The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...

The Basel II Accord pointed out benefits of credit risk management through internal models to estimate Probability of Default (PD). Banks use default predictions to estimate the loan applicants’ PD. However, in practice, PD is not useful and banks applied credit scorecards for their decision making process. Also the competitive pressures in lending industry forced banks to use profit scorecards...

Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit default swap are characterized by their correlated default intensities, where the default intensity of one party increases whe...

this field study was conducted  to investigate barriers to applying principles of management in wards of tehran university on medical science hospitals: head nurses' viewpoints .75 hednurses who  were working  in selected hospitals affiliated to tehran university of medical sciences. the data collection tool was a questionnaire that  it,s validity and reliability was obtained using content...

Links [1] http://physics111.lib.berkeley.edu/Physics111/ [2] http://dev-physicsadv.pantheon.berkeley.edu/sites/default/files/matlab_fitting/Matlab_Fitting.zip [3] http://dev-physicsadv.pantheon.berkeley.edu/sites/default/files/matlab_fitting/CurveFit.m [4] http://dev-physicsadv.pantheon.berkeley.edu/sites/default/files/matlab_fitting/ExponentialFit.m [5] http://dev-physicsadv.pantheon.berkeley....

We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods—cohort and duration (intensity)—using twenty-two years of credit ratings data. We find that the bootstrapped intervals for the d...

Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitragefree price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuoustime Markov process. As a result of this representation, along with a short-time asymptotic expansion of the claim’s price process, we develop an efficient method for pri...

The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation , exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices defines the risk neutral process for which we infer the first passage times of stock prices to 30% o...

We give an empirical assessment of I2, a structural credit model based on incomplete information. In this model, investors cannot observe a firm’s default barrier. As a consequence, I2 exhibits both the economic appeal of a structural model and the tractable pricing formulae and empirical plausibility of a reduced form model. We compare default probability and credit spread forecasts generated ...