The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as a result of the crisis. Over the pastdecade, credit...

Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such asthe iTraxx Europe have been used in the credit derivatives market for price communication.During the financial crisis, implied correlations have been quite volatile indicating thegrowing fraction of systematic...

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...

During the past two years, private equity funds have acquired substantial portfolios of nonperformingloans from banks in Germany. Typically a private equity investor does notcommit funds unless exit strategies are clearly defined. The usual exit strategies for distresseddebt investors are “fix...

We investigate the problem of modeling defaults of dependent credits.In the framework of the class of structural default models we studythreshold models where for each credit the underling ability-to-payprocess is a transformation of a Wiener processes. We propose a modelfor dependent defaults...

The paper analyses the factors influencing the credit spread of € denominated bonds andcredit default swaps. The regression shows a significant difference of the credit spread ofcorporate floaters compared to straight bonds. The steepnes of the yield curve leadssurprisingly to lower credit...

The Paper shows the evaluation of credit risky products. Default probabilities for riskadjusted cash flows or risk adjusted discounting are the backbones for the evaluationof bonds and credits. The second approach is using the market value of shares andtheir implied volatility to calculate the...