Tables index

From

The Credit Portfolio Management by Structural Models: A Theoretical Analysis

Abdelkader Derbali

International Journal of Global Energy Markets and Finance. 2018, 1(1), 11-20
  • Table 1. The comparison between the KMV model and the CreditMetrics model
  • Table 2. The forces and the weaknesses relative to the KMV model
  • Table 3. Transition matrix: Probabilities of credit rating migrating from one rating quality to another, within 1 year
  • Table 4. The potential rating relative to the BBB rating
  • Table 5. One-year forward zero-curves for each credit rating (%)
  • Table 6. Distribution of the bond values, and changes in value of a BBB bond, in 1 year
  • Table 7. Transition matrix based on actual rating changes
  • Table 8. The distribution of the probability of migration of BB rating
  • Table 9. Transition probabilities and credit quality thresholds for BB and A rated obligors
  • Table 10. Joint rating probabilities (%) for BB and A rated obligors when correlation banding asset random is 20%
  • Table 11. The forces and the weaknesses relative to the CreditMetrics model