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Search Results: 1 - 10 of 255 matches for " default "
All listed articles are free for downloading (OA Articles)
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The Pricing of Credit Derivatives and Estimation of Default Probability  [PDF]
Hanghang Zhou, Dianli Zhao
Journal of Mathematical Finance (JMF) , 2015, DOI: 10.4236/jmf.2015.53022
Abstract: Under the native-born model of default and the circular model of default, we take the price of credit derivatives into account. It’s supposed that the short-term market interest rates are based on Vasicek model in this article. Firstly, we calculate the price of default-free bonds in zero-coupon bond. Then, we give the default-intensity expressions under the two models. We calculate the prices of default-free bonds under the two default models. For different situations, we estimate the parameters by maximum likelihood estimation method and calculate the default probability of the company. From the analysis of the result, we find that the result conforms to reality. So the models of default intensity we suppose in the bond pricing are reasonable.
Financing Developing Country Debt: A Sovereign Borrowing Entity Proposal  [PDF]
David J. Moore, Roger W. Clark, George C. Philippatos
Journal of Financial Risk Management (JFRM) , 2014, DOI: 10.4236/jfrm.2014.33008
Abstract:

This paper proposes the creation of a Sovereign Borrowing Entity (SBE) under the auspices of the International Monetary Fund (IMF) and other International Financial Institutions (IFIs). The SBE guarantees bond issuances by developing nations, packages them in relatively small denominations, and auctions them to the public. Should a developing debtor country fail to pay its debt, the SBE would raise funds through a punitive tariff on all exports administered by the IMF member nations. We develop a theoretical model of the proposed Sovereign Borrowing Entity (SBE) and provide viability evidence using export and debt data from the World Bank. It is our hope that this paper will encourage further dialogue and research on financing developing country debt in a more effective manner.

Valuation of a Tranched Loan Credit Default Swap Index  [PDF]
Jin Liang, Yujing Zhou
Technology and Investment (TI) , 2011, DOI: 10.4236/ti.2011.24025
Abstract: This paper provides a methodology for valuing a Loan Credit Default Swap Index (LCDX) and its tranches involving both default and prepayment risks. The valuation is path dependence, where interest, default and prepayment rates are correlated stochastic processes following CIR processes. By Monte Carlo simulation, a numerical solution and team structure of tranched LCDX are obtained. Computing examples are provided.
Extending Multi-Period Pluto and Tasche PD Calibration Model Using Mode LRDF Approach  [PDF]
Denis Surzhko
Journal of Mathematical Finance (JMF) , 2014, DOI: 10.4236/jmf.2014.44026
Abstract:
The intention of this paper is to propose extension to the Pluto and Tasche PD calibration model for low default portfolios that could produce more stable LRDF estimates and eliminate the necessity of quartile choice, while preserving adequate level of conservatism. Multi-period Pluto and Tasche model allows us to fulfill Basel committee requirements regarding long-term LRDF calibration even for portfolios with no observable defaults. The main drawback of that approach is a very strict requirement for the sample: only borrowers that are observable to the bank within each point on long-term horizon could be used as observations. Information regarding rating migrations, borrowers that arrived in the portfolio after sample cutoff date and borrowers that left the portfolio before the end of long-term calibration horizon should be excluded from the sample. Proposed Mode approach pairs Pluto and Tasche model with mode LRDF estimator (proposed by Canadian OSFI), as the results, it eliminates drawbacks of the original Pluto and Tasche model.
Empirical Study on Credit Risk of Our Listed Company Based on KMV Model  [PDF]
Liang Lin, Ting Lou, Ni Zhan
Applied Mathematics (AM) , 2014, DOI: 10.4236/am.2014.513204
Abstract:

KMV model is one of the most important credit risk evaluation models in the world. It uses B-S option pricing and Morton formula based on the market value and volatility of the company’s equity, debt maturities, risk-free interest rates and the book value of liabilities to estimate the market value of the company’s assets and the volatility of the asset value. In this paper, based on the theory of KMV model, we can derive the listed company’s default rate, and assess credit risk. And the result is reasonable.

