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Optimal Control of Credit Risk

by Didier Cossin

  • ISBN: 9780792379386
  • ISBN10: 0792379381

Optimal Control of Credit Risk

by Didier Cossin

  • List Price: $169.99
  • Binding: Hardcover
  • Publisher: Kluwer Academic Pub
  • Publish date: 04/01/2001
  • ISBN: 9780792379386
  • ISBN10: 0792379381
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Description: "Optimal Control of Credit Risk" presents an alternativemethodology to deal with a financial problem that has not been wellanalyzed yet: the control of credit risk. Credit risk has becomerecently the center of interest of the financial community, with newinstruments (such as Credit Risk Derivatives) and new methodologies(such as Credit Metrics) being developed. The recent literature hasfocused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. Theydo so via collateralization. The authors propose here a methodologicalbasis for an optimal collateralization.The monograph is organized as follows: Chapter 1 reviews the mainavenues of literature related to our problem; Chapter 2 provides abrief overview of the main optimal control principles; and Chapter 3presents the models and their setting.In the remaining chapters, the authors propose two sets of programs.One set of programs will apply in cases where the information on theassets=valueis readily,available ("full observation" case), whilethe other applies when costly audits are needed in order to assessthis value ("partial observation" case).In either case, the modeling stage leads to a set of"quasi-variational" "inequalities" which the authors attemptto solve numerically in the simpler case of full observations. This isdone in Chapter 6. Finally a simulation analysis is carried out inChapter 7, in which the authors study the influence on the controlprocess of changes in the different model parameters. This precedes adiscussion on possible extensions in Chapter 8 and some concludingremarks in Section 9.
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