Journal ArticleDOI
Credit Migration Risk and Point in Time Credit Dynamics: A New Perspective for Credit Risk Management
TLDR
In this paper, a credit migration model is presented that aims to consistently capture the point-in-time dynamics of the credit worthiness of debt issuers and their obligations, and a calibration routine that permits the model to effectively fit historical ratings data.Abstract:
This paper presents a credit migration model that aims to consistently capture the point-in-time dynamics of the credit worthiness of debt issuers and their obligations, and a calibration routine that permits the model to effectively fit historical ratings data. Our approach is to view the rating migration matrices as the operator semi-group associated to an approximated parametric infinitesimal generators. Our credit model accounts not only for default risk dynamics but also for the entire transition among states of the rating migration matrix. This modeling feature is fundamental for an efficient risk management of credit derivatives and credit risk portfolios conditionally on a state of the economy or specific macro factors. We fit our model to the historical average rating migration matrices published by Moody’s Investors Service, focusing on the banking sector over the period 1920-2005. Our results show that the model can identify the through-the-cycle transition across rating scales and that the point-in-time migration probabilities are only generated by stressed economic conditions and can only be justified by the influence of macro factors on the through-the-cycle unconditional probability values. The great level of modeling details and the accuracy of the produced results is an improvement over those of other available models.read more
Citations
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Journal Article
Credit Risk: Pricing, Measurement, and Management
TL;DR: Duffie and Singleton as mentioned in this paper proposed a way of integrating credit and market risks in a portfolio model, which can be viewed as a component of market risk and may generate credit risk.
Posted Content
Credit migration: Generating generators.
TL;DR: This work shows how these fundamental difficulties with calibrating Markovian credit migration models are resolved using a simplified form of matrix generator and explains why risk-neutral calibration cannot be done without volatility information.
Journal Article
1. identification of key motivational factors; an implementation of maslow's hierarchy of needs in pakistani organizations
Muhammad Tahir Akbar,Muhammad Ramzan,Romaza Khanum,D. Afroza,Atef A. S. Al-Bawab,S. Balamurugan,Jui-Ying Hung,Chien-Hui Yang,Emon Kalyan Chowdhury,Tahmina Reza,Temesgen Thomas Halabo,Mohinder Singh Tonk,Badri Bajaj,Y. Medury,M. K. Singh,Sonal Sharma +15 more
TL;DR: In this paper, the authors explored the efficacy of five-stage humanist model of Maslow's Hierarchy of Needs to predict current and future state of human need system in developing countries environment such as Pakistan.
Journal ArticleDOI
All Your Hedges in One Matrix
TL;DR: In this paper, the authors present a framework to model correlated default events that can be used to price and hedge standard and exotic credit baskets whose values depend on the realized losses of a default portfolio.
References
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