Introduction to credit risk:
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Boca Raton ; London ; New York
CRC Press
[2021]
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| Series: | Chapman & Hall/CRC finance series
A Chapman & Hall book |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Physical Description: | xviii, 470 Seiten Illustrationen |
| ISBN: | 9780367478490 |
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MARC
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| adam_text | Contents Preface, xi Author, xiii Introduction: Starting with Credit Risk, xv Chapter 1.1 1.2 1.3 1 ■ Background of Credit Risk and Java Visualization for Expected Exposure FINANCIAL RISK 1 CREDIT RISK 2 CREDIT RISK MEASURE 3 1.4 MONTE CARLO 4 1.5 INTEREST RATE SWAP 4 1.6 ANALYTICAL METHODOLOGY 4 BIBLIOGRAPHY 5 2 * Theoretical Phase of a Real-World CaseStudy 7 2.1 INTRODUCTION TO THE THEORETICAL PHASE 7 2.2 PRELIMINARY NOTES 7 2.3 INTERNAL MODEL METHOD AND EXPOSURE 7 2.4 EXPOSURE REGULATORY MEASURES USED 9 Chapter BIBLIOGRAPHY 11 3 ■ Real-World Case of the Practical Phase for Generating Exposure Regulatory Measures in a Specific Bank with an Internal Model Method 13 3.1 INTRODUCTION TO A REAL-WORLD CASE 13 3.2 CALCULATION TOOLS USED 13 3.3 FLOW TO GENERATE EXPECTED POSITIVE EXPOSURE (EPE) VALUE 15 3.4 METHODOLOGY FOR THE CALCULATION OFEPE 15 Chapter
vi ■ Contents 3.5 RESULTS OF THE CALCULATION BIBLIOGRAPHY 16 17 4 . Theoretical Approach of the Real-World Case Phase Related to the Methodology of Scenario Simulation Used ___________for Generating Exposure Regulatory Measures______________ 19 Chapter 4.1 INTRODUCTION OF THE THEORETICAL APPROACH BIBLIOGRAPHY 19 21 5 ■ Generation of a Simulation of a Real-World Case for Generating Exposure Regulatory Measures 23 5.1 INTRODUCTION TO A REAL-WORLD SIMULATION 23 5.2 INTEREST RATE SWAPS PORTFOLIO 23 5.3 CHOICE OF OBSERVATION DAYS CORRESPONDING TO TIME STEPS 24 5.4 METHODOLOGY OF SCENARIO SIMULATION 26 5.5 INSPECT SCENARIO PRICES 27 Chapter BIBLIOGRAPHY Chapter 28 6 ■ Compute Exposure by Counterparty______________________ 29 6.1 INTRODUCTION TO COMPUTATION 29 6.2 PORTFOLIO EXPOSURE PROFILES 31 6.3 COUNTERPARTY ALPHA LTD. EXPOSURE PROFILE 32 6.4 COUNTERPARTY BETA LTD. EXPOSURE PROFILE 33 6.5 COUNTERPARTY GAMMA LTD. EXPOSURE PROFILE 34 BIBLIOGRAPHY Chapter 7.1 7 ■ First Quantitative Analysis of Portfolio Exposure Profiles 37 INTRODUCTION TO THE FIRST ANALYSIS 37 BIBLIOGRAPHY Chapter 8.1 8.2 8.3 36 40 8 ■ Further Analysis on Portfolio Exposure Profiles Using Zero Rate Vector 0.03 41 PORTFOLIO EPE, PORTFOLIO EFF. EPE, AND PORTFOLIO MPFE USING ZERO RATE VECTOR 0.03 41 PORTFOLIO FOR COUNTERPARTIES ALPHA LTD., BETA LTD., AND DELTA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.03 41 COUNTERPARTY ALPHA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 44
