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Free research papers and essays on topics related to: credit risk

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  • A Risk Neutral Framework For The Pricing Of Credit Derivatives - 1,476 words
    A Risk Neutral Framework For The Pricing Of Credit Derivatives 1. INTRODUCTION Considerable research effort has gone into Credit Derivatives since the early 1990s. The roots of credit derivatives can be traced back to the notion that the credit risk of a firm can be captured by the credit rating ascribed to it. This premise is also the cornerstone of loan pricing and credit risk management models the world over, including J.P. Morgans CreditMetricsTM. Empirical research enables the predictability of the event of default as well as the Loss in the Event of Default (LIED). This information is expressed in terms of a transition matrix - a matrix that traces out the probabilities the migration o ...
    Related: credit, credit risk, derivatives, framework, neutral, pricing, risk management
  • A Risk Neutral Framework For The Pricing Of Credit Derivatives - 1,578 words
    ... A or B (6) The probabilities of transition from period 2 to period 3 are obtained as: {RN}02 {RN}23 = {RN}03 Where {RN}ij is the risk-neutral transition matrix from period i to period j Thus, {RN}23 = {RN}-102 {RN}03 Table -6 shows the risk neutral probabilities of transition from period 2 to period 3. From this table, it can be seen that P (F / EA ) = 0.074 and P (F / EB ) = 0.176. In addition, we know that P(EA) = 0.181 and P(EB) = 0.530 (refer Table -5a). Thus, the risk-neutral probability that Rs. 100 is received in period 3 is 0.074 x 0.181 + 0.176 x 0.530 = 0.107 The value of the derivative is obtained as 20.76 Table-6 Risk neutral probabilities of transition from period 2 to perio ...
    Related: credit, credit risk, derivatives, framework, neutral, pricing, rate risk
  • Abex Chemicals, Inc - 1,129 words
    Abex Chemicals, Inc. ABEX Chemicals, Inc. ABEX Chemicals, Inc. adalah salah saru produsen utama dari petrochemicals (terutama polyethylene). Selama 8 tahun terakhir ABEX menguasai kurang lebih 25% pangsa pasar petrochemical di Amerika Serikat. Namun demikian, persaingan dalam industri ini nampaknya akan semakin ketat, terutama dengan terjadinya ekspansi yang sangat agresif, dan kemungkinan akan terjadinya resesi pada satu sampai dua tahun mendatang. Berdasarkan analisis statistik, harga petrochemical yang diproduksi oleh ABEX diperkirakan akan terus menurun pada 12 hingga 18 bulan kedepan. Hal ini akan meningkatkan credit risk perusahaan ini. Harga saham ABEX baru-baru ini juga mengalami pen ...
    Related: short term, stock price, book value, sales, trend
  • Abex Chemicals, Inc - 1,160 words
    ... t term yang diberikan semakin lunak untuk membuat produk menjadi lebih attraktif. ABEX Corporation mempunyai tingkat sales yang meningkat tajam pada year 8 akibat naiknya harga jual per unit petrochemical. Kenaikan harga ini membuat sales meningkat tajam (lebih dari 100%) yang kemudian berakhir pada tingkat receivable yang juga meningkat. Receivable yang tinggi ini kemungkinan besar diakibatkan oleh penjualan petrochemical dibandingkan dengan pipelines yang salesnya stabil. Kemungkinan penyebab lain adalah buruknya usaha penagihan yang dilakukan oleh ABEX terhadap outstanding receivablesnya dan adanya penundaan dari customernya sendiri untuk melakukan pelunasan receivable ABEX. Kemungkin ...
    Related: life cycle, financial risk, cash flow, coupon, operation
  • Data Mining In A Nut Shell - 1,744 words
    Data Mining In A Nut Shell In today's business world, information about the customer is a necessity for a businesses trying to maximize its profits. A new, and important, tool in gaining this knowledge is Data Mining. Data Mining is a set of automated procedures used to find previously unknown patterns and relationships in data. These patterns and relationships, once extracted, can be used to make valid predictions about the behavior of the customer. Data Mining is generally used for four main tasks: (1) to improve the process of making new customers and retaining customers; (2) to reduce fraud; (3) to identify internal wastefulness and deal with that wastefulness in operations, and (4) to c ...
    Related: data analysis, data mining, data warehouse, mining, shell
  • Loan Request Evaluation - 1,821 words
    Loan Request Evaluation This report introduces a procedure that can be used to analyze the quantifiable aspects of commercial credit requests. The procedure incorporates a systematic interpretation of basic financial data and focuses on issues that typically arise when determining creditworthiness. Cash flow information is equally important when evaluating a firms prospects. Reported earnings and EPS can be manipulated by management debts, are repaid out of cash flow not earnings. The basic objective of credit analysis is to assess the risk involved in credit extension to banks customers. Risk refers to the volatility in earnings. Lenders are concerned with net income or the cash flow that h ...
    Related: evaluation, loan, request, background information, business operations
  • Men And Women - 1,136 words
    Men And Women Men and Women by Larry Crabb Men and Women is a book that describes the struggle that men and women have when they relate. The struggle they have happens when men and women relate to one another because they are self-centered and do not recognize and honor the God-created differences between men and women. The book begins with a number of stories that serve as examples for later discussion. These stories create interest in the subject and show how men and women misunderstand each other and why. The auther then turns to Bible passages and psychological theories to begin a discussion of the problems presented in the stories. The book is then divided into twelve chapters that disc ...
    Related: men and women, the bible, credit risk, christian world, friendly
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