Journal ArticleDOI
Simulated Credit Loss Distribution
TLDR
In this article, the authors compare the simulated credit loss distribution for an investment-grade corporate bond portfolio generated using standard portfolio credit risk models and the historical credit loss distributions of a similar portfolio.Abstract:
Standard portfolio credit risk models provide an assessment of the potential credit loss that could result from changes to the credit quality of different obligors held in a bond portfolio. In practice, a significant portion of the credit loss can also result from changes to credit spreads that may or may not be directly related to the obligor9s creditworthiness. Comparison of the simulated credit loss distribution for an investment-grade corporate bond portfolio generated using standard credit risk models and the historical credit loss distribution of a similar portfolio indicates that the two are quite dissimilar. Several modifications can be made to the standard portfolio credit risk model to reduce this discrepancy.read more
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Posted Content
Hedging Portfolios of Financial Guarantees
TL;DR: In this article, the authors compared four dynamic hedging strategies, including a utility-based strategy, in conjunction with using an asset-based index, with the strategy of no hedging, and found that the utility based strategy is a good compromise between the delta hedging strategy and the passive stance of doing nothing.
Medición del riesgo de crédito mediante modelos estructurales: una aplicación al mercado colombiano
TL;DR: In this paper, the results of an estudio sobre medicion del riesgo de credito in firmas included in the Indice General de la Bolsa de Valores de Colombia (igbc) entre 2005 and 2007 were presented.
Journal ArticleDOI
Hedging Portfolios of Financial Guarantees
TL;DR: In this article, the authors compared four dynamic hedging strategies, including a utility-based strategy, in conjunction with using an asset-based index, with the strategy of no hedging, and found that the utility based strategy is a good compromise between the delta hedging strategy and the passive stance of doing nothing.
References
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Journal ArticleDOI
Numerical Recipes in C: The Art of Scientific Computing
Mary C. Seiler,Fritz A. Seiler +1 more
Journal ArticleDOI
A comparative anatomy of credit risk models
TL;DR: In this article, a comparative anatomy of two especially influential benchmarks for credit risk models, the RiskMetrics Group's CreditMetrics and Credit Suisse Financial Product's CreditRisk, is presented.
Journal ArticleDOI
Is Default Event Risk Priced in Corporate Bonds
TL;DR: In this paper, an empirical decomposition of the default, liquidity, and tax factors that determine expected corporate bond returns is provided, and the risk premium associated with a default event is estimated.
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The intersection of market and credit risk
TL;DR: In this paper, the authors describe the two main approaches to pricing credit risky instruments: the structural approach and the reduced form approach and discuss the benefits of keeping track of these two measures.
Journal ArticleDOI
Measuring default risk premia from default swap rates and EDFs
TL;DR: In this article, the authors estimate recent default risk premia for U.S. corporate debt, based on a close relationship between default probabilities, as estimated by Moody's KMV EDFs, and default swap (CDS) market rates.