Questions tagged [credit]
Fixed-income instruments whose price depends in large part upon judgments of the creditworthiness of a corporation or government.
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PDF Calculation by Fourier Inversion of Characteristic Function for Affine Intensity Process in Matlab
I'm trying to use the Fourier inversion formula to plot the PDF of an Affine Stochastic Intensity Reduced Form Credit Model, given its characteristic function.
The characteristic function of an ...
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Documentation of the ISDA CDS standard model
I have to validate the use of the ISDA CDS standard model.
Don't understand me wrong - I am sure that the ISDA model is "good" I just need to know what it is in detail.
I can download an Excel-...
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Introducing credit risk to an already implemented interest rate model
Do any standard/generic approaches exist on how to extend an interest rate model to incorporate credit risk?
The first thing that comes to mind would be to just model the credit spread separately - ...
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The role of micro credit in finance
The concept of micro credit has been around for a while. Recall that Muhammad Yunus together with Grameen Bank were awarded the Nobel price in this context.
I don't have references at hand but I ...
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On the interface between Quant finance and actuarial-science/insurance-math
Actuaries (at least in Europe) are frequently severily lacking in quant finance topics. At best they are familiar with B&S model.
People going into quant finane or striving to become a quant on ...
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How does buying back stock affect a company's credit spread?
How does buying back stock affect a company's credit spread? Would it cause it to get smaller? Any clarification would be appreciated.
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Is it more common to hedge a mortgage bond portfolio with other bonds as opposed to Interest Rate Swaps? [closed]
Is it possible to get interest rate swaps on mortgages? If not, why not? Are there models that describe this? Any direction would be great.
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Finding Credit Risk Population Data
Are there any free or relatively cheap sources of aggregate data on credit risk for specific geographic regions, ages, and so on?
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How is the default probability implied from market implied CDS spreads for CVA/DVA calculation?
From point 38 on P.17 the default probability can be implied from market implied CDS spreads. "Macro Surface" method is mentioned, but I cannot get any clue of what it is? Where do I get the acedemic ...
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moody's credit ratings for senior unsecured bonds
Can 2 senior unsecured bonds from the same obligor have different moody's credit ratings? Or do they both have to have the same rating because they are in the same capital structure? Thanks
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relation between asset's and equity volatilities - merton model
In terms of Merton credit risk model need to find the initial value of counterparty's assets and the volatility of the assets. Both value are not directly observable thus we have to approximate them ...
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Multi Factor Credit Risk Models
I am working in the area of building credit risk models. Upto this point, the model I have been focused on using the Asymptotic Single Factor Model, more popularly known as Vasicek Single Factor Model....
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What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness?
I'm doing some work for a company and one of my tasks is to research credit default swaps on banks and to write a page about them explaining what they are and how they're used to evaluate the banks' ...
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What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
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How to define and measure liquidity or funding premium in credit markets?
Even companies with just a single non-callable corporate bond outstanding will often have CDS quote spreads that differ from the bond quote spread. During the 2008 crisis, there were dozens of cases ...
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How to estimate probability of default from bond prices?
How do you use bond prices/yields to infer probabilities of default? I would think of it as follows:
Create a relationship between default free (e.g., Germany) and defaultable (e.g., Greece) bond ...
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What is the unit of the Distance to Default measure?
I read in a book that the distance to default of a company is "2.978".
Can anyone please tell me what is the unit implied behind this measure? Are they "years" for instance?
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Credit Valuation Adjustments -- computation issues
I'm currently working on my Masters project related to accelerating Greeks computations for CVA on mixed interest rate portfolios. I would like to know about the status of technology for CVA and its ...
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Quanto CDS modeling
What is the market standard for pricing quanto CDS (i.e. CDS which pays the contingent leg in different currency than the pricing leg)?
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Stochastic recovery rates
How do I model the randomness of recovery rate given default when pricing credit derivatives?
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What are the limitations of Gaussian copulas in respect to pricing credit derivatives?
The practice of using Gaussian copulas in modeling credit derivatives has come under a lot of criticism in the past few years. What are the major arguments against using the copula method in this ...
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Concentration risk in credit portfolio
How do you model concentration risk of credit portfolio in IRB/Basel II framework?
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