 Credit Derivatives in Managing Off Balance Sheet Risks by BanksMPRA Paper from University Library of Munich, Germany Abstract: Credit risk has been a worrying type of risk for financial managers. Fortunately, a recent market development –credit derivatives- has made the credit risk more manageable. The loan portfolio management has become more practicable than it used to be in the past. However, credit derivatives are still not well examined. There are uncertainties about and difficulties in the pricing and portfolio management of credit derivatives due to the non-normality in probability distribution of credit risk. Various models have been developed for credit derivatives pricing. After having drawn the general picture for the credit derivatives, we have studied some recent pricing models in a Das (1999) framework, in this study. Also appended is a an attempt to a step forward for simulating the risk-free rates and spreads, to test how powerful simulation can be in modelling the credit risk and pricing of it. Moreover, with highly developed computer technology, it is possible to make sensitivity analysis under several scenarios, to form imaginary loan portfolios, find their risk exposures, and perform a successful risk management practice. Keywords: Credıt Risk; Credit Derivatives; Off Balance Sheet Risk Management (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:55976 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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