Directory UMM :Data Elmu:jurnal:J-a:Journal Of Banking And Finance:Vol25.Issue1.2001:
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The pre-oer and post-oer periods are de®ned as 25 trading days prior to the announcement date and 25 trading days subsequent to the expiration date, re- spectively.. Tests of the
Under such a capital adequacy framework, external risk as- sessments, such as Moody Õ s credit ratings, will likely play a supporting role as direct inputs into banks Õ internal
Almost every bank in the Federal Reserve sample said it sets internal capital so as to meet a AA level of insolvency probability (around 0.03% over a one-year horizon), implying
22 Each quadrant of the table shows summary statistics and selected percentile values for CreditMetrics and CreditRisk portfolio loss distributions for a portfolio of a given
This model can also be used for risk management purposes as it is possible to price portfolios of corporate bonds and credit derivatives in a consistent fashion.. Interestingly,
By analysing the impact of default risk on credit agreements and swaps in a market model, we have derived equations determining the arbitrage-free values of simple defaultable
erent from that of a new item, showed that the optimal strategy had the following simple form: Replace with a new item at any failure occurring up to a certain time measured from
a concrete utility and that one attribute can a ! ect di ! erent utility areas. Nevertheless, there is not normally a ` one-to-one a relationship between the features and the