Contents ■ vii 8.4 COUNTERPARTY BETA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 8.5 COUNTERPARTY GAMMA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 BIBLIOGRAPHY Chapter 9.1 9 ■ Further Analysis of Portfolio Exposure Profiles with Zero Rate Vector 0.06 48 50 51 PORTFOLIO EPE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.06 9.2 45 51 PORTFOLIO EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.06 52 9.3 PORTFOLIO FOR COUNTERPARTY ALPHA ZERO RATE 0.06 52 9.4 PORTFOLIO FOR COUNTERPARTY BETA ZERO RATE 0.06 52 9.5 PORTFOLIO FOR COUNTERPARTY GAMMA ZERO RATE 0.06 57 9.6 PORTFOLIO EPE, EFF. EPE, AND MPFE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.06 BIBLIOGRAPHY Chapter 10 ■ Generalization of Analysis on Portfolio Exposure Profiles with Zero Rate Vectors 0.01, 0.03, and 0.06 58 60 61 10.1 ANALYSIS OF PREVIOUS GENERATED DATA 61 BIBLIOGRAPHY 63 Chapter 11 ■ Risk Perspective of Credit Valuation Adjustment 65 11.1 DEFINITION OF THE START PORTFOLIO FOR CREDIT VALUATION ADJUSTMENT 65 11.2 REGULATORY RISK PERSPECTIVE OF CVA 66 11.3 MATHEMATICAL RISK PERSPECTIVE OF CVA 67 11.4 FURTHER STUDY ON CVA USING THE PREVIOUS EXPECTED EXPOSURE DATA BIBLIOGRAPHY Chapter 68 68 12 . Further Work_______________________________________ 69 12.1 FURTHER WORK: DESCRIPTION AND EXPLANATION OF THE PROJECT 69 12.2 BRIEF DESCRIPTION 69 12.3 EXPLANATION OF THE PROJECT 69
viii ■ Contents 12.4 PURPOSE OF THE RESEARCH PROJECT 71 12.5 STRUCTURE AND METHODOLOGY OF THE INVESTIGATION 71 12.6 REASONS FOR ADOPTING CERTAIN METHODOLOGIES INSTEAD OF OTHERS 71 EMPHASIS ON THE RIGOUR REQUIRED FOR THE METHODOLOGY PROPOSED 71 12.8 ORIGINALITY AND INNOVATION OF THE PROJECT 72 12.9 IMPORTANCE OF THE PROJECT 72 12.7 12.10 COMPLETION TIME 72 12.11 FIRST PHASE 72 12.12 SECOND PHASE 73 12.13 THIRD PHASE 73 BIBLIOGRAPHY 73 Chapter 13 ■ MATLAB Source Code Strategy and Analysis for Generation of Time Step Set of Data 75 13.1 PORTFOLIO EXPECTED EXPOSURE DATA GENERATED BY MATLAB 75 13.2 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 1 88 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 2 91 13.3 13.4 13.5 13.6 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 3 93 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 4 94 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 5 13.7 13.8 13.9 97 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 6 102 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 7 104 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 8 108 13.10 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 9 114 13.11 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 10 117
Contents ■ ix 13.12 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 11 122 13.13 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 12 127 BIBLIOGRAPHY 136 14 ■ Expected Exposure Visualization List of Java Code Packages 137 JAVA EXPECTED EXPOSURE VISUALIZATION SOURCE CODE INDEX WEB PAGE 137 14.2 JAVA CODE PACKAGE ESTRAZIONE 143 14.3 JAVA CODE PACKAGE GRAFICA 182 14.4 JAVA CODE PACKAGE STRUTTU REDATI 207 14.5 JAVA CODE PACKAGE UTILITÀ 238 Chapter 14.1 BIBLIOGRAPY Chapter 15.1 15 » Expected Exposure Visualization List of UML Diagram EXPECTED EXPOSURE VISUALIZATION LIST OF MYECLIPSE WAR FOLDERS BIBLIOGRAPHY Chapter 16 ■ Credit Models Using Google Cloud 271 273 273 457 459 16.1 DEFINITION OF THE SOFTWARE USED 459 16.2 UPLOAD AND USE MATLAB FILES ON THE CLOUD 459 16.3 UPLOADING THE MYECLIPSE JAVA PROJECT TO THE GOOGLE CLOUD 460 BIBLIOGRAPHY Chapter 17 ■ Conclusion INDEX, 465 462 463
