Haw the Default Probability is Defined by the Credit Portfolio Models: A Comparative Theoretical Analysis Between the Structural Models?
Keywords:
credit risk, creditmetrics model, default probability, default sk, kmv model, sk management, structural models
Abstract
This paper is elaborate of which the main is to present a theoretical analysis between the structural models. There are currently three types of models to consider the risk of credit: the structural models (The KMV Moody's model and x the Credit Metrics model) also defined by the models of the value of the firm, reduced form models also defined by models with intensity (actuarial models) and the econometric models (The macro-factors models). The development of its three types of models is based on a theoretical basis developed by x several researchers and many financial institutions. These models are dedicated to measurement the default probability 9 of credit portfolio. The evaluation of their default frequencies x and the size of the credit portfolio are expressed as functions of macro-economic and micro-economic conditions as well as unobservable credit risk factors, which explained by other her factors. We developed three sections to explain the different ferent characteristics of the structural models of credit portfolio p o r t f o l i o management. The purpose of all its models is to express the expr e s s the probability of default.
Downloads
How to Cite
References
Asghar Ali, Kevin Daly (2010) Macroeconomic determinants of credit risk: Recent evidence from a cross country study. 19(3), 165-171. https://doi.org/10.1016/j.irfa.2010.03.001
L. Allen, S. Saunders (3003) A survey of cyclical effects in credit risk measurement models. (126).
A. Bensoussan, M. Crouhy, D. Galai (1995) Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants. 2, 43-59.
Michael Berry, Edwin Burmeister, Marjorie McElroy (1998) Sorting Out Risks Using Known APT Factors. 44(2), 29-42. https://doi.org/10.2469/faj.v44.n2.29
Credit Products (1997) Credit Risk+: A Credit Risk Management Framework.
Michel Crouhy, Dan Galai, Robert Mark (2000) A comparative analysis of current credit risk models. 24(1-2), 59-117. https://doi.org/10.1016/s0378-4266(99)00053-9
Stephen Figlewski, Halina Frydman, Weijian Liang (2012) Modeling the effect of macroeconomic factors on corporate default and credit rating transitions. 21(1), 87-105. https://doi.org/10.1016/j.iref.2011.05.004
Peter Grundke (2005) Risk measurement with integrated market and credit portfolio models. 7(3), 63-94. https://doi.org/10.21314/jor.2005.113
Peter Grundke (2009) Importance sampling for integrated market and credit portfolio models. 194(1), 206-226. https://doi.org/10.1016/j.ejor.2007.12.028
G. Gupton, C. Finger, M. Bhatia (1997) Credit MetricsTM - Technical Document'.
H. Hamisultane (2008) Modèles de gestion du risque de crédit. Investment System R&D.
Shirley Huang, Jun Yu (2010) Bayesian analysis of structural credit risk models with microstructure noises. 34(11), 2259-2272. https://doi.org/10.1016/j.jedc.2010.05.008
Robert Jarrow, Stuart Turnbull (1995) Pricing Derivatives on Financial Securities Subject to Credit Risk. 50(1), 53-85. https://doi.org/10.1111/j.1540-6261.1995.tb05167.x
Robert Jarrow, David Lando, Fan Yu (2001) DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. 15(1), 1-26. https://doi.org/10.1111/j.0960-1627.2005.00208.x
Robert Jarrow (2011) Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate. 8(1), 2-7. https://doi.org/10.1016/j.frl.2010.08.002
Wo-Chiang Lee (2011) Redefinition of the KMV model's optimal default point based on genetic algorithms - Evidence from Taiwan. 38(8), 0107-1011. https://doi.org/10.1016/j.eswa.2011.02.084
Hsien-Hsing Liao, Tsung-Kang Chen, Chia-Wu Lu (2009) Bank credit risk and structural credit models: Agency and information asymmetry perspectives. 33(8), 1520-1530. https://doi.org/10.1016/j.jbankfin.2009.02.016
Robert Merton (1974) ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*. 29(2), 449-470. https://doi.org/10.1111/j.1540-6261.1974.tb03058.x
David Musto, Nicholas Souleles (2006) A portfolio view of consumer credit. 53(1), 59-84. https://doi.org/10.1016/j.jmoneco.2005.10.009
Nikola Tarashev (2010) Measuring portfolio credit risk correctly: Why parameter uncertainty matters. 34(9). https://doi.org/10.1016/j.jbankfin.2010.01.017
A. Vetendorpe, N. Ho, S. Vetuffel, P. (2008) On The Parameterization of the Credit Risk+ Model for Estimating Credit Portfolio Risk. 42(2), 736-745.
C. Xiaohong, W. Xiaoding, W. Desheng (2010) Credit risk measurement and early warning of SMEs: An empirical study of listed SMEs in China' Decision Support Systems, (49):301-310. (49), 301-310.
Qiang Zhang, Min Wu (2011) Credit Risk Mitigation Based on Jarrow-Turnbull Model. 2(2), 49-59. https://doi.org/10.1016/j.sepro.2011.10.007
Published
2013-11-05
Issue
Section
License
Copyright (c) 2013 Authors and Global Journals Private Limited
This work is licensed under a Creative Commons Attribution 4.0 International License.