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Journal of Credit Risk最新文献

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Basel Risk Weight Functions and Forward-Looking Expected Credit Losses 巴塞尔风险权重函数与前瞻性预期信贷损失
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2018-03-01 DOI: 10.21314/jcr.2019.255
Vlachostergios Eleftherios
It is evident that the definition of expected credit losses (ECL) diverges between International Financial Reporting Standard 9 (IFRS 9) (the accounting model recently adopted by European banks) and the probability of default/loss given default methodology used in the Basel internal ratings-based approach to capital adequacy estimation. The ongoing discussion on the incorporation of lifetime ECL into the Basel framework – through the adoption of lifetime expected losses with the greatest possible consensus – will eventually lead to modifications, but for the time being it is not optimal. We establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, we propose two alterations to the risk weight functions that constitute the core of the Basel advanced methodologies.
很明显，预期信贷损失(ECL)的定义在国际财务报告准则9 (IFRS 9)(欧洲银行最近采用的会计模型)和巴塞尔内部基于评级的资本充足率估计方法中使用的违约方法的违约/损失概率之间存在分歧。正在进行的关于将终身ECL纳入巴塞尔框架的讨论——通过尽可能达成最大共识的方式采用终身预期损失——最终将导致修改，但就目前而言，这并非最佳方案。我们建立了终身ECL和巴塞尔资本充足率框架的组合，它依赖于一年的期限，导致资本高估。除了这一发现之外，为了缓解这个问题，我们对构成巴塞尔高级方法核心的风险权重函数提出了两项修改。
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引用次数: 3
A Copula Approach to Credit Valuation Adjustment for Swaps Under Wrong-Way Risk 错向风险下掉期信用估值调整的Copula方法
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2018-02-13 DOI: 10.21314/JCR.2017.234
Jakub Černý, J. Witzany
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR). It compares the upper Frechet bound approach introduced in a 2013 paper by Umberto Cherubini with a new semi-analytical IRS–CVA formula that we are proposing as a modification of Cherubini’s approach. The approaches are compared via a numerical study, in which we find that our semianalytical formula (the modified approach) provides more precise IRS–CVA valuation results.
本文研究了违约时间与利率之间存在反向依赖关系的利率掉期(IRS)合约的信用估值调整(CVA)问题，即所谓的错向风险(WWR)。它比较了Umberto Cherubini在2013年的一篇论文中引入的上Frechet界方法与我们作为Cherubini方法的修改而提出的新的半解析IRS-CVA公式。通过数值研究比较了这两种方法，我们发现我们的半解析公式(修正方法)提供了更精确的IRS-CVA估值结果。
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引用次数: 3
Consumer risk appetite, the credit cycle and the housing bubble 消费者风险偏好、信贷周期和房地产泡沫
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2018-01-01 DOI: 10.21314/jcr.2017.236
Joseph Breeden,José Canals-Cerdá
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引用次数: 0
Moment estimators for autocorrelated time series and their application to default correlations 自相关时间序列的矩估计及其在默认相关中的应用
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2018-01-01 DOI: 10.21314/jcr.2017.231
Christoph Frei,Marcus Wunsch
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引用次数: 0
Issuer Bias in Corporate Ratings Toward Financially Constrained Firms 公司评级中对财务受限公司的发行人偏见
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2017-12-14 DOI: 10.21314/JCR.2017.226
M. Hasan, Nikunj Kapadia, Akhtar Siddique
Rating downgrades can have adverse consequences on a firm due to the feedback effect, even when ratings lack informational content. In this paper, we consider whether the rating agency attempts to mitigate the feedback effect through its rating actions. Using Moody’s issuer ratings over 1982–2009, we show that firms with greater external financing constraints are less likely to be downgraded. The issuer bias is robust, and its economic significance increases at times when economy-wide credit spreads are unusually high. We document that severely constrained firms whose ratings are affirmed or upgraded have long-term positive excess equity returns.
由于反馈效应，评级下调可能对公司产生不利影响，即使评级缺乏信息内容。在本文中，我们考虑评级机构是否试图通过其评级行为来减轻反馈效应。利用1982-2009年穆迪发行人评级，我们发现外部融资约束较大的公司不太可能被降级。发行人偏向性很强，在整个经济体的信贷息差异常高的时候，其经济意义会增强。我们证明，严重约束的公司，其评级被肯定或升级有长期正超额股本回报。
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引用次数: 0
Reliability and agreement of credit ratings in the Mexican fixed-income market 墨西哥固定收益市场信用评级的可靠性和一致性
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2017-09-01 DOI: 10.21314/jcr.2017.227
Ventura Charlin,Arturo Cifuentes
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引用次数: 0
Optimal Investment and Financing with Macroeconomic Risk and Loan Guarantees 宏观经济风险与贷款担保下的最优投融资
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2017-08-19 DOI: 10.2139/ssrn.2994489
Xiaoling Tang, Zhaojun Yang
We consider an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap. The entrepreneur is exposed to macroeconomic risk as well as idiosyncratic risk. The former is described by a regime-switching process; the latter by a geometric Brownian motion. We derive the corporate security prices, guarantee costs, optimal investment and financing policy. Numerical analysis discovers that the entrepreneur postpones investment in boom but accelerates in recession. The optimal leverage ratio is countercyclical when the project idiosyncratic risk is low and vice versa. The swap mechanism eliminates ex-post agency conflicts between the borrowers and lenders but the conflicts of interest between the borrowers and the insurers appear, which induce inefficiencies from asset substitution and debt overhang. They are generally not so obvious in boom or if boom occurs frequently. The swap overcomes financing frictions and increases firm value as well.
