Credit Risk-Probabilities of Default
Three essays on the cutting edge of credit spread modeling
... and default inten- sities in a one-factor Cox-Ingersoll-Ross (CIR) ...dynamics of credit ...impact of accurately describing credit dynamics when computing counterparty valuation ...
170
Three essays on computational finance and credit risk measurement and management.
... study of the Taylor expansions for the Vasicek (1987) ...case of market ...the default one) and, on each state, the loans have a different valuation or ...estimation of v(y) requires to ...
123
Haar Wavelets-Based Methods for Credit Risk Portfolio Modeling
... application of the Wavelet Approximation method devel- oped in Chapter 2 to compute the distribution of losses from default in a credit portfolio, under the one-factor model ...generation ...
126
Ch22HullOFOD7thEd ppt
... rating default probabilities tend to increase with time.. For a company that starts with a poor credit.[r] ...
48
Bank relationships: effect on the availability and marginal cost of credit for firms in Argentina
... determinants of credit constraints. Economy-wide credit constraints that reflect the doubts about the government's prospects are reflected in the baseline interest rate charged to ...country ...
26
Relaciones entre default soberano y default corporativo
... evidentemente, signos claros de default en el corto plazo, hecho que se refleja en los ratings. Las emisiones del sector bancario son las más afectadas. En el sector corporativo, la mayoría de las emisiones ...
80
Internal controls and credit risk relationship among banks in Europe
... that credit risk is a function of internal ...sample of 91 different banks from 23 countries have different unique characteristics such as national and firm policies, severity of impact ...
26
Valoración y riesgo crediticio en ColombiaValuation and credit risk in Colombia
... exercise of assessing the credit risk in Colombia, is a difficult task, since they are different elements of context that must be considered in that process, a situation that leads necessarily ...
18
The Gilded Bubble Buffer and Optimal Macroprudential Policy
... impact of macroprudential policies both on the ef- ficiency of credit allocation and on the reduction of systemic ...are, of course, alternative frameworks where a macroprudential ...
50
Holistic evaluation of risk in the framework of the urban sustainability
... Disaster risk estimation is an important task to ensure a sustainable development which requires a multidisciplinary approach that takes into account not only the expected physical damage, the number and type ...
11
Abstracts
... one of those experiences, Logroño’s Presupuesto Ciudadano, combining both an empirical part -which collects the main results of the experience evaluation process (a research finan- ced by the Instituto de ...
8
Una implementación de disputación basada en lógica default
... de la Lógica Default de Reiter[4] que hace preferencia de reglas default más específicas sobre otras más generales. SDL genera un orden parcial entre las reglas default para modelar l[r] ...
10
Experimental transition probabilities and Stark parameters of singly ionized noble gases
... half-width of this line is again explainable by the existence of a perturbing level close to the upper level of the ...half-width of the line ...half of the measured lines but also the ...
172
Re employment probabilities of unemployment benefit recipients
... means of covariates for UI recipients, while ...groups of benefit recipients show different duration dependence patterns illus- trates the danger of estimating a single risk hazard rate, ...
20
II Trimestre 2016 (Versión Inglés)
... construction of the Toro 3 Hydroelectric Power Project whereby both entities will have equal participation (50% each) in respect of rights and obligations, with the purpose of designing, financing, ...
142
We meteorologists cannot escape probabilities
... Instead of taking a lay-back attitude and blame the “un- reliable computer” the BBC forecasters, guided by the Met Office, acknowledged the great uncertainties and presented the situation as it evolved in honest ...
6
Factores determinantes del riesgo de crédito en el Banco Popular de Ahorro. Determinants of credit risk in the Banco Popular de Ahorro
... degree of exposure of the funding institution. Here the performance of the risks to which the issuer of the funds is exposed plays an important ...in risk credit management and ...
17
SOVEREIGN DEFAULT RISK AND DEPOSITOR BEHAVIOR. THE CASE OF GREECE
... outbreak of the crisis all banks -and in particular the five larger banks- strongly increased their exposure to credit risk from the Greek Govern- ment debt and then reduced it as a consequence ...
36
The term structure of country risk and valuation in emerging markets
... practitioners of the Capital Asset Pricing Model (CAPM) or its international version, the ICAPM 2 , to calculate the cost of capital of projects in ...degree of integration of EM ...
23
Modelos de Incumplimiento de Forma Reducida Bajo Múltiples Estructuras de Dependencia
... Un instrumento que ha tomado bastante relevancia después de la crisis financie- ra de 2008 son los credit default swap (CDS), en particular los spreads de los CDS. En términos generales, un CDS es un ...
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