This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. Portfolio credit risk measurement is greatly affected by data...

In recent years new methods and models have been developed to quantify credit risk on a portfolio basis. CreditMetricsTM, CreditRisk, CreditPortfolioView are among the best known and many others are similar to them. At first glance they are quite different in their approaches and methodologies. A comparison of these models especially with regard to their applicability on typical middle market l...

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate and mortgage backed securities constitute large proportion assets institutional investors in most countries, it is important to be able determine number lines/issuers such assets, not only portfolio management but also purposes. The that I in...

We propose an approach to optimally select corporate bond portfolios based on bond-specific characteristics (maturity, credit rating, coupon, illiquidity, past performance, and issue size) and macroeconomic conditions (recessions and macroeconomic uncertainty measures). The approach relies on a parametric specification of the portfolio weights and allows us to consider a large cross-section of ...

The subject of this paper is the single tranche portfolio credit default swap or synthetic single tranche CDO, which has received a great deal of interest in recent years. Unlike single name CDS, tranche portfolio products depend on the joint default behavior of the underlying credits or in other words their default correlation.The Gaussian copula has emerged as a market standard for modeling t...

information asymmetry in stock market can increase the risk of investment which in turn increases the capital cost of firms. bhattacharya (1979) proposed a hypothesis that states dividend can act as a powerful signal in order to solve information asymmetry problem. we measured information asymmetry by lack of earnings transparency. therefore we examine the effect of earnings transparency on cap...

models aim to generate precisely that distribution, often through simulation, so that a bank may, among other things, set the level of capital it needs to hold to withstand losses to a certain degree of confidence, i.e. a tail region in the loss distribution. Most credit portfolio models link the portfolio loss distribution to states of the world; they differ in how specifically they are linked...

We investigate the replenishment of 102 asset-backed securities (ABS) backed by more than 1.7 million small- and medium-sized enterprise loans. Based on our extensive data set from 2012 to 2017 obtained first only central loan-level repository for ABS in Europe, we reveal that loans added securitized loan portfolios after transactions' closing perform worse are part initial portfolio. On averag...

Bonds are known as one of low-risk investments and worth to be considered a part an investor's portfolio, however there still underlying risks that could affect its price. This paper focuses on the effect early redemption risk default bond’s value. Using binomial interest rate tree method adjusted for version, this wants analyse how these Indonesian bonds’ values through simulations, while show...

This paper introduces a DSGE model that focuses on the modelling of endogenous default and a regulated, active banking sector. One purpose of the paper is to study the impacts of shocks on an economy with nancial frictions. The main nancial friction comes from the combination of default and bank capital requirement. We focus on studying banks' responses in terms of portfolio decisions, capital ...