About the Wbbsite
Please visit this book's companion website at www.wiley.com/go/akkizidis to access the Annexes and Matlab Model.
The password for downloading the files is: credit123
The files available on the website are:
■ Annex A: Element of Time in Financial Events
This annex provides the list of the financial events in regards to:
■ Their appearance at Point in Time (PIT) and Through the Cycle (TTC) iterations.
■ The type of cash flow defined as Principal, Interest, Dividend, Recovery and Trading payments.
■ The resetting process at different times and cash flow types.
These are aligned to the event patterns explained in Section 5.3 of Chapter 5 (Contract Mechanisms Producing Financial Mechanisms).
■ Annex B: Reduced Form Models Applied in Marketplace Lending Credit Portfolios This annex provides a description of the intensity based credit risk models for estimating the default probability and the arrival time of the credit event. Such an intensity based model is applied for estimating and stressing, over time, the conditional default probabilities and default times for the marketplace lending portfolios. This model is fully explained and used in the case study described in Chapter 13 of this book.
■ Matlab Model
The provided Matlab model considers the information referring to market data, counterparty characteristics and behavior assumptions, mapping the standard contractual bilateral loan agreements between lenders and borrowers, calculating all expected and unexpected financial events, and reporting the liquidity, value and income together with their corresponding risk measurements. Stress scenarios, defined by the user, can also be applied in the credit portfolios. This model is used for performing the financial analysis of existing marketplace loans, as discussed extensively in Chapter 13. Note, however, that this model can also be used for any other loan portfolios provided by the user. Please read GettingStarted.pdf in the applications folder after installation for more instructions.