• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文学位 >Structural credit risk models in banking with applications to the financial crisis.
【24h】

Structural credit risk models in banking with applications to the financial crisis.

机译：应用于金融危机的银行业结构性信用风险模型。

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This dissertation uses structural credit risk models to analyze banking institutions during the recent financial crisis.;The first essay proposes a dynamic approach to estimating bank capital requirements with a structural credit risk model. The model highlights the fact that static measures of capital adequacy, such as a fixed percentage of assets, do not capture the true condition of a financial institution. Rather, a dynamic approach that is forward-looking and tied to market conditions is more appropriate in setting capital requirements. Furthermore, the structural credit risk model demonstrates how market information and the liability structure can be used to compute default probabilities, which can then be used as a point of reference for setting capital requirements. The results indicate that capital requirements may be time-varying and conditional upon the health of the particular bank and the financial system as a whole.;The second essay develops a structural credit risk model for computing a term-structure of default probabilities for a financial institution. The model uses current market data and the complete debt structure of the financial institution. It incorporates an endogenous default boundary in a generalized binomial lattice framework. This framework is flexible and easily permits alternate capital structure policy assumptions; for example, it can allow for the possibilities of funding maturing debt with new debt, new equity, or a mix of debt and equity. The model is implemented to analyze Lehman Brothers in the midst of the 2008 financial crisis and develop estimates of default probability under these alternate capital structure policy assumptions. The assumptions result in different levels of default probability but all predict higher default probabilities in March of 2008, well before Lehman's bankruptcy in September of 2008. In addition to being used in a descriptive capacity, the model can be used for prescriptive purposes. The lower-bound default probabilities assume de-leveraging by the financial institution and can be used to indicate when debt should be retired with new equity rather than being rolled-over.
机译：本文采用结构性信用风险模型对最近一次金融危机期间的银行机构进行了分析。第一篇论文提出了一种动态的方法，通过结构性信用风险模型来估计银行资本需求。该模型强调了这样一个事实，即资本充足率的静态衡量指标（例如固定资产百分比）无法反映金融机构的真实状况。相反，具有前瞻性并与市场条件相关的动态方法更适合设置资本要求。此外，结构性信用风险模型演示了如何使用市场信息和负债结构来计算违约概率，然后可以将其用作设置资本需求的参考点。结果表明，资本要求可能会随时间变化，并取决于特定银行和整个金融系统的健康状况。;第二篇文章建立了结构性信用风险模型，用于计算金融违约概率的期限结构机构。该模型使用当前市场数据和金融机构的完整债务结构。它在广义二项式格框架中合并了内生默认边界。这个框架是灵活的，并且容易允许替代性的资本结构政策假设；例如，它可以允许用新债务，新股权或债务与股权混合的方式为到期债务融资。该模型用于分析雷曼兄弟公司在2008年金融危机中的情况，并根据这些备用资本结构政策假设得出违约概率的估计值。这些假设导致出现不同水平的违约概率，但所有预测都在2008年3月，即在雷曼兄弟于2008年9月破产之前，更高的违约概率。除了具有描述性，该模型还可用于描述性目的。下限违约概率假定由金融机构进行去杠杆化，并且可以用来指示何时应以新股本偿还债务而不是将其展期。

著录项

  • 作者

    Imerman, Michael B.;

  • 作者单位

    Rutgers The State University of New Jersey - Newark.;

  • 授予单位 Rutgers The State University of New Jersey - Newark.;
  • 学科 Business Administration Management.;Business Administration Banking.;Economics Finance.
  • 学位 Ph.D.
  • 年度 2011
  • 页码 148 p.
  • 总页数 148
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号