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1	An Investigation of the Internal Rating-based Model under Basel II Huang, Mei-chen 22 July 2004 (has links) none credit risk reduced form model Basel accord
2	Direct sensitivity techniques in regional air quality models: development and application Zhang, Wenxian 12 January 2015 (has links) Sensitivity analysis based on a chemical transport model (CTM) serves as an important approach towards better understanding the relationship between trace contaminant levels in the atmosphere and emissions, chemical and physical processes. Previous studies on ozone control identified the high-order Decoupled Direct Method (HDDM) as an efficient tool to conduct sensitivity analysis. Given the growing recognition of the adverse health effects of fine particulate matter (i.e., particles with an aerodynamic diameter less than 2.5 micrometers (PM2.5)), this dissertation presents the development of a HDDM sensitivity technique for particulate matter and its implementation it in a widely used CTM, CMAQ. Compared to previous studies, two new features of the implementation are 1) including sensitivities of aerosol water content and activity coefficients, and 2) tracking the chemical regimes of the embedded thermodynamic model. The new features provide more accurate sensitivities especially for nitrate and ammonium. Results compare well with brute force sensitivities and are shown to be more stable and computationally efficient. Next, this dissertation explores the applications of HDDM. Source apportionment analysis for the Houston region in September 2006 indicates that nonlinear responses accounted for 3.5% to 33.7% of daily average PM2.5, and that PM2.5 formed rapidly during night especially in the presence of abundant ozone and under stagnant conditions. Uncertainty analysis based on the HDDM found that on average, uncertainties in the emissions rates led to 36% uncertainty in simulated daily average PM2.5 and could explain much, but not all, of the difference between simulated and observed PM2.5 concentrations at two observations sites. HDDM is then applied to assess the impact of flare VOC emissions with temporally variable combustion efficiency. Detailed study of flare emissions using the 2006 Texas special inventory indicates that daily maximum 8-hour ozone at a monitoring site can increase by 2.9 ppb when combustion is significantly decreased. The last application in this dissertation integrates the reduced form model into an electricity generation planning model, and enables representation of geospatial dependence of air quality-related health costs in the optimization process to seek the least cost planning for power generation. The integrated model can provide useful advice on selecting fuel types and locations for power plants. High-order DDM method Reduced form model Uncertainty analysis Flare modeling Sensitivity analysis Air quality models
3	Analyzing Credit Risk Models In A Regime Switching Market Banerjee, Tamal 05 1900 (has links) (PDF) Recently, the financial world witnessed a series of major defaults by several institutions and investment banks. Therefore, it is not at all surprising that credit risk analysis have turned out to be one of the most important aspect among the finance community. As credit derivatives are long term instruments, it is affected by the changes in the market conditions. Thus, it is a appropriate to take into consideration the effects of the market economy. This thesis addresses some of the important issues in credit risk analysis in a regime switching market. The main contribution in this thesis are the followings: (1) We determine the price of default able bonds in a regime switching market for structural models with European type payoff. We use the method of quadratic hedging and minimal martingale measure to determine the defaultble bond prices. We also obtain hedging strategies and the corresponding residual risks in these models. The defaultable bond prices are obtained as solution to a