This paper studies fund flows and risk allocation decisions among prime money market funds (MMFs) during the 2011–2012 eurozone crisis. We exploit much more granular measures of fund credit risk and investor sophistication than previously employed in the literature. Empirically, we find that funds with greater credit risks experienced larger outflows during the eurozone crisis. This effect was ...

New Approaches to Importance Sampling for Portfolio Credit Risk Valuation Zhe Wang Master of Science Graduate Department of Computer Science University of Toronto 2015 Portfolio credit risk based on the Gaussian Copula model has been widely studied and generally evaluated through Monte Carlo simulations. The two-level structure, namely systematic factors and individual factors, complicates the ...

Motivated by the interplay between structural and reduced form credit models, and in particular the rating class model of Jarrow, Lando and Turnbull, we propose to model the firm value process as a time-changed Brownian motion. We are lead to consider modifying the classic first passage problem for stochastic processes to capitalize on this time change structure. We demonstrate that the distrib...

We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option, both with zero strike and written on the residual net value of the contract...

To my parents and to Diana Preface Credit derivatives play a major role in financial markets. To price these complex products objectively advanced mathematical models are needed. In this thesis we focus on the modelling and valuation of two portfolio credit derivatives: n th-to-default credit default swaps (CDSs) and collateralised debt obligations (CDOs). The key input parameters of these mode...

Credit default events show cross sectional as well as serial correlation. While the latter is often neglected by current credit risk models, this work incorporates both types of dependence. A Bernoulli mixture model is considered, where in each rating grade the probit of the stochastic Bernoulli parameter follows an autoregressive stationary process with exogenous variables. The model parameter...

This paper proposes a DEA-based approach to credit scoring. Compared with conventional models such as multiple discriminant analysis, logistic regression analysis, and neural networks for business failure prediction, which require extra a priori information, this new approach solely requires ex-post information to calculate credit scores. For the empirical evidence, this methodology was applied...

This paper investigates whether and how property dispositions affect credit ratings of real estate investment trusts (REITs). We use an instrument variable to control the potential endogeneity problem associated with firm’s decision to divest assets and find that property dispositions have a positive effect on REIT corporate credit ratings. We further investigate the underlying channels for thi...

s (in alphabetic order of speakers) Tomas Björk, Stockholm School of Economics Title: Good Deal Bound Pricing, with Applications to Credit Risk Abstract: We consider an incomplete market in the form of a multidimensional Markovian factor model, driven by a general marked point process (representing discrete jump events) as well as by a standard multidimensional Wiener process. Within this frame...