作者: CRUC 時(shí)間: 2025-3-22 00:00
Kulturprobleme, Interessen und Perspektiven,lculations, EVT and naive estimators yield almost identical results when applied to one-day emerging estimators yield different results on actual data but differences disappear in a Monte Carlo exercises assuming t-distributed return innovations.作者: 色情 時(shí)間: 2025-3-22 04:15 作者: 面包屑 時(shí)間: 2025-3-22 07:04
https://doi.org/10.1007/978-3-658-02202-0e credit institutions the original model had to be modified and extended. It is suited for evaluating the risk structure of two portfolios with middle-class obligors and premium creditworthiness obligors, repectively.作者: 群居男女 時(shí)間: 2025-3-22 11:55 作者: etiquette 時(shí)間: 2025-3-22 16:33 作者: etiquette 時(shí)間: 2025-3-22 17:55 作者: 任命 時(shí)間: 2025-3-23 00:57
Systematic Risk in Homogeneous Credit Portfolios, customer’s assets and liabilities, sometimes known by the lending institute, but in any case imposed as an unobservable latent variable. In general, we can expect that correlations between the obligor’s APPs strongly influence the portfolio’s credit risk.作者: 使熄滅 時(shí)間: 2025-3-23 01:30 作者: 五行打油詩(shī) 時(shí)間: 2025-3-23 08:21 作者: 喪失 時(shí)間: 2025-3-23 13:14 作者: 貴族 時(shí)間: 2025-3-23 17:19 作者: 有助于 時(shí)間: 2025-3-23 18:12 作者: Legend 時(shí)間: 2025-3-24 00:40
Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Ostraints, e.g. supervisory capital limits, have to be respected. Particularly for formerly non-traded instruments, e.g. corporate loans, a discrete set of decision alternatives has to be considered for each instrument.作者: 木訥 時(shí)間: 2025-3-24 03:24
Conference proceedings 2003 issues, such?as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk..作者: 過(guò)于平凡 時(shí)間: 2025-3-24 09:01
Wissen als Gegenstand der Forschung,ative document of the new accord and describe how to measure the required capital. Further the fair comment on several features of Basel II and its possible changes in the final version of the accord are illustrated.作者: tendinitis 時(shí)間: 2025-3-24 11:12
Thomas Christiaans,Matthias Ross customer’s assets and liabilities, sometimes known by the lending institute, but in any case imposed as an unobservable latent variable. In general, we can expect that correlations between the obligor’s APPs strongly influence the portfolio’s credit risk.作者: plasma-cells 時(shí)間: 2025-3-24 16:02 作者: filicide 時(shí)間: 2025-3-24 22:39 作者: 精確 時(shí)間: 2025-3-25 00:18 作者: STEER 時(shí)間: 2025-3-25 06:02 作者: 專橫 時(shí)間: 2025-3-25 10:23 作者: obviate 時(shí)間: 2025-3-25 14:09
Approaches to Credit Risk in the New Basel Capital Accord, basic ideas in the new accord the determining aspects of the approaches to Credit risk in the new capital accord are survayed: the standardized approach (STD) as well as the two forms of the internal rating based (IRB) approach - foundation and advanced. We describe the issues of the second consult作者: agenda 時(shí)間: 2025-3-25 17:08
Systematic Risk in Homogeneous Credit Portfolios,st type, a time series of the firm’s equity values can be used to derive an Ability-to-Pay Process (APP), showing for every point in time the firm’s ability to pay, see e.g. [6]. For the second type, equity processes are not available, but still every borrower somehow admits an APP, depending on the作者: Dislocation 時(shí)間: 2025-3-25 21:17
Valuation of a Credit Default Swap: The Stable Non-Gaussian versus the Gaussian Approach,edit default swap. We value a credit default swap using the two-factor Hull-White (1994) model for the term structure of default-free Spot interest rates and the credit spread process of a Baa-rated bond index and use the fractional recovery model of Duffie-Singleton (1999) and its multiple default 作者: 值得贊賞 時(shí)間: 2025-3-26 02:22
Basel II in the DaimlerChrysler Bank,DaimlerChrysler Bank as an automotive financial service provider and the special impact of Basel II in this context..The “New Basel Cpital Accord” [1] is a framework developed by the Basel Committee. - a panel of the ten largest industry countries - to guarantee transparency and the control of defau作者: 離開可分裂 時(shí)間: 2025-3-26 06:36
