Arbeitspapier
Modellierung des Kreditrisikos im Einwertpapierfall
The current financial market crisis has impressively demonstrated the importance of an effective credit risk management for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised as a result of the crisis. Over the past decade, credit derivatives emerged as an important part of credit risk management as these offer a broad range of possibilities to reduce credit risk through active credit portfolio management. This has represented a quantum leap in the further development of credit risk management. Credit risk management, without using credit derivatives, no longer seems to be an appropriate alternative. However, correct valuation of these derivatives is still challenging. The crisis has demonstrated that the issue is less about using credit derivatives than about developing valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These models are the key focus of this working paper.
- Sprache
-
Deutsch
- Erschienen in
-
Series: Frankfurt School - Working Paper Series ; No. 126
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
Credit risk pricing models
asset-based models
asset-value models
structural models
intensity-based models
reduced-form models
credit derivatives
credit default swap
pricing
valuation
default spread
risk management
credit portfolio management
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cremers, Heinz
Walzner, Jens
- Ereignis
-
Veröffentlichung
- (wer)
-
Frankfurt School of Finance & Management
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- URN
-
urn:nbn:de:101:1-20090826287
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cremers, Heinz
- Walzner, Jens
- Frankfurt School of Finance & Management
Entstanden
- 2009