Contents Preface, xi Author, xiii Introduction: Starting with Credit Risk, xv Chapter 1.1 1.2 1.3 1 ■ Background of Credit Risk and Java Visualization for Expected Exposure FINANCIAL RISK 1 CREDIT RISK 2 CREDIT RISK MEASURE 3 1.4 MONTE CARLO 4 1.5 INTEREST RATE SWAP 4 1.6 ANALYTICAL METHODOLOGY 4 BIBLIOGRAPHY 5 2 * Theoretical Phase of a Real-World CaseStudy 7 2.1 INTRODUCTION TO THE THEORETICAL PHASE 7 2.2 PRELIMINARY NOTES 7 2.3 INTERNAL MODEL METHOD AND EXPOSURE 7 2.4 EXPOSURE REGULATORY MEASURES USED 9 Chapter BIBLIOGRAPHY 11 3 ■ Real-World Case of the Practical Phase for Generating Exposure Regulatory Measures in a Specific Bank with an Internal Model Method 13 3.1 INTRODUCTION TO A REAL-WORLD CASE 13 3.2 CALCULATION TOOLS USED 13 3.3 FLOW TO GENERATE EXPECTED POSITIVE EXPOSURE (EPE) VALUE 15 3.4 METHODOLOGY FOR THE CALCULATION OFEPE 15 Chapter
vi ■ Contents 3.5 RESULTS OF THE CALCULATION BIBLIOGRAPHY 16 17 4 . Theoretical Approach of the Real-World Case Phase Related to the Methodology of Scenario Simulation Used ___________for Generating Exposure Regulatory Measures______________ 19 Chapter 4.1 INTRODUCTION OF THE THEORETICAL APPROACH BIBLIOGRAPHY 19 21 5 ■ Generation of a Simulation of a Real-World Case for Generating Exposure Regulatory Measures 23 5.1 INTRODUCTION TO A REAL-WORLD SIMULATION 23 5.2 INTEREST RATE SWAPS PORTFOLIO 23 5.3 CHOICE OF OBSERVATION DAYS CORRESPONDING TO TIME STEPS 24 5.4 METHODOLOGY OF SCENARIO SIMULATION 26 5.5 INSPECT SCENARIO PRICES 27 Chapter BIBLIOGRAPHY Chapter 28 6 ■ Compute Exposure by Counterparty______________________ 29 6.1 INTRODUCTION TO COMPUTATION 29 6.2 PORTFOLIO EXPOSURE PROFILES 31 6.3 COUNTERPARTY ALPHA LTD. EXPOSURE PROFILE 32 6.4 COUNTERPARTY BETA LTD. EXPOSURE PROFILE 33 6.5 COUNTERPARTY GAMMA LTD. EXPOSURE PROFILE 34 BIBLIOGRAPHY Chapter 7.1 7 ■ First Quantitative Analysis of Portfolio Exposure Profiles 37 INTRODUCTION TO THE FIRST ANALYSIS 37 BIBLIOGRAPHY Chapter 8.1 8.2 8.3 36 40 8 ■ Further Analysis on Portfolio Exposure Profiles Using Zero Rate Vector 0.03 41 PORTFOLIO EPE, PORTFOLIO EFF. EPE, AND PORTFOLIO MPFE USING ZERO RATE VECTOR 0.03 41 PORTFOLIO FOR COUNTERPARTIES ALPHA LTD., BETA LTD., AND DELTA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.03 41 COUNTERPARTY ALPHA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 44
Contents ■ vii 8.4 COUNTERPARTY BETA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 8.5 COUNTERPARTY GAMMA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 BIBLIOGRAPHY Chapter 9.1 9 ■ Further Analysis of Portfolio Exposure Profiles with Zero Rate Vector 0.06 48 50 51 PORTFOLIO EPE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.06 9.2 45 51 PORTFOLIO EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.06 52 9.3 PORTFOLIO FOR COUNTERPARTY ALPHA ZERO RATE 0.06 52 9.4 PORTFOLIO FOR COUNTERPARTY BETA ZERO RATE 0.06 52 9.5 PORTFOLIO FOR COUNTERPARTY GAMMA ZERO RATE 0.06 57 9.6 PORTFOLIO EPE, EFF. EPE, AND MPFE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.06 BIBLIOGRAPHY Chapter 10 ■ Generalization of Analysis on Portfolio Exposure Profiles with Zero Rate Vectors 0.01, 0.03, and 0.06 58 60 61 10.1 ANALYSIS OF PREVIOUS GENERATED DATA 61 BIBLIOGRAPHY 63 Chapter 11 ■ Risk Perspective of Credit Valuation Adjustment 65 11.1 DEFINITION OF THE START PORTFOLIO FOR CREDIT VALUATION ADJUSTMENT 65 11.2 REGULATORY RISK PERSPECTIVE OF CVA 66 11.3 MATHEMATICAL RISK PERSPECTIVE OF CVA 67 11.4 FURTHER STUDY ON CVA USING THE PREVIOUS EXPECTED EXPOSURE DATA BIBLIOGRAPHY Chapter 68 68 12 . Further Work_______________________________________ 69 12.1 FURTHER WORK: DESCRIPTION AND EXPLANATION OF THE PROJECT 69 12.2 BRIEF DESCRIPTION 69 12.3 EXPLANATION OF THE PROJECT 69
viii ■ Contents 12.4 PURPOSE OF THE RESEARCH PROJECT 71 12.5 STRUCTURE AND METHODOLOGY OF THE INVESTIGATION 71 12.6 REASONS FOR ADOPTING CERTAIN METHODOLOGIES INSTEAD OF OTHERS 71 EMPHASIS ON THE RIGOUR REQUIRED FOR THE METHODOLOGY PROPOSED 71 12.8 ORIGINALITY AND INNOVATION OF THE PROJECT 72 12.9 IMPORTANCE OF THE PROJECT 72 12.7 12.10 COMPLETION TIME 72 12.11 FIRST PHASE 72 12.12 SECOND PHASE 73 12.13 THIRD PHASE 73 BIBLIOGRAPHY 73 Chapter 13 ■ MATLAB Source Code Strategy and Analysis for Generation of Time Step Set of Data 75 13.1 PORTFOLIO EXPECTED EXPOSURE DATA GENERATED BY MATLAB 75 13.2 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 1 88 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 2 91 13.3 13.4 13.5 13.6 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 3 93 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 4 94 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 5 13.7 13.8 13.9 97 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 6 102 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 7 104 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 8 108 13.10 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 9 114 13.11 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 10 117
Contents ■ ix 13.12 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 11 122 13.13 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 12 127 BIBLIOGRAPHY 136 14 ■ Expected Exposure Visualization List of Java Code Packages 137 JAVA EXPECTED EXPOSURE VISUALIZATION SOURCE CODE INDEX WEB PAGE 137 14.2 JAVA CODE PACKAGE ESTRAZIONE 143 14.3 JAVA CODE PACKAGE GRAFICA 182 14.4 JAVA CODE PACKAGE STRUTTU REDATI 207 14.5 JAVA CODE PACKAGE UTILITÀ 238 Chapter 14.1 BIBLIOGRAPY Chapter 15.1 15 » Expected Exposure Visualization List of UML Diagram EXPECTED EXPOSURE VISUALIZATION LIST OF MYECLIPSE WAR FOLDERS BIBLIOGRAPHY Chapter 16 ■ Credit Models Using Google Cloud 271 273 273 457 459 16.1 DEFINITION OF THE SOFTWARE USED 459 16.2 UPLOAD AND USE MATLAB FILES ON THE CLOUD 459 16.3 UPLOADING THE MYECLIPSE JAVA PROJECT TO THE GOOGLE CLOUD 460 BIBLIOGRAPHY Chapter 17 ■ Conclusion INDEX, 465 462 463
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Contents Preface, xi Author, xiii Introduction: Starting with Credit Risk, xv Chapter 1.1 1.2 1.3 1 ■ Background of Credit Risk and Java Visualization for Expected Exposure FINANCIAL RISK 1 CREDIT RISK 2 CREDIT RISK MEASURE 3 1.4 MONTE CARLO 4 1.5 INTEREST RATE SWAP 4 1.6 ANALYTICAL METHODOLOGY 4 BIBLIOGRAPHY 5 2 * Theoretical Phase of a Real-World CaseStudy 7 2.1 INTRODUCTION TO THE THEORETICAL PHASE 7 2.2 PRELIMINARY NOTES 7 2.3 INTERNAL MODEL METHOD AND EXPOSURE 7 2.4 EXPOSURE REGULATORY MEASURES USED 9 Chapter BIBLIOGRAPHY 11 3 ■ Real-World Case of the Practical Phase for Generating Exposure Regulatory Measures in a Specific Bank with an Internal Model Method 13 3.1 INTRODUCTION TO A REAL-WORLD CASE 13 3.2 CALCULATION TOOLS USED 13 3.3 FLOW TO GENERATE EXPECTED POSITIVE EXPOSURE (EPE) VALUE 15 3.4 METHODOLOGY FOR THE CALCULATION OFEPE 15 Chapter