Sovereign Risk in a Structural Approach,ed by Merton, we consider the sovereign’s ability-to-pay, characterised by the sum of discounted future payment surpluses, as the underlying process. Its implicit volality is inferred from market spreads. We demonstrate for the case of Latin America and Russia that our approach indicates default eve作者: 極力證明 時(shí)間: 2025-3-26 12:24 作者: liaison 時(shí)間: 2025-3-26 16:42
Default Probabilities in Structured Commodity Finance, corporate loans, for instance, the bank may either use published default statis- tics by the rating agencies, so-called Distance to Default Scores provided by KMV, or default statistics from an internal rating procedure as described in [3]. Besides there is the possibility to extract default relate作者: 輕浮思想 時(shí)間: 2025-3-26 17:13 作者: temperate 時(shí)間: 2025-3-27 00:18 作者: Neonatal 時(shí)間: 2025-3-27 01:40
Stable Non-Gaussian Credit Risk Model; The Cognity Approach,ognity software for evaluation of credit risk. Cognity CreditRisk System comprises two models for credit risk evaluation for complex portfolios of instruments with inherent credit risk — Asset Value Approach (AV Model) and Stochastic Default Rate Model (SDR Model), both based on Stable Distributions作者: alcohol-abuse 時(shí)間: 2025-3-27 07:19 作者: asthma 時(shí)間: 2025-3-27 10:58
Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Oequires the computation of a set of Pareto-efficient portfolio structures in a non-linear, non-convex setting. For real-world problems, additional constraints, e.g. supervisory capital limits, have to be respected. Particularly for formerly non-traded instruments, e.g. corporate loans, a discrete se作者: 監(jiān)禁 時(shí)間: 2025-3-27 16:56 作者: Adulate 時(shí)間: 2025-3-27 21:39 作者: 解決 時(shí)間: 2025-3-27 22:27 作者: languor 時(shí)間: 2025-3-28 02:29 作者: 注入 時(shí)間: 2025-3-28 06:46 作者: 使長(zhǎng)胖 時(shí)間: 2025-3-28 14:02
Internal Ratings for Corporate Clients,In Germany credit transactions with corporate clients suffer from significant credit defaults. The number of insolvencies in Germany are steadily increasing and have more than doubled between 1993 and 2001 (see Figure 1). In 2002 financial institutions are supposed to be confronted with approximately 40.000 insolvencies in the corporate sector..作者: groggy 時(shí)間: 2025-3-28 15:36 作者: defeatist 時(shí)間: 2025-3-28 22:46 作者: 血統(tǒng) 時(shí)間: 2025-3-28 23:52
Contributions to Economicshttp://image.papertrans.cn/c/image/239639.jpg作者: 繁榮中國(guó) 時(shí)間: 2025-3-29 04:53
Credit Risk978-3-642-59365-9Series ISSN 1431-1933 Series E-ISSN 2197-7178 作者: 捕鯨魚叉 時(shí)間: 2025-3-29 07:14
Thomas Christiaans,Matthias Rossed by Merton, we consider the sovereign’s ability-to-pay, characterised by the sum of discounted future payment surpluses, as the underlying process. Its implicit volality is inferred from market spreads. We demonstrate for the case of Latin America and Russia that our approach indicates default events in advance of agencies and markets.作者: 過(guò)份好問(wèn) 時(shí)間: 2025-3-29 12:13 作者: POWER 時(shí)間: 2025-3-29 15:35
Die Position der Wissenschaft im Fernsehen,-dimensional distribution function and the corresponding marginal distributions, provides useful tools for dependence modelling. The difficulty in employing copulae for internal credit risk models arises from the appropriate choice of a copula function.作者: 寬宏大量 時(shí)間: 2025-3-29 20:50 作者: Genistein 時(shí)間: 2025-3-30 00:21
Thomas Christiaans,Matthias Rossst type, a time series of the firm’s equity values can be used to derive an Ability-to-Pay Process (APP), showing for every point in time the firm’s ability to pay, see e.g. [6]. For the second type, equity processes are not available, but still every borrower somehow admits an APP, depending on the作者: Rankle 時(shí)間: 2025-3-30 06:07 作者: 野蠻 時(shí)間: 2025-3-30 09:13 作者: 極少 時(shí)間: 2025-3-30 13:17
Thomas Christiaans,Matthias Rossed by Merton, we consider the sovereign’s ability-to-pay, characterised by the sum of discounted future payment surpluses, as the underlying process. Its implicit volality is inferred from market spreads. We demonstrate for the case of Latin America and Russia that our approach indicates default eve作者: 農(nóng)學(xué) 時(shí)間: 2025-3-30 19:07
