Global credit review. Volume 4 / Risk Management Institute.

Format:

Book

Author/Creator:

Risk Management Institute, author.

Contributor:

National University of Singapore.

Language:

English

Subjects (All):

Credit.

Export credit.

International finance.

Physical Description:

1 online resource (209 p.)

Place of Publication:

Singapore : World Scientific, 2015.

Language Note:

English

Summary:

Global Credit Review is an annual publication that provides an overview of the most important developments in global credit markets and the regulatory landscape. The fourth volume covers theoretical and empirical research on credit ratings and credit risk, and reports on recent findings and evolutions of the RMI Credit Research Initiative. The ultimate objective of this publication is to advance the state of research and development in the critical area of credit risk and rating systems. With a distinctive focus on topics related to credit markets and credit risk, this publication will be of i

Contents:

Message from the Editor; Contents; An Assessment of Systemic Risk in the Japanese Banking Sector; INTRODUCTION; I. MEASUREMENT APPROACH AND DATA; I.1. Measurement Approach; I.2. Bank's MC; I.3. DIP Calculation by Monte Carlo Simulation; I.4. Data; I.5. Correlation; II. RESULTS; II.1. Correlation; II.2. DIP; II.2.1. DIP; II.2.2. MC; II.3. Determinants of DIP; III. CONCLUSIONS; ACKNOWLEDGMENT; NOTES; REFERENCES; Evolving Global Capital Regulations and Its Impact Particularly on Asia; INTRODUCTION; I. REGULATORY DEVELOPMENTS; I.1. United States; I.1.1. Counterparty credit risk

I.1.2. Volcker ruleI.1.3. Comprehensive capital analysis and review (CCAR) and CCAR 2014 results; I.2. Europe; I.2.1. Additional capital charges; I.2.2. EBA stress tests; I.2.3. AQR; I.3. Asia Pacific; I.3.1. Australia; I.3.2. China; I.3.3. Hong Kong; I.3.4. India; I.3.5. Indonesia; I.3.6. Japan; I.3.7. Malaysia; I.3.8. The Philippines; I.3.9. Singapore; I.3.10. South Korea; I.3.11. Thailand; II. CHALLENGES FOR REGULATORS; II.1. China; II.1.1. Stricter rules; II.2. Singapore; II.2.1 Notice 637 more stringent than Basel rules; II.3. Other Countries; III. IMPACT ON ASIAN BANKS

III.1. Falling Merger and Acquisition TransactionsIII.2. More Basel Compliant Bonds; III.3. Relationship Between ROE/RMI PD and CAR; IV. FUTURE IMPLICATIONS; V. CONCLUSION; NOTES; ANNEX A; REFERENCES; Actuarial Par Spread and Empirical Pricing of CDS by Decomposition; INTRODUCTION; I. TERM STRUCTURE OF PHYSICAL PDs AND ACTUARIAL PAR SPREADS; I.1. CDS Par Spread and Actuarial Par Spread; I.2. Term Structure of Physical PDs; II. A NUMERICAL EXAMPLE; III. EMPIRICAL PRICING OF CDS VIA DECOMPOSITION; ACKNOWLEDGMENT; APPENDIX; Appendix A; Appendix B; REFERENCES

Fast Approximation of Loan Portfolio LossINTRODUCTION; I. CLOSED FORM METHODOLOGY FOR ECONOMIC CAPITAL CALCULATION; II. RISK FACTORS EXTRACTION; II.1. Two-Step Regressions; II.2. Empirical Analyses; II.2.1. Large portfolio; II.2.2. Small portfolio; III. EXAMPLE: LOAN PORTFOLIO VaR; III.1. Fixed Factor Approach; III.2. Latent Factor Approach; III.3. Numerical Results; IV. CONCLUSION; NOTES; APPENDIX A. PYKHTIN'S CLOSED FORM FORMULA; A.1. Ideas Behind the Formula; A.2. Constructing ; A.3. Portfolio VaR; REFERENCES; Rejection and Partial Rejection of Consumer Credit Applications; INTRODUCTION

I. SUMMARY STATISTICS FOR CREDIT APPLICANT REJECTIONS AND APPROVALSII. FACTORS AFFECTING THE LIKELIHOOD OF CREDIT REJECTION; III. CONCLUSIONS; ACKNOWLEDGMENT; NOTES; REFERENCES; IACPM/Oliver Wyman Survey: Perspectives on the Evolving Role of Enterprise-Wide Stress Testing; INTRODUCTION; I. WHAT IS THE CURRENT ROLE OF ENTERPRISE-WIDE STRESS TESTING?; I.1. Current Applications of Enterprise-Wide Stress Testing; I.2. Balancing Enterprise-Wide Stress Testing and Economic Capital; II. WHAT WILL BE THE FUTURE ROLE OF ENTERPRISE-WIDE STRESS TESTING?

II.1. For Which Applications is Enterprise-Wide Stress Testing Being Planned?

Notes:

Description based upon print version of record.

Includes bibliographical references at the end of each chapters.

Description based on online resource; title from PDF title page (ebrary, viewed November 20, 2014).

ISBN:

981-4635-48-0