vi ■ Contents 3.5 RESULTS OF THE CALCULATION BIBLIOGRAPHY 16 17 4 . Theoretical Approach of the Real-World Case Phase Related to the Methodology of Scenario Simulation Used _for Generating Exposure Regulatory Measures_ 19 Chapter 4.1 INTRODUCTION OF THE THEORETICAL APPROACH BIBLIOGRAPHY 19 21 5 ■ Generation of a Simulation of a Real-World Case for Generating Exposure Regulatory Measures 23 5.1 INTRODUCTION TO A REAL-WORLD SIMULATION 23 5.2 INTEREST RATE SWAPS PORTFOLIO 23 5.3 CHOICE OF OBSERVATION DAYS CORRESPONDING TO TIME STEPS 24 5.4 METHODOLOGY OF SCENARIO SIMULATION 26 5.5 INSPECT SCENARIO PRICES 27 Chapter BIBLIOGRAPHY Chapter 28 6 ■ Compute Exposure by Counterparty_ 29 6.1 INTRODUCTION TO COMPUTATION 29 6.2 PORTFOLIO EXPOSURE PROFILES 31 6.3 COUNTERPARTY ALPHA LTD. EXPOSURE PROFILE 32 6.4 COUNTERPARTY BETA LTD. EXPOSURE PROFILE 33 6.5 COUNTERPARTY GAMMA LTD. EXPOSURE PROFILE 34 BIBLIOGRAPHY Chapter 7.1 7 ■ First Quantitative Analysis of Portfolio Exposure Profiles 37 INTRODUCTION TO THE FIRST ANALYSIS 37 BIBLIOGRAPHY Chapter 8.1 8.2 8.3 36 40 8 ■ Further Analysis on Portfolio Exposure Profiles Using Zero Rate Vector 0.03 41 PORTFOLIO EPE, PORTFOLIO EFF. EPE, AND PORTFOLIO MPFE USING ZERO RATE VECTOR 0.03 41 PORTFOLIO FOR COUNTERPARTIES ALPHA LTD., BETA LTD., AND DELTA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.03 41 COUNTERPARTY ALPHA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 44
Contents ■ vii 8.4 COUNTERPARTY BETA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 8.5 COUNTERPARTY GAMMA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 BIBLIOGRAPHY Chapter 9.1 9 ■ Further Analysis of Portfolio Exposure Profiles with Zero Rate Vector 0.06 48 50 51 PORTFOLIO EPE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.06 9.2 45 51 PORTFOLIO EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.06 52 9.3 PORTFOLIO FOR COUNTERPARTY ALPHA ZERO RATE 0.06 52 9.4 PORTFOLIO FOR COUNTERPARTY BETA ZERO RATE 0.06 52 9.5 PORTFOLIO FOR COUNTERPARTY GAMMA ZERO RATE 0.06 57 9.6 PORTFOLIO EPE, EFF. EPE, AND MPFE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.06 BIBLIOGRAPHY Chapter 10 ■ Generalization of Analysis on Portfolio Exposure Profiles with Zero Rate Vectors 0.01, 0.03, and 0.06 58 60 61 10.1 ANALYSIS OF PREVIOUS GENERATED DATA 61 BIBLIOGRAPHY 63 Chapter 11 ■ Risk Perspective of Credit Valuation Adjustment 65 11.1 DEFINITION OF THE START PORTFOLIO FOR CREDIT VALUATION ADJUSTMENT 65 11.2 REGULATORY RISK PERSPECTIVE OF CVA 66 11.3 MATHEMATICAL RISK PERSPECTIVE OF CVA 67 11.4 FURTHER STUDY ON CVA USING THE PREVIOUS EXPECTED EXPOSURE DATA BIBLIOGRAPHY Chapter 68 68 12 . Further Work_ 69 12.1 FURTHER WORK: DESCRIPTION AND EXPLANATION OF THE PROJECT 69 12.2 BRIEF DESCRIPTION 69 12.3 EXPLANATION OF THE PROJECT 69
