scholarly journals Mathematical Estimation Methods and Models for Industrial Companies

2021 ◽  
Vol 248 ◽  
pp. 03001
Author(s):  
Olga Stikhova
Keyword(s):  
Risk Estimation ◽  
Credit Derivatives ◽  
Secondary Market ◽  
Estimation Methods ◽  
Collateralized Debt Obligations ◽  
Industrial Companies ◽  
Modeling Process ◽  
Credit Default ◽  
Collateralized Debt ◽  
The Given

The collateralized debt obligations and credit default swaps applications are shown in this paper. The industry obligations secondary market risk estimation methods are considered in this work. The new methods taking into account statistically significant parameters for industrial credit derivatives portfolio are offered for single-name investment risks numerical experiments realization. The mathematical estimation of tranche were shown. The single and multiple name default obligations necessary mathematical modeling methods and formulae for the industrial materials manufacturers derivative credit tools market are shown. It is determined that the portfolio of synthetic debt tools is made of the given parameters. The task of a loss derivative tranches mathematical estimation is solved. Late defaults raise the equity tranches payment required sums with high spreads, early defaults reduce. Also the functional characteristics required for an estimation huge debts problem solving are partly considered in this paper. The problem of the default modeling for market tools and numerical simulation of the obligations influence on conditions of current bistability mode are shown here. Some credit derivatives of industrial manufacturers are demonstrated in the modeling process of default as an example. It is found that the model is an additional factor help us to estimate the default opportunity.

Financial Innovation and Institutional Voices in the Canadian Press: A Look at the Roaring 2000s

2018 ◽  
Vol 55 (3) ◽  
pp. 383-405 ◽  
Author(s):  
Pier-Pascale Boulanger ◽  
Chantal Gagnon
Keyword(s):  
Critical Discourse Analysis ◽  
Credit Derivatives ◽  
Critical Discourse ◽  
Collateralized Debt Obligations ◽  
Financial Innovations ◽  
Credit Default ◽  
The Press ◽  
Commercial Paper ◽  
Collateralized Debt ◽  
Assisted Analysis

This corpus-assisted analysis examines seven Canadian newspapers from 2001 to 2008 in English and in French. It focuses on the speech that journalists reported when covering new financial instruments, namely collateralized debt obligations, credit default swaps, and asset-backed commercial paper. Eight years of news were surveyed with a concordancer and the data were analyzed using critical discourse analysis. The data show a wider range of voices in the English subcorpus when compared with the French. In both subcorpora, however, journalistic attitude was neutral and critical voices were deselected, while institutional voices such as those of banks were foregrounded. If polyphony is understood as the inclusion of an array of voices from the community, our study shows that the press was monophonic. Concurrently, our investigation of the Canadian press reveals that financial innovations were not covered until 2007, when credit derivatives started to falter.

Part D The Bank as Service Provider, 25 Sources of Bank Liability

2015 ◽  
Author(s):  
Proctor Charles
Keyword(s):  
Service Provider ◽  
Credit Default Swaps ◽  
Financial Resources ◽  
Collateralized Debt Obligations ◽  
Part D ◽  
Complex Products ◽  
Credit Default ◽  
Collateralized Debt ◽  
Corporate Customers

This chapter considers sources of bank liability. It examines claims which may be made against banks as a result of loans made to corporate customers, especially where the bank has to intervene in some way to protect its interests in a facility that is becoming impaired. It also looks at the position of banks as sellers of sophisticated and complex products, such as collateralized debt obligations, credit default swaps, and similar instruments. By their very nature, these instruments will be sold to larger corporate customers with considerable financial resources.

Finance Fictions

2018 ◽  
Author(s):  
Arne De Boever
Keyword(s):  
Human Beings ◽  
Collateralized Debt Obligations ◽  
Tom Wolfe ◽  
Market Crashes ◽  
Michel Houellebecq ◽  
Credit Default ◽  
The Face ◽  
Economic Reality ◽  
Digital Algorithms ◽  
Collateralized Debt

Building on both established and emerging discussions of literature and finance, Finance Fictions takes the measure of the tension between psychosis and realism in the contemporary finance novel. Revisiting such twentieth-century classics of the genre as Tom Wolfe’s The Bonfire of the Vanities and Bret Easton Ellis’s American Psycho, this book considers that the twenty-first-century is witnessing the birth of a new kind of finance novel that in the face of an ongoing economic crisis, ever more frequent market crashes, and the politics of austerity, pursues a more realist approach to the actual workings of the economy. But what kind of realism would be attuned to today’s economic reality of high-frequency trading, dominated by complex financial instruments like credit default swaps and collateralized debt obligations, and digital algorithms operating at speeds faster than what human beings or computers can record? If Tom Wolfe in 1989 could still urge novelists to work harder to “tame the billion-footed beast of reality,” it seems today’s economic reality confronts us with a difference that is qualitative rather than quantitative: a new financial ontology requiring new modes of thinking and writing. Mobilizing the philosophical thought of Quentin Meillassoux in the close-reading of finance novels by Robert Harris, Michel Houellebecq, Ben Lerner and lesser-known works of conceptual writing such as Mathew Timmons’s Credit, Finance Fictions argues that realism is in for a speculative update if it wants to take on the contemporary economy—an “if” whose implications turn out to be deeply political.

5. Credit risk

2019 ◽  
pp. 76-93
Author(s):  
Mark H. A. Davis
Keyword(s):  
Credit Risk ◽  
Credit Rating ◽  
Credit Default Swaps ◽  
Reduced Form ◽  
Collateralized Debt Obligations ◽  
Risk Models ◽  
Risk Modelling ◽  
Rating Agencies ◽  
Credit Default ◽  
Collateralized Debt

Credit risk is the risk that your counterparty might default on future obligations. There are a small number of credit rating agencies operating globally that assign a credit rating to each company under consideration. ‘Credit risk’ explains credit risk modelling and analysis, including credit default swaps, multi-asset credit risk, and collateralized debt obligations. Credit risk models are divided into two main categories: ‘structural form’ and ‘reduced form’. A pervasive problem in credit risk modelling is that while some parameters can be backed out by the calibration process, there are usually others about which the available data is insufficient for us to do anything more than take an educated guess.

Dynamic Pricing of Synthetic Collateralized Debt Obligations

2009 ◽  
Author(s):  
William Perraudin ◽  
Robert Lamb ◽  
Astrid Van Landschoot
Keyword(s):  
Dynamic Pricing ◽  
Collateralized Debt Obligations ◽  
Collateralized Debt

scholarly journals Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution

2011 ◽  
Vol 235 (11) ◽  
pp. 3304-3314 ◽  
Author(s):  
Omer L. Gebizlioglu ◽  
Birdal Şenoğlu ◽  
Yeliz Mert Kantar
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimation ◽  
Estimation Methods ◽  
Loss Distribution ◽  
Two Parameter
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