

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Introduction to Credit Risk Modeling

Introduction to Credit Risk Modeling
Author: Christian Bluhm,Ludger Overbeck,Christoph Wagner
Publsiher: CRC Press
Total Pages: 384
Release: 2016-04-19
Genre: Business & Economics
ISBN: 9781584889939

Download Introduction to Credit Risk Modeling Book in PDF, Epub and Kindle

Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin

Credit Risk Analytics

Credit Risk Analytics
Author: Bart Baesens,Daniel Roesch,Harald Scheule
Publsiher: John Wiley & Sons
Total Pages: 517
Release: 2016-10-03
Genre: Business & Economics
ISBN: 9781119143987

Download Credit Risk Analytics Book in PDF, Epub and Kindle

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.

Managing Risks in Commercial and Retail Banking

Managing Risks in Commercial and Retail Banking
Author: Amalendu Ghosh
Publsiher: John Wiley & Sons
Total Pages: 352
Release: 2012-02-03
Genre: Business & Economics
ISBN: 9781118103562

Download Managing Risks in Commercial and Retail Banking Book in PDF, Epub and Kindle

A practical guide to the practices and procedures of effectivelymanaging banking risks Managing Risks in Commercial and Retail Banking takes anin-depth, logical look at dealing with all aspects of riskmanagement within the banking sector. It presents complex processesin a simplified way by providing real-life situations andexamples. The book examines all dimensions of the risks that banksface—both the financial risks—credit, market, andoperational—and the non-financial risks—moneylaundering, information technology, business strategy, legal, andreputational. Focusing on methods and models for identifying,measuring, monitoring, and controlling risks, it provides practicaladvice backed up by solid theories, without resorting to the use ofcomplicated mathematical and statistical formulas. Author Amalendu Ghosh exposes topics that are usually absent inbooks on managing banking risk—such as design of controlframework, risk management architecture, credit risk rating,risk-based loan pricing, portfolio analysis, business continuityplanning, and corporate governance. Author has extensive experience with a variety of major banksand institutions worldwide and brings a fresh perspective in thewake of the global finance crisis Presents a novel approach using models of the credit riskrating of different types of borrowers, the methodology forassigning weights for deriving the rating, and the scoringprocess Covers the essentials of corporate governance and options forcredit risk assessment in line with the recommendations made in theNew Basel Capital Accord Explains the methodology of risk-based internal audit,including techniques to enable bank branches to switch over fromthe old transaction-based audit methods With its logical sequence of the aspects of risk management, thebook's layout is ideal for presentations, making it a handy toolfor risk management training

Developing Validating and Using Internal Ratings

Developing  Validating and Using Internal Ratings
Author: Giacomo De Laurentis,Renato Maino,Luca Molteni
Publsiher: John Wiley & Sons
Total Pages: 344
Release: 2011-06-20
Genre: Mathematics
ISBN: 9781119957645

Download Developing Validating and Using Internal Ratings Book in PDF, Epub and Kindle

This book provides a thorough analysis of internal rating systems. Two case studies are devoted to building and validating statistical-based models for borrowers’ ratings, using SPSS-PASW and SAS statistical packages. Mainstream approaches to building and validating models for assigning counterpart ratings to small and medium enterprises are discussed, together with their implications on lending strategy. Key Features: Presents an accessible framework for bank managers, students and quantitative analysts, combining strategic issues, management needs, regulatory requirements and statistical bases. Discusses available methodologies to build, validate and use internal rate models. Demonstrates how to use statistical packages for building statistical-based credit rating systems. Evaluates sources of model risks and strategic risks when using statistical-based rating systems in lending. This book will prove to be of great value to bank managers, credit and loan officers, quantitative analysts and advanced students on credit risk management courses.

Managing Portfolio Credit Risk in Banks An Indian Perspective

Managing Portfolio Credit Risk in Banks  An Indian Perspective
Author: Arindam Bandyopadhyay
Publsiher: Cambridge University Press
Total Pages: 390
Release: 2016-05-09
Genre: Business & Economics
ISBN: 9781107146471

Download Managing Portfolio Credit Risk in Banks An Indian Perspective Book in PDF, Epub and Kindle

This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.

International Convergence of Capital Measurement and Capital Standards

International Convergence of Capital Measurement and Capital Standards
Author: Anonim
Publsiher: Lulu.com
Total Pages: 294
Release: 2004
Genre: Bank capital
ISBN: 9789291316694

Download International Convergence of Capital Measurement and Capital Standards Book in PDF, Epub and Kindle