Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

credit sign in to follow this
structural model sign in to follow this
Merton model sign in to follow this
default probability sign in to follow this
CVaR sign in to follow this
Categories:

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective
Year Of Publication: 2008
Month Of Publication: March
Pages: 11
Download Count: 3
View Count: 1443
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 3-25-2011
Publisher: Administrator
Summary
Credit risk modelling has become increasingly important to Banks since the advent of Basel II which allows Banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. The management of sectoral concentration is a critical component of credit risk management, as over concentration of credit in sectors can be a significant contributor to difficulties experienced by Banks. Conditional Value at Risk (CVaR) is gaining popularity as a measurement of credit risk, with the recognition that high lending losses are often impacted by a small number of extreme events. This study examines sectoral probability of default (PD) in an Australian context based on the structural approach of Merton (1974), and more recently modified and popularised by KMV Corporation (Crosbie & Bohn, 2003). In addition to examining PD, we introduce a CVaR type component into structural modelling which we term conditional probability of default (CPD). We also examine the interaction between sectoral cre
Author(s)
Allen, David E. Sign in to follow this author
Powell, Robert J. Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile