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

AYARI, FOUED

 
9783639132700: Credit Risk Modeling: An Empirical Analysis on Pricing, Procyclicality and Dependence
Couverture souple
ISBN 10 : 363913270X ISBN 13 : 9783639132700
Editeur : VDM Verlag Dr. Müller, 2009

Synopsis

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).

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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).

Biographie de l'auteur

Dr Ayari is an Assistant Professor of Finance at Wagner College in New York, and has been consulting and conducting financial training for major financial institutions in the US, Europe and Asia.Dr. Ayari received his Ph.D. in Financial Economics from the City University of New York and his MS from the University of Paris XIII (France).

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2009
Langue
anglais
ISBN 10 
363913270X
ISBN 13 
9783639132700
Reliure
Broché
Nombre de pages
148
Coordonnées du fabricant
non disponible
Personne responsable
non disponible