Bugár Gyöngyi

Market and Credit Risk Management


Credit Risk of a Two-Bond Portfolio

Consider a portfolio of two bonds, one rated BB and the other A, respectively. Given the transition matrix in Table 11, and assuming that the change in rating of the two bonds is independent, it is easy to derive the joint transition matrix of the portfolio of two bonds: the element in the corresponding cell, namely the joint migration probability, can be derived as the product of the elements in the corresponding cells of the transition matrices of the two bonds (i.e. individual migration probabilities). For example, the probability that both bonds retain their original rating is 73.32 percent (0.8053·0.9105).

Market and Credit Risk Management

Tartalomjegyzék


Kiadó: Akadémiai Kiadó

Online megjelenés éve: 2023

ISBN: 978 963 454 857 7

International credit crunch, Mexican peso crisis, Asian crisis, sub-prime mortgage crisis... It is enough to think back to the financial crises of the last few decades to see why risk management is essential in the economy. This book will introduce the reader to the basics of financial risk management and the tools for managing market and credit risk. However, the book is not only for those who are starting to be familiar with risk management. Its middle section, where the author describes the various risk indicators and measures, should also provide interesting information for professionals. Particularly commendable that Gyöngyi Bugár guiding us with thematically structured practical examples through this dynamically evolving field.

Bálint Zsoldos - Credit risk analyst of an international investment bank

Hivatkozás: https://mersz.hu/bugar-market-and-credit-risk-management//

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