Conference publications

Abstracts

XXI conference

The Industrial Companies Credit Derivative Portofolio Loss Distribution Estimation Formulas

Stikhova O.V.

Moscow State Technological University “STANKIN”, chair “ The Applied Mathematics Vadkovsky lane 1a, Moscow, 127055, Russia, +7(499)972-95-20, E-mail: olgitast@smtp.ru

The credit derivatives market swift expansion now dictates necessity of existing obligation behavior secondary market modeling methods improve and new modeling methods development for the emitter - industrial companies, and also forecast future obligation default process. There is a new adequate model construction tasks complex of the industrial sector companies credit derivative portfolio loss distribution estimation. The market growth has caused demand for the simple estimation formulas. The credit derivatives such the collateralized debt obligation (CDO) and the credit default swaps (CDS) being the developed countries economy condition changes indicators are investigated in this work [1]. The significant number of leading foreign universities and institutes theoretical researches is devoted to these subjects. But the numerous factors influencing credit tools behavior are not taken into account in the offered credit derivative mathematical models and there is no their exact quantitative description. And there is the same situation for more complex estimation cases of credit portfolio risk insurance [2]. To quote the base portfolio CDS and CDO tranches our single and multiple name default probability developed models are used respectively. The default time distribution was calibrated according to the basis CDS rates [3]. The default risk quantitative estimations are received, distinctive feature of which is the all tranches exact rates conformity, that allows to estimate better an industrial production manufacturers market situation and to predict the synthetic CDO and CDS obligations approach default time. The calculations findings for the various activity field enterprises have shown the developed models and algorithms high efficiency.

References

1. Stikhova O.V. Mathematical Modelling Of The Industrial Companies Default Credit Derivatives. / VESTNIK MSTU “STANKIN”. Reviewed Scientific Journal/ -М: MSTU “STANKIN”, №4(23), 2012, pp.81-84.

2. O’Kane D. and Turnbull S. Valuation of Credit Default Swaps. Fixed Income Quantitative Credit Research, Lehman Brothers, April 2003.

3. Vasicek O. The Distribution of Loan Portfolio Value. Risk, 12 (2002).

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