Titlebook: Credit Risk; Measurement, Evaluat Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollm Conference proceedings 2003 Physica-Verlag Heidelberg

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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

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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

Dislocation

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

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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

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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

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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

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