system of PDEs (partial differential equations) with appropriate terminal and boundary conditions. We show the existence and uniqueness of the system of PDEs on an appropriate domain. (2) We carry out a similar analysis in a regime switching market for the reduced form models. We extend some of the existing models in the literature for correlated default timings. We price single-name and multi-name credit derivatives using our regime switching models. The prices are obtained as solution to a system of ODEs(ordinary differential equations) with appropriate terminal conditions. (3) The price of the credit derivatives in our regime switching models are obtained as solutions to a system of ODEs/PDEs subject to appropriate terminal and boundary conditions. We solve these ODEs/PDEs numerically and compare the relative behavior of the credit derivative prices with and without regime switching. We observe higher spread in our regime switching models. This resolves the low spread discrepancy that were prevalent in the classical structural models. We show further applications of our model by capturing important phenomena that arises frequently in the financial market. For instance, we model the business cycle, tight liquidity situations and the effects of firm restructuring. We indicate how our models may be extended to price various other credit derivatives. Mathematical Finance Credit Risk Model Regime Switching Market Credit Risk Analysis Credit Derivatives Market Defaultable Bonds - Pricing Credit Derivatives Prices Markov Modulated Market Reduced Form Model Regime Switching Models Credit Risk Financial Economics
4	On the Proxy Modelling of Risk-Neutral Default Probabilities / Proxymodellering av riskneutrala fallissemangssannolikheter Lundström, Edvin January 2020 (has links) Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). This adjustment should in principle always enter the valuation of a derivative traded over-the-counter (OTC). To calculate CVA, one needs to know the probability of default of the counterparty. Since CVA is a price, what one needs is the risk-neutral probability of default. The typical way of obtaining risk-neutral default probabilities is to build credit curves calibrated using Credit Default Swaps (CDS). However, for a majority of a bank's counterparties there are no CDSs liquidly traded. This constitutes a major challenge. How does one model the risk-neutral default probability in the absence of observable CDS spreads? A number of methods for constructing proxy credit curves have been proposed previously. A particularly popular choice is the so-called Nomura (or cross-section) model. In studying this model, we find some weaknesses, which in some instances lead to degenerate proxy credit curves. In this thesis we propose an altered model, where the modelling quantity is changed from the CDS spread to the hazard rate. This ensures that the obtained proxy curves are valid by construction. We find that in practice, the Nomura model in many cases gives degenerate proxy credit curves. We find no such issues for the altered model. In some cases, we see that the differences between the models are minor. The conclusion is that the altered model is a better choice since it is theoretically sound and robust. / Sedan Lehman Brothers konkurs 2008 har det blivit allt viktigare att mäta, hantera och prissätta kreditrisken i finansiella derivat. Kreditrisk i finansiella derivat benämns ofta motpartsrisk (CCR). Priset på motpartsrisk fångas i kreditvärderingsjustering (CVA). Denna justering bör i princip alltid ingå i värderingen av ett derivat som handlas över disk (eng. over-the-counter, OTC). För att beräkna CVA behöver man veta sannolikheten för fallissemang (konkurs) hos motparten. Eftersom CVA är ett pris, behöver man den riskneutrala sannolikheten för fallissemang. Det typiska tillvägagångsättet för att erhålla riskneutrala sannolikheter är att bygga kreditkurvor kalibrerade med hjälp av kreditswappar (CDS:er). För en majoritet av en banks motparter finns