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VDM Verlag Credit Risk Modeling: An Empirical Analysis on Pricing, Procyclicality and Dependence

Name: Credit Risk Modeling: An Empirical Analysis on Pricing, Procyclicality and Dependence
Brand: VDM Verlag
Price: 53.0 GBP
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Economics

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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).

Product Specifications

Brand: VDM Verlag
Format: paperback
ASIN: 363913270X
Category: Books > Subjects > Business, Finance & Law > Economics
Domain: Amazon UK
Release Date: 06 March 2009
Listed Since: 18 April 2009

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VDM Verlag Credit Risk Modeling: An Empirical Analysis on Pricing, Procyclicality and Dependence

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It has never been this cheap. We have no record of a lower price.

VDM Verlag Credit Risk Modeling: An Empirical Analysis on Pricing, Procyclicality and Dependence

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