viii ■ Contents 12.4 PURPOSE OF THE RESEARCH PROJECT 71 12.5 STRUCTURE AND METHODOLOGY OF THE INVESTIGATION 71 12.6 REASONS FOR ADOPTING CERTAIN METHODOLOGIES INSTEAD OF OTHERS 71 EMPHASIS ON THE RIGOUR REQUIRED FOR THE METHODOLOGY PROPOSED 71 12.8 ORIGINALITY AND INNOVATION OF THE PROJECT 72 12.9 IMPORTANCE OF THE PROJECT 72 12.7 12.10 COMPLETION TIME 72 12.11 FIRST PHASE 72 12.12 SECOND PHASE 73 12.13 THIRD PHASE 73 BIBLIOGRAPHY 73 Chapter 13 ■ MATLAB Source Code Strategy and Analysis for Generation of Time Step Set of Data 75 13.1 PORTFOLIO EXPECTED EXPOSURE DATA GENERATED BY MATLAB 75 13.2 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 1 88 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 2 91 13.3 13.4 13.5 13.6 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 3 93 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 4 94 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 5 13.7 13.8 13.9 97 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 6 102 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 7 104 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 8 108 13.10 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 9 114 13.11 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 10 117
Contents ■ ix 13.12 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 11 122 13.13 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 12 127 BIBLIOGRAPHY 136 14 ■ Expected Exposure Visualization List of Java Code Packages 137 JAVA EXPECTED EXPOSURE VISUALIZATION SOURCE CODE INDEX WEB PAGE 137 14.2 JAVA CODE PACKAGE ESTRAZIONE 143 14.3 JAVA CODE PACKAGE GRAFICA 182 14.4 JAVA CODE PACKAGE STRUTTU REDATI 207 14.5 JAVA CODE PACKAGE UTILITÀ 238 Chapter 14.1 BIBLIOGRAPY Chapter 15.1 15 » Expected Exposure Visualization List of UML Diagram EXPECTED EXPOSURE VISUALIZATION LIST OF MYECLIPSE WAR FOLDERS BIBLIOGRAPHY Chapter 16 ■ Credit Models Using Google Cloud 271 273 273 457 459 16.1 DEFINITION OF THE SOFTWARE USED 459 16.2 UPLOAD AND USE MATLAB FILES ON THE CLOUD 459 16.3 UPLOADING THE MYECLIPSE JAVA PROJECT TO THE GOOGLE CLOUD 460 BIBLIOGRAPHY Chapter 17 ■ Conclusion INDEX, 465 462 463
Contents Preface, xi Author, xiii Introduction: Starting with Credit Risk, xv Chapter 1.1 1.2 1.3 1 ■ Background of Credit Risk and Java Visualization for Expected Exposure FINANCIAL RISK 1 CREDIT RISK 2 CREDIT RISK MEASURE 3 1.4 MONTE CARLO 4 1.5 INTEREST RATE SWAP 4 1.6 ANALYTICAL METHODOLOGY 4 BIBLIOGRAPHY 5 2 * Theoretical Phase of a Real-World CaseStudy 7 2.1 INTRODUCTION TO THE THEORETICAL PHASE 7 2.2 PRELIMINARY NOTES 7 2.3 INTERNAL MODEL METHOD AND EXPOSURE 7 2.4 EXPOSURE REGULATORY MEASURES USED 9 Chapter BIBLIOGRAPHY 11 3 ■ Real-World Case of the Practical Phase for Generating Exposure Regulatory Measures in a Specific Bank with an Internal Model Method 13 3.1 INTRODUCTION TO A REAL-WORLD CASE 13 3.2 CALCULATION TOOLS USED 13 3.3 FLOW TO GENERATE EXPECTED POSITIVE EXPOSURE (EPE) VALUE 15 3.4 METHODOLOGY FOR THE CALCULATION OFEPE 15 Chapter