emellertid ingen likvid handel i CDS:er. Detta utgör en stor utmaning. Hur ska man modellera riskneutrala fallissemangssannolikheter vid avsaknad av observerbara CDS-spreadar? Ett antal metoder för att konstruera proxykreditkurvor har föreslagits tidigare. Ett särskilt populärt val är den så kallade Nomura- (eller cross-section) modellen. När vi studerar denna modell hittar vi ett par svagheter, som i vissa fall leder till degenererade proxykreditkurvor. I den här uppsatsen föreslår vi en förändrad modell, där den modellerade kvantiteten byts från CDS-spreaden till riskfrekvensen (eng. hazard rate). Därmed säkerställs att de erhållna proxykurvorna är giltiga, per konstruktion. Vi finner att Nomura-modellen i praktiken i många fall ger degenererade proxykreditkurvor. Vi finner inga sådana problem för den förändrade modellen. I andra fall ser vi att skillnaderna mellan modellerna är små. Slutsatsen är att den förändrade modellen är ett bättre val eftersom den är teoretiskt sund och robust. Counterparty Credit Risk Credit Valuation Adjustment CVA Credit modelling Reduced form model Proxy model Hazard rate Cross-section model Nomura model Motpartsrisk Kreditvärderingsjustering CVA Kreditmodellering Proxymodellering Nomuramodellen Mathematics Matematik
5	匯率雙出局保本型票券與以簡約模型估計違約相關係數之實證分析簡鈴衿, CHIEN, LING-JIN Unknown Date (has links) 本論文一共分為兩大主題，分別為匯率連結商品之評價與分析，及違約事件相關係數之估計。在結構型金融商品於市場上熱賣之後，金融業者紛紛投入財務工程領域，競相推出類似的產品。然而，自1971年世界各國開始實行浮動匯率制度之後，匯率風險較以往提高不少，因此各種不同設計的外匯衍生性商品開始不斷地問世。有鑑於此，本文希望藉由分析市場上的匯率商品：「新加坡華僑銀行一年期匯率連結結構型存款」，讓發行商和投資人了解結構型商品設計的要點與風險所在。在此商品中，本文利用多變數蒙地卡羅模擬法求出商品的近似價格，除了看發行商是否有利可尋之外，也提供發行商可行之避險策略。同時，本文也透過商品條款分析與情境分析，讓投資人了解其獲利所在與將面臨的風險。 / 由於近年來信用事件層出不窮，顯示出信用風險控管的重要性，信用衍生性商品也因而開始蓬勃發展。目前信用衍生性商品以信用違約交換為最大宗，擔保債權憑證(Collateralized Debt Obligations, CDO)為其次。由於一籃子信用衍生性商品和擔保債權憑證涉及多檔標的資產，在評價時，公司之間的違約相關係數是個重要因子，因此本文在另一個主題上，透過Robert Jarrow與Donald van Deventer(2005)提出的違約相關係數之估計方法，以簡約模型估計違約相關係數，利用台灣公司資料做實證分析，期許對連結多項標的資產之信用衍生性商品之評價有所幫助。雙重界限選擇權蒙地卡羅模擬法 Cholesky分解法簡約模型違約相關係數 Double Barrier Options Monte Carlo Simulation Cholesky Decomposition Reduced-Form Model Default Correlation
6	考慮信用風險下新金融商品之評價分析許家瑜, Hsu Chia Yu Unknown Date (has links) 本文之信用風險模型屬於簡約模型(Reduced Form Model)之範疇，以COX過程解釋違約過程，解釋為何企業會發生連帶倒閉的現象。在考慮信用風險後，各期所產生之現金流量變得具不確定性，因此在計算現金流量之現值時，折現因子就必須考慮信用風險溢酬，本文選用信用風險模型中的一大分支-約簡模型，將信用風險量化(包含系統風險及非系統風險)，進而估計出信用價差期間結構；就如同無風險利率期間結構對固定收益商品之重要性，在估計出公司之信用價差期間結構後，即可針對該公司發行之各種商品進行評價分析。本文並以花旗所羅門美邦控股公司為例進行實證，利用公司債理論價格與市價之誤差平方和，求解違約過程之參數估計值及信用價差期間結構；接著，針對花旗所羅門美邦控股公司所發行之連動債券〝TRAGETS〞，進行評價分析並比較考慮信用風險與否是否有助於理論價格與市價之配適。 Hull & White均數回復利率模型 Hull & White利率三元樹信用簡約模型 Cox過程違約密度信用風險溢酬結構型債券 Hull & White Trinomial Tree Reduced Form Model Cox Process Default Intensity Credit Risk Permium Structure Notes
7	Semi-analytische und simulative Kreditrisikomessung synthetischer Collateralized Debt Obligations bei heterogenen Referenzportfolios / Unternehmenswertorientierte Modellentwicklung und transaktionsbezogene Modellanwendungen / Semi-Analytical and Simulative Credit Risk Measurement of Synthetic Collateralized Debt Obligations with Heterogeneous Reference Portfolios / A Modified Asset-Value Model and Transaction-Based Model Applications Jortzik, Stephan 03 March 2006 (has links) No description available. 330 Wirtschaft Economic Sciences Asset-Backed-Securities CDO CBO CLO ABS Zweckgesellschaft Zinsunterbeteiligung PROMISE KfW Banken Replenishment Unternehmenswertmodell Reduziertes Modell Zeittransformation Brownsche Brücke Ausfallschranke Fourier-Transformation Faktormodell Ausfallrisiko Kreditrisiko Risikoprämie Ratingmigration Asset-Backed Securities CDO CBO CLO ABS Special-Purpose Vehicle Interest Subparticipation PROMISE KfW Banks Replenishment Asset-Value Model Reduced-Form Model Time Transformation Brownian Bridge Default Barrier Fourier Transformation Factor Model Default Risk Credit Risk Risk Premium Rating Migration 85.30 EJBB 280: Finance portfolios investment {Mathematical economics} EJBB 300: Risk theory insurance {Mathematical economics} LCC100

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