我们考虑一位企业家，他没有资产，但拥有一个投资项目的选择权，该项目会产生一次性投资成本，其中一部分必须通过股权换担保来融资。企业家既面临宏观经济风险，也面临特殊风险。前者被描述为一个政权转换过程;后者是一个几何布朗运动。推导出公司证券价格、担保成本、最优投融资政策。数值分析发现，企业家在繁荣时期推迟投资，在衰退时期加速投资。当项目特殊风险较低时，最优杠杆率是逆周期的，反之亦然。互换机制消除了借款人和贷款人之间的事后代理冲突，但出现了借款人和保险人之间的利益冲突，导致资产替代和债务积压导致效率低下。在繁荣期或繁荣期频繁发生时，它们通常不那么明显。这种互换克服了融资摩擦，也增加了公司价值。
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引用次数: 8
Primary-Firm-Driven Portfolio Loss 初级公司驱动的投资组合损失
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2017-06-22 DOI: 10.21314/JCR.2017.223
S. Turnbull
Many financial institutions provide loans to secondary firms, whose economic survival depends on the economic condition of primary firms. Even if loans from primary firms are not held in the loan portfolio, the financial distress of primary firms can adversely affect the loan portfolio of a financial institution. This paper describes a simple model that can be used for risk management. Our model directly incorporates the dependence of the conditional probability of default and loss given default of secondary firms on primary firms. Two simple examples show that failure to account for such dependence can result in the value-at-risk and the expected shortfall being greatly underestimated.
许多金融机构向二级企业提供贷款，二级企业的经济生存取决于一级企业的经济状况。即使来自初级公司的贷款不包含在贷款组合中，初级公司的财务困境也会对金融机构的贷款组合产生不利影响。本文描述了一个可用于风险管理的简单模型。我们的模型直接结合了二级企业违约的条件概率和违约损失对一级企业的依赖关系。两个简单的例子表明，未能考虑到这种依赖可能导致风险价值和预期不足被大大低估。
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引用次数: 0
Portfolio Credit Risk Model with Extremal Dependence of Defaults and Random Recovery 违约极依赖和随机恢复的组合信用风险模型
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2017-06-22 DOI: 10.21314/JCR.2017.222
Jong-June Jeon, Sunggon Kim, Yonghee Lee
The extremal dependence of defaults, and negative correlation between defaults and their recovery rates, are of major interest in modeling portfolio credit risk. In order to incorporate these two features, we propose a portfolio credit risk model with random recovery rates. The proposed model is an extension of the traditional t-copula model for the credit portfolio with constant recovery rates. A skew-normal copula model is adopted to represent dependent random recovery rates. In our proposed model, various types of dependency between the defaults and their recovery rates are possible, including an inverse relation. We also propose a conditional Monte Carlo simulation algorithm for estimating the probability of a large loss in the model, and an importance sampling version of it. We show that the proposed Monte Carlo simulation algorithm is relatively efficient compared with the plain Monte Carlo simulation. Numerical results are presented to show the performance and efficiency of the algorithms.
违约的极端依赖以及违约与其回收率之间的负相关关系是投资组合信用风险建模的主要兴趣。为了结合这两个特征，我们提出了一个随机回收率的投资组合信用风险模型。本文提出的模型是对具有恒定回收率的信贷组合的传统t-copula模型的扩展。采用斜正态联结模型表示相关随机恢复率。在我们提出的模型中，默认值与其回收率之间可能存在各种类型的依赖关系，包括反比关系。我们还提出了一种条件蒙特卡罗模拟算法，用于估计模型中大损失的概率，以及它的重要采样版本。结果表明，与普通的蒙特卡罗模拟相比，所提出的蒙特卡罗模拟算法是相对高效的。数值结果表明了算法的性能和效率。
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引用次数: 3
Asset Correlation Estimation for Inhomogeneous Exposure Pools 非均匀暴露池的资产相关性估计
IF 0.3 4区 经济学 Q4 Economics, Econometrics and Finance
Journal of Credit Risk
Pub Date : 2017-01-08 DOI: 10.21314/jcr.2019.251
Christoph Wunderer
A possible data source for the estimation of asset correlations is default time series. This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not. We find that the asset correlation will always be underestimated if homogeneity with respect to the probability of default (PD) is wrongly assumed, and the error is the larger the more spread out the PD is within the exposure pool. If the exposure pool is inhomogeneous with respect to the asset correlation itself then the error may be going in both directions, but for most PD- and asset correlation ranges relevant in practice the asset correlation is systematically underestimated. Both effects stack up and the error tends to become even larger if in addition a negative correlation between asset correlation and PD is assumed, which is plausible in many circumstances and consistent with the Basel RWA formula. It is argued that the generic inhomogeneity effect described is one of the reasons why asset correlations measured from default data tend to be lower than asset correlations derived from asset value data.
估计资产相关性的一个可能的数据源是默认时间序列。本研究调查了如果假设默认时间序列的暴露池是均匀的，而实际上不是均匀的，则所产生的系统误差。我们发现，如果错误地假设违约概率(PD)的同质性，资产相关性总是会被低估，并且PD在敞口池中越分散，误差越大。如果暴露池相对于资产相关性本身是不均匀的，那么误差可能是双向的，但对于大多数PD-和资产相关性范围而言，在实践中，资产相关性被系统性地低估了。这两种效应叠加在一起，如果另外假设资产相关性和PD之间存在负相关，则误差往往会变得更大，这在许多情况下是合理的，并且与巴塞尔RWA公式一致。本文认为，所描述的一般非同质性效应是从违约数据测量的资产相关性往往低于从资产价值数据得出的资产相关性的原因之一。
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