CreditGrades Framework within Stochastic Covariance Models

Escobar, Marcos; Arian, Hamidreza; Seco, Luis

doi:10.4236/jmf.2012.24033

Cited by 6 publications

(3 citation statements)

References 13 publications

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“…Another extension of the CreditGrades model, using implied (and not historical) volatilities to take into account both equities volatilities and leverage, is proposed by Stamicar and Finger (2006). More recently, Escobar et al (2012) have offered a multivariate extension of the CreditGrades model under the assumption of stochastic variance and correlation among the companies' assets. Credit Default Swap is a topic of interest in much recent operational research literature (Guarin et al, 2011;Tomohiro, 2014;Cont and Minca, 2016;Chalamandaris and Vlachogiannakis, 2018;Koutmos, 2018;Irresberger et al, 2018), but in practice, models for traded CDS spreads tend not to be popular among portfolio managers.…”

Section: Introductionmentioning

confidence: 99%

Credit spread approximation and improvement using random forest regression

Mercadier

Lardy²

2019

European Journal of Operational Research

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Credit Default Swap (CDS) levels provide a market appreciation of companies' default risk. These derivatives are not always available, creating a need for CDS approximations. This paper offers a simple, global and transparent CDS structural approximation, which contrasts with more complex and proprietary approximations currently in use. This Equity-to-Credit formula (E2C), inspired by CreditGrades, obtains better CDS approximations, according to empirical analyses based on a large sample spanning 2016-2018. A random forest regression run with this E2C formula and selected additional financial data results in an 87.3% out-of-sample accuracy in CDS approximations. The transparency property of this algorithm confirms the predominance of the E2C estimate, and the impact of companies' debt rating and size, in predicting their CDS.

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Section: Introductionmentioning

confidence: 99%

Credit spread approximation and improvement using random forest regression

Mercadier

Lardy²

2019

European Journal of Operational Research

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“…Decision tools as part of sustainability tools, along with ranking tools, calculations, and guidelines to reduce the risk of projects related to sustainability and sustainable development and in the framework of evaluation of these projects by consulting engineers or universities in order to use. Different parts of infrastructure such as water, energy, transportation, and construction have been provided [75][76][77]. Comparing these tools and examining the specifications of each of them are helpful to select or produce similar tools for use in national and regional infrastructure projects [21,[78][79][80].…”

Section: Sustainable Developmentmentioning

confidence: 99%

Hotel Construction Management considering Sustainability Architecture and Environmental Issues

Kadaei

Sadeghian

Majidi

et al. 2021

Shock and Vibration

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Sustainable development and environment in the activities of the construction industry has attracted the attention of experts in most countries of the world. One of the obvious and problematic features of the construction industry of countries is the use of modern building materials using traditional construction methods. Changing the paradigm for sustainable buildings requires a change in the architectural design process. Today, smart buildings are buildings that are at a lower level in terms of energy consumption and operate in a dynamic and integrated environment, creating a perfect harmony between management, system, services, and structure. These qualities make plastics ideal products for construction and an essential component for a sustainable built environment. In the design of smart and sustainable buildings, the use of environmentally friendly materials increases the lifespan of the building and an effective step is taken towards the design of sustainable architecture. In this paper, we evaluate hotel construction based on sustainability issues with MCDM. The results show that alternative A4 is the best alternative in sustainable issues. With the increasing population and its concentration in large cities, the concern of energy supply and energy efficiency in buildings is one of the main concerns of urban planners, officials, and city residents. Construction projects mainly consume large amounts of materials and leave a huge amount of waste, and this problem sometimes includes existing buildings that cannot be demolished and need to be rebuilt and maintained.

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“…We note in passing that default specifications with stochastic barriers à la (D1) have been discussed in, e.g., Lando (2004), Escobar et al (2012), Skoglund and Chen (2015) and references therein. Interestingly, (D1) to an extent reduces the complexity involved in simulating the r.v.…”

Section: Introductionmentioning

confidence: 99%

Multiple risk factor dependence structures: Copulas and related properties

Furman

2017

Insurance: Mathematics and Economics

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Abstract. Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosing the 'right' copula is not an easy task, and the temptation to prefer a tractable rather than a meaningful candidate from the encompassing copulas toolbox is strong. The ubiquitous applications of the Gaussian copula is just one illuminating example.Speaking generally, a 'good' copula should conform to the problem at hand, allow for asymmetry in the domain of definition and exhibit some extent of tail dependence. In this paper we introduce and study a new class of Multiple Risk Factor (MRF) copula functions, which we show are exactly such. Namely, the MRF copulas (1) arise from a number of meaningful default risk specifications with stochastic default barriers, (2) are in general non-exchangeable and (3) possess a variety of tail dependences. That being said, the MRF copulas turn out to be surprisingly tractable analytically.

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CreditGrades Framework within Stochastic Covariance Models

Cited by 6 publications

References 13 publications

Credit spread approximation and improvement using random forest regression

Credit spread approximation and improvement using random forest regression

Hotel Construction Management considering Sustainability Architecture and Environmental Issues

Multiple risk factor dependence structures: Copulas and related properties

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