vi ■ Contents 3.5 RESULTS OF THE CALCULATION BIBLIOGRAPHY 16 17 4 . Theoretical Approach of the Real-World Case Phase Related to the Methodology of Scenario Simulation Used _for Generating Exposure Regulatory Measures_ 19 Chapter 4.1 INTRODUCTION OF THE THEORETICAL APPROACH BIBLIOGRAPHY 19 21 5 ■ Generation of a Simulation of a Real-World Case for Generating Exposure Regulatory Measures 23 5.1 INTRODUCTION TO A REAL-WORLD SIMULATION 23 5.2 INTEREST RATE SWAPS PORTFOLIO 23 5.3 CHOICE OF OBSERVATION DAYS CORRESPONDING TO TIME STEPS 24 5.4 METHODOLOGY OF SCENARIO SIMULATION 26 5.5 INSPECT SCENARIO PRICES 27 Chapter BIBLIOGRAPHY Chapter 28 6 ■ Compute Exposure by Counterparty_ 29 6.1 INTRODUCTION TO COMPUTATION 29 6.2 PORTFOLIO EXPOSURE PROFILES 31 6.3 COUNTERPARTY ALPHA LTD. EXPOSURE PROFILE 32 6.4 COUNTERPARTY BETA LTD. EXPOSURE PROFILE 33 6.5 COUNTERPARTY GAMMA LTD. EXPOSURE PROFILE 34 BIBLIOGRAPHY Chapter 7.1 7 ■ First Quantitative Analysis of Portfolio Exposure Profiles 37 INTRODUCTION TO THE FIRST ANALYSIS 37 BIBLIOGRAPHY Chapter 8.1 8.2 8.3 36 40 8 ■ Further Analysis on Portfolio Exposure Profiles Using Zero Rate Vector 0.03 41 PORTFOLIO EPE, PORTFOLIO EFF. EPE, AND PORTFOLIO MPFE USING ZERO RATE VECTOR 0.03 41 PORTFOLIO FOR COUNTERPARTIES ALPHA LTD., BETA LTD., AND DELTA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.03 41 COUNTERPARTY ALPHA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 44
Contents ■ vii 8.4 COUNTERPARTY BETA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 8.5 COUNTERPARTY GAMMA LTD.: EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.03 BIBLIOGRAPHY Chapter 9.1 9 ■ Further Analysis of Portfolio Exposure Profiles with Zero Rate Vector 0.06 48 50 51 PORTFOLIO EPE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.06 9.2 45 51 PORTFOLIO EPE, EFF. EPE, AND MPFE PROFILES USING ZERO RATE VECTOR 0.06 52 9.3 PORTFOLIO FOR COUNTERPARTY ALPHA ZERO RATE 0.06 52 9.4 PORTFOLIO FOR COUNTERPARTY BETA ZERO RATE 0.06 52 9.5 PORTFOLIO FOR COUNTERPARTY GAMMA ZERO RATE 0.06 57 9.6 PORTFOLIO EPE, EFF. EPE, AND MPFE PROFILES USING A DIFFERENT ZERO RATE VECTOR 0.06 BIBLIOGRAPHY Chapter 10 ■ Generalization of Analysis on Portfolio Exposure Profiles with Zero Rate Vectors 0.01, 0.03, and 0.06 58 60 61 10.1 ANALYSIS OF PREVIOUS GENERATED DATA 61 BIBLIOGRAPHY 63 Chapter 11 ■ Risk Perspective of Credit Valuation Adjustment 65 11.1 DEFINITION OF THE START PORTFOLIO FOR CREDIT VALUATION ADJUSTMENT 65 11.2 REGULATORY RISK PERSPECTIVE OF CVA 66 11.3 MATHEMATICAL RISK PERSPECTIVE OF CVA 67 11.4 FURTHER STUDY ON CVA USING THE PREVIOUS EXPECTED EXPOSURE DATA BIBLIOGRAPHY Chapter 68 68 12 . Further Work_ 69 12.1 FURTHER WORK: DESCRIPTION AND EXPLANATION OF THE PROJECT 69 12.2 BRIEF DESCRIPTION 69 12.3 EXPLANATION OF THE PROJECT 69
viii ■ Contents 12.4 PURPOSE OF THE RESEARCH PROJECT 71 12.5 STRUCTURE AND METHODOLOGY OF THE INVESTIGATION 71 12.6 REASONS FOR ADOPTING CERTAIN METHODOLOGIES INSTEAD OF OTHERS 71 EMPHASIS ON THE RIGOUR REQUIRED FOR THE METHODOLOGY PROPOSED 71 12.8 ORIGINALITY AND INNOVATION OF THE PROJECT 72 12.9 IMPORTANCE OF THE PROJECT 72 12.7 12.10 COMPLETION TIME 72 12.11 FIRST PHASE 72 12.12 SECOND PHASE 73 12.13 THIRD PHASE 73 BIBLIOGRAPHY 73 Chapter 13 ■ MATLAB Source Code Strategy and Analysis for Generation of