Modele strukturalne jako narzedzie zarzadzania ryzykiem kredytowym

• Autorzy: Agnieszka Langner

Warianty tytułu

Structural Models as a Tool for Credit Risk Management

• Języki publikacji: PL

Abstrakty

Artykuł przedstawia modele strukturalne, które są traktowane jako narzędzia w zarządzaniu ryzykiem kredytowym. (fragment tekstu)

EN

The Basel Committee on Banking Supervision provides two definitions of loss of credit portfolio. The "default mode" concept defines loss in terms of loss that would be generated only if the borrower defaulted during the risk evaluation period. The market-to-market concept takes account of declines in the borrower's creditworthiness (rating) in addition to default. The origin of the structural models goes back to Black, Scholes and Merton. In this approach, default is triggered whenever the firm value reaches a critical, prescribed level and the equity of a company is viewed as an option on its assets with the strike price equal to the level of liabilities. Both models combine this approach with historical default statistics in order to assign default probabilities to debtors. Differences in models result to different ways of approximating the default correlations. (original abstract)

Słowa kluczowe

PL

Zarządzanie ryzykiem; Ryzyko kredytowe; Modele strukturalne

EN

Risk management; Credit risk; Structural models

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Poznaniu
• Rocznik: 2005
• Numer: nr 55
• Strony: 192--209

Twórcy

autor

Agnieszka Langner

Bibliografia

• Ahn H., Khadem V., Wilmot P., A New Approach For Credit Risk, MFG, Oxford University, 3/1999 .
• Belkin B., S. Suchower, L. Forest, The Effect of Systematic Credit. Risk on Loan Portfolio Value-at-Risk and Loan Pricing, CreditMetrics Monitor, 1/1998.
• Dresler K., Gonczaryk M., Analiza ryzyka kredytowego na bazie zmienności aktywów, Rynek Terminowy, 12, 2/2001.
• Fallon W., Calculating Value at Risk, Working Papers, Wharton University 1996.
• Gątarek D., Maksymiuk R., Krysiak M., Witkowski Ł., Nowoczesne metody zarządzania ryzykiem finansowym, Finanse i Przedsiębiorstwo, 2001.
• leda A., Marumo K., Yoshiba T., A Simplified Method for Calculating the Credit Risk of Lending Portfolios, Monetary and Economic Studies, December 2000.
• Iscoes I., Kreinin A., Rosen D., An Integrated Market & Credit Risk Portfolio Model, Research Quaterly vol. 2, 3/1999.
• Jackson P., Monde D.J., Perraudin W., Bank Capital & Value at Risk, Bank of England, Working Papers, 1998.
• Kaelhofer S., Portfolio Management of Default Risk, proprietary documentation, KMV, San Francisco 1995.
• Kawski M., Witkowski Ł., Kredytowy value at risk na przykładzie creditmet- rics, Rynek Terminowy 12, 2/2001.
• KMV Corparation, Modeling Default Risk, Technical Document, www.kmv.com..
• Knoch M., Rachew S.T., Credit Risk: Recent Advances, Working Papers Universität Karlsruhe, 1999 .
• Kurth A., Tasche D., Credit Risk Contributions to Value at Risk and Expected Shortfall, Working Papers, Universität München, 2002.
• Lucas A., Klaassen P., Spreij P., Straetmans S., An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios, The Journal of Banking and Finance, nr 4 12/2000..
• Narayanan P., Altman E.I., Caouette B., Managing Credit Risk, John Wiley & Sons, New York 1999.
• Nyfeler M. A., Modelling Dependencies in Credit Risk Management, Eid- genoessische Technische Hochschule, 2000, no. 11.
• Powell A., A Capital Accord for Emerging Economies, World Bank, Working Papers, 2001.
• Racher S., Schwartz E., Khindanowa I., Stable Modeling of Credit Risk, 2002 .
• Ranson B.J., Using Models in Managing Credit Risk Portfolios, Commercial Lending Review, Fall 2001.
• Saunders A., Metody pomiaru ryzyka kredytowego, Dom Wydawniczy ABC, Kraków 2001
• Schönbucher P.J., Factor Models for Portfolio Credit Risk, Department of Statictics, Bonn University, December 2000.
• Tasche D., Calculating VaR Contributions in CreditRisk, Working Papers, Universität München, 2000 .
• Vasicek O., Credit Valuation, KMV Corporation, 1997 .
• Vasicek O., Probability of Loss on Loan Portfolio, KMV Corporation, II 1997 .
• Vasicek O., The loan loss distribution, KMV Corporation, 1997.
• Xiao J. Y., Importance of Sampling for Credit Portfolio Simulation, RiskMetrics Group, 2/2001-2002