A bridge from ruin theory to credit risk

Chen, Cho-Jieh; Panjer, Harry H.

doi:10.1007/s11156-008-0100-0

Cited by 11 publications

(4 citation statements)

References 24 publications

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“…Using similar processes to models (1.1) and (1.2), Chen and Panjer (2009) investigated connections between ruin theory and credit risk for a structural form credit risk process with jumps, so that the results developed in ruin theory can be used to develop analogous results in credit risk. Zhou (2001) considered a structural credit risk model with jumps, and provided a simple Monte Carlo algorithm to evaluate bond prices and credit spread when the jumps have normal distribution.…”

Section: Introductionmentioning

confidence: 99%

Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps

Dong

Wang²,

2011

Journal of Applied Probability

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In this paper we consider a structural form credit risk model with jumps. We investigate the credit spread, the price, and the fair premium of the zero-coupon bond for the proposed model. The price and the fair premium of the bond are associated with the Laplace transform of default time and the firm's expected present market value at default. We give sufficient conditions under which the Laplace transform and the expected present market value of a firm at default are twice continuously differentiable. We derive closedform expressions for them when the jumps have a hyperexponential distribution. Using the closed-form expressions, we obtain numerical solutions for the default probability, the credit spread, and the fair premium of the bond.

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Section: Introductionmentioning

confidence: 99%

Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps

Dong

Wang²,

2011

Journal of Applied Probability

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“…Assim, assiste-se a uma transferência da confiança na instituição para os produtos financeiros que distribui e à ponderação de fatores como a dimensão, a longevidade e a reputação, enquanto indicadores privilegiados de segurança, fiabilidade e potencial cumprimento das promessas anteriormente firmadas entre as partes. (Chen e Panjer, 2009;Oum e Orem, 2010).…”

Section: Diferentementeunclassified

Imagem Corporativa de Instituições Bancárias: Uma Proposta de Escala para sua Mensuração

et al. 2014

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A imagem funciona como elemento de mediao simblica entre a organizao e suas audincias, tendo sua influncia reconhecida como fator de avaliao global, notadamente quando a distino baseada em atributos concretos de diferentes ofertas se torna particularmente difcil de ser elaborada por essas audincias. Neste sentido, este estudo objetivou a elaborao de uma escala para medir a imagem corporativa de uma agncia do Banco do Brasil S.A. A pesquisa se caracteriza como quanti-qualitativa. Para alcance dos objetivos estipulados foram definidos os seguintes procedimentos metodolgicos: (i) anlise da validade de contedo para checar se as variveis utilizadas no modelo so de fato indicadores confiveis para medir a imagem bancria; (ii) anlise exploratria de dados, por meio de estatstica descritiva e anlise fatorial exploratria, para identificar as variveis latentes do modelo; (iii) anlise da fiabilidade da escala (Alfa de Cronbach). Como resutados, foi possvel perceber o relevante impacto que a dimenso segurana, formada pelas variveis (a) segurana nos depsitos, (b) segurana aos dados pessoais dos clientes, (c) segurana nas transaes, (d) reputao e (e) reputao melhor do que a concorrncia, causa na determinao da imagem bancria da Agncia Esperana, do Banco do Brasil S.A. Como concluses, verificou-se que a escala de imagem corporativa bancria revelada a partir de um conjunto de associaes: 20 (vinte) variveis agrupadas em cinco dimenses (segurana, contato pessoal, servios oferecidos, identidade e poltica de financiamento).

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“…Ruin theory originating in the actuarial sciences, has become a commonly used tool in the insurance industry. It also has applications in operational risk (see e.g., Kaishev et al (2008)), credit risk (see e.g., Chen & Panjer (2009)), and various related fields.…”

Section: Introductionmentioning

confidence: 99%

On Capital Allocation for a Risk Measure Derived from Ruin Theory

Delsing¹,

Mandjes²,

Spreij³

et al. 2021

Preprint

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This paper addresses allocation methodologies for a risk measure inherited from ruin theory. Specifically, we consider a dynamic value-at-risk (VaR) measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given threshold. We introduce an intuitively appealing, novel allocation method, with a focus on its application to capital reserves which are determined through the dynamic value-at-risk (VaR) measure. Various desirable properties of the presented approach are derived including a limit result when considering a large time horizon and the comparison with the frequently used gradient allocation method. In passing, we introduce a second allocation method and discuss its relation to the other allocation approaches. A number of examples illustrate the applicability and performance of the allocation approaches.

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A bridge from ruin theory to credit risk

Abstract: Credit risk, Ruin theory, Jump-diffusion process, Structural model, Reduced-form model, G12, G13, G32, G33,

Cited by 11 publications

References 24 publications

Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps

Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps

Imagem Corporativa de Instituições Bancárias: Uma Proposta de Escala para sua Mensuração

On Capital Allocation for a Risk Measure Derived from Ruin Theory

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