Time Step Set of Data 75 13.1 PORTFOLIO EXPECTED EXPOSURE DATA GENERATED BY MATLAB 75 13.2 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 1 88 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 2 91 13.3 13.4 13.5 13.6 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 3 93 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 4 94 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 5 13.7 13.8 13.9 97 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 6 102 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 7 104 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 8 108 13.10 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 9 114 13.11 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 10 117
Contents ■ ix 13.12 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 11 122 13.13 DETAILED ANALYSIS OF THE PART OF SOURCE CODE FROM GRID NUMBER ОТО GRID NUMBER 12 127 BIBLIOGRAPHY 136 14 ■ Expected Exposure Visualization List of Java Code Packages 137 JAVA EXPECTED EXPOSURE VISUALIZATION SOURCE CODE INDEX WEB PAGE 137 14.2 JAVA CODE PACKAGE ESTRAZIONE 143 14.3 JAVA CODE PACKAGE GRAFICA 182 14.4 JAVA CODE PACKAGE STRUTTU REDATI 207 14.5 JAVA CODE PACKAGE UTILITÀ 238 Chapter 14.1 BIBLIOGRAPY Chapter 15.1 15 » Expected Exposure Visualization List of UML Diagram EXPECTED EXPOSURE VISUALIZATION LIST OF MYECLIPSE WAR FOLDERS BIBLIOGRAPHY Chapter 16 ■ Credit Models Using Google Cloud 271 273 273 457 459 16.1 DEFINITION OF THE SOFTWARE USED 459 16.2 UPLOAD AND USE MATLAB FILES ON THE CLOUD 459 16.3 UPLOADING THE MYECLIPSE JAVA PROJECT TO THE GOOGLE CLOUD 460 BIBLIOGRAPHY Chapter 17 ■ Conclusion INDEX, 465 462 463 |
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| spelling | Carlone, Giulio Verfasser aut Introduction to credit risk Giulio Carlone Boca Raton ; London ; New York CRC Press [2021] xviii, 470 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC finance series A Chapman & Hall book Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s b DE-604 Erscheint auch als Online-Ausgabe 978-1-00-303694-4 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032473869&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032473869&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Carlone, Giulio Introduction to credit risk Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4121590-4 (DE-588)4123623-3 |
| title | Introduction to credit risk |
| title_auth | Introduction to credit risk |
| title_exact_search | Introduction to credit risk |
| title_exact_search_txtP | Introduction to credit risk |
| title_full | Introduction to credit risk Giulio Carlone |
| title_fullStr | Introduction to credit risk Giulio Carlone |
| title_full_unstemmed | Introduction to credit risk Giulio Carlone |
| title_short | Introduction to credit risk |
| title_sort | introduction to credit risk |
| topic | Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Kreditrisiko Risikomanagement Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032473869&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032473869&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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Indexes