Directory UMM :Data Elmu:jurnal:J-a:Journal Of Banking And Finance:Vol25.Issue1.2001:
Teks penuh
Dokumen terkait
In the summer market, which opened while rice was growing, either the convenience yield or the risk premium (re¯ecting clan governments Õ willingness to hedge against the uncertainty
This introduction places in context the papers on credit risk modelling contained in the special issue. We explain why credit risk modelling has become such a focus of interest
In recent years, securitization and other ®nancial innovations have provided unprecedented opportunities for banks to reduce substantially their regulatory measures of risk, with
CreditMetrics models the full forward distribution of the values of any bond or loan portfolio, say 1 year forward, where the changes in values are related to credit migration
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
At a few banks, the loan review unit inspects Pass loan rating assignments only to con®rm that such loans need not be placed in the Watch or regulatory grades.. Thus, as a
Thus, in order to ®t structural contingent claims models to monthly time series of yields on generic US corporate bonds, we construct monthly variables to serve as proxies for
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
