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Loan Commitment Analytics
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
,
Public Humanities
,
Scholarly Communication
Subject(s):
Loans
,
Fixed-income securities
,
Contingent valuation
Item Type:
Report
Tag(s):
load commitment
,
credit risk
,
value at risk
Search term matches:
Tag
...
credit
risk
...
Credit VaR Model
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
,
Public Humanities
,
Scholarly Communication
Subject(s):
Credit ratings
,
Risk management
Item Type:
Presentation
Tag(s):
credit risk
,
value at risk
,
VaR
Search term matches:
Tag
...
credit
risk
...
Full Text
... and analyzing
credit
risk
of a portfolio. The basic methodology of the Credit VaR employs the credit migration ...
Funding Valuation Adjustment
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
funding valuation adjustment
,
FVA
,
credit risk
,
credit exposure approach
,
least square Monte Carlo approach
,
funding cost
Search term matches:
Tag
...
credit
risk
...
Full Text
... of counterparty
credit
risk
◆ In practice, CVA should be computed at portfolio level. That m.eans calculation ...
Credit Valuation Adjustment (CVA) Introduction
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Credit value adjustment
,
CVA
,
credit risk
,
valuation
,
risk management
Search term matches:
Tag
...
credit
risk
...
Collateral Management
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Collateral
,
credit risk
,
counterparty credit risk
,
valuation
Search term matches:
Tag
...
credit
risk
...
Full Text
... Collateral Management and Counterparty
Credit
Risk
Collateral Summary ◆ Collateral Definition ...
Counterparty Credit Risk Introduction
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
credit risk
,
counterparty credit risk
,
credit risk modeling
,
default risk
Search term matches:
Title
... Counterparty
Credit
Risk
Introduction ...
Tag
...
credit
risk
...
Full Text
... Counterparty
Credit
Risk
CCR Summary ◆ Counterparty
Credit
Risk
Definition ◆ Counterparty ...
The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
credit value adjustment (CVA)
,
credit risk modeling
,
financial derivative valuation
,
collateralization
,
margin and netting.
Search term matches:
Tag
...
credit
risk
modeling ...
Full Text
... derivatives subject to counterparty
credit
risk
. Both unilateral and bilateral types of
credit
risks
...
The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
valuation model; credit risk modeling; collateralization; correlation
,
CDS.
Search term matches:
Tag
... valuation model;
credit
risk
modeling; collateralization; correlation ...
Full Text
... ) contract that is affected by multiple
credit
risks
of the buyer, seller and reference entity. We show ...
Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
colateral
,
risk management
,
CDS
Search term matches:
Title
... Pricing Financial Derivatives Subject to Multilateral
Credit
Risk
and Collateralization ...
Tag
...
credit
risk
modeling ...
Full Text
... Pricing Financial Derivatives Subject to Multilateral
Credit
Risk
and Collateralization ...
The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
,
Qualitative research--Methodology
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
collateralization
,
Quantitative methods
Search term matches:
Title
... The Impact of Default Dependency and Collateralization on Asset Pricing and
Credit
Risk
Modeling ...
Tag
...
credit
risk
modeling ...
Full Text
... The Impact of Default Dependency and Collateralization on Asset Pricing and
Credit
Risk
...
An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk
Author(s):
Tim Xiao
(see profile)
Date:
2015
Group(s):
Business Management
,
Scholarly Communication
Subject(s):
Economics
,
Knowledge management
,
Commercial statistics
Item Type:
Article
Tag(s):
asset pricing
,
credit value adjustment
,
wrong way risk
,
credit risk modeling
,
default time approach
,
Business data
Search term matches:
Tag
...
credit
risk
modeling ...
Full Text
... risk,
credit
risk
modeling, least square Monte Carlo, default time approach (DTA), default ...
A New Model for Pricing Collateralized Financial Derivatives
Author(s):
Tim Xiao
(see profile)
Date:
2017
Group(s):
Business Management
,
Scholarly Communication
Item Type:
Article
Tag(s):
asset pricing
,
collateralization
,
CVA
,
interaction between market and credit risk
,
plumbing of financial system
,
swap premium spread
,
VaR
Search term matches:
Tag
... interaction between market and
credit
risk
...
Full Text
... dataset, we find empirical evidence that
credit
risk
alone is not overly important in determining credit ...
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