Principles for Modeling Incremental Default Risk in the Trading Book

Autor : Martin Neumann

Firma : brokerbase Switzerland

Kunde : Bank


incremental, default risk in the trading book, accelerated basis, impact of liquidity, concentrations, diversification, hedging, optionality, systematic and idiosyncratic events, Portfolio view,

aggregate default loss from credit-risky positions, comparable to internal-ratings, infinitely large, ASRF model, PD, LGD, correlation, measured market basis, P&L calculated, subtracting

recovery value, Liquidity horizon - definition, Hedging, CDS protection, Systematic hedges, Systematic versus idiosyncratic risk, Correlations/diversification, Optionality, Default probability,

translate risk neutral default probability to natural default probability, Loss given default, Exposure at default


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