Conceptual Advances in the Default Space Model of Consciousness  [PDF]
Ravinder Jerath, Connor Beveridge, Michael Jensen
World Journal of Neuroscience (WJNS) , 2018, DOI: 10.4236/wjns.2018.82020
Abstract: The default space model is a unified theory of consciousness that posits the brain and body together form the foundation of conscious experience that exists as a three dimensional internally generated simulation of reality termed the 3D dynamic default space. We have explored and developed the model in many publications and journals with a variety of academic specialties and its scope and concepts continue to broaden. In these publications, we have supported the concepts of the model through its ability to explain neuropsychological disorders, illusions, and everyday observations on consciousness. The model’s foundations in which the thalamus serves as a central hub networked with the brain and body by continuous, fast, membrane potential oscillations have been greatly expanded since its initial publication which we review within this article. Profound leaps forward in our theory include the nature of lateral inhibition in sensory perception, the nature of sensory organs acting as “smart screens”, and the correlation of respiration with mental atmosphere. Through reviewing the developing concepts expanding the theory since our major 2015 publication that laid the foundation of our theory, we hope to give readers a summarized update of where the theory currently stands in terms of its structure. We encourage readers to investigate these previous publications to gain further insight into our propositions. Through accurate models of consciousness, we may develop etiologies for countless neurological disorders, as well as improve treatments.
Predicting Multiple-Borrowing Default among Microfinance Clients  [PDF]
Kanish Debnath, Priyanka Roy
Theoretical Economics Letters (TEL) , 2018, DOI: 10.4236/tel.2018.810116
Abstract: In order to control over-indebtedness that often leads to capacity failure, the Reserve Bank of India recently issued directives for Micro Finance Institutions to restrict multiple loans to borrowers. These institutions are also required to regularly share their current borrowers’ loan records with a Credit Information Company. We argue here that ex-post loan record verification is inefficient and inadequate considering the socio-economic and informational asymmetries in micro-credit markets. Instead, we reason, household characteristics can predict multiple-borrowing behaviour. Our empirical analysis shows that this is true to some extent. We dwell on policy implications and ways to improve our model.
Is there Needed an Industry Approach on Corporate Default Risk? Case Study on Companies Listed on Romanian Stock Exchange
Cristina Maria Triandafil,Petre Brezeanu,Marius Petrescu,Leonardo Badea
Theoretical and Applied Economics , 2009,
Abstract: This paper focuses on applying Black and Scholes structural approach on credit risk in the case of the companies listed on Romanian Stock Exchange. We conduct a case-study on 35 companies belonging to five industries (energetic, materials, chemistry, pharmaceuticals, equipments) during a period of 10 years in order to highlight out default point/threshold and its essential factors evolution across industries. Research approach is concentrated also on the specific characteristics of the Romanian capital market (especially in terms of illiquidity and lack of transparency additional costs), macroeconomic environment and corporate finance decision process. We compute default point from the perspective of the arbitrage between assets and leverage; in accordance with the most recent theories on specific features corporate default within emerging countries (Galytskyy, 2006), a key element will be represented by the assets volatility which will be correlated with the country risk premium in order to highlight out a potential macroeconomic impact on corporate failure.
Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model  [PDF]
Ruili Hao, Yonghui Liu, Shoubai Wang
Journal of Mathematical Finance (JMF) , 2014, DOI: 10.4236/jmf.2014.41002
Abstract:

This paper discusses the pricing problem of credit default swap in the fractional Brownian motion environment. As credit default swap is exposed to both the interest rate risk and the default risk, we assume that the default intensity of a firm depends on the stochastic interest rate and the default states of counterparty firms. The interest rate risk is reflected by the fractional Vasicek interest rate model. We model the firms default intensity under the looping default model and derive the pricing formulas of risky bonds and credit default swap.

Credit Derivative Valuation and Parameter Estimation for Multi-Factor Affine CIR-Type Hazard Rate Model  [PDF]
Alma P. Bimbabou Maboulou, Hopolang P. Mashele
Journal of Mathematical Finance (JMF) , 2015, DOI: 10.4236/jmf.2015.53024
Abstract: The purpose of this paper is to derive or determine the Credit Derivative, especially, the Credit Default Swap which is under the hazard rate (or default intensity) distributed as a multi-factor of the Cox, Ingersoll and Ross (CIR, 1985) models. It is crucial to know how default should be modelled for the valuation of credit derivatives. We are motivated by the idea that CIR term structure model, for example, must be effective for modelling hazard rate, and has some significant properties: mean-reversion and affine. We use South Africa (SA) credit spread market data on Defaultable bonds to estimate parameters associated with the stochastic single-factor hazard rate type CIR.
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