Credit Risk
Measurement, Evaluation and Management
Published on 22. May 2003
Book
Paperback/Softback
X, 333 pages
978-3-7908-0054-8 (ISBN)
Description
New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are important issues, such as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk.
More details
Series
Edition
Softcover reprint of the original 1st ed. 2003
Language
English
Place of publication
Heidelberg
Germany
Target group
College/higher education
Professional and scholarly
Professional/practitioner
Illustrations
37 s/w Abbildungen
X, 333 p. 37 illus.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 19 mm
Weight
528 gr
ISBN-13
978-3-7908-0054-8 (9783790800548)
DOI
10.1007/978-3-642-59365-9
Schweitzer Classification
Content
Approaches to Credit Risk in the New Basel Capital Accord.- Systematic Risk in Homogeneous Credit Portfolios.- Valuation of a Credit Default Swap: The Stable Non-Gaussian versus the Gaussian Approach.- Basel II in the DaimlerChrysler Bank.- Sovereign Risk in a Structural Approach. Evaluating Sovereign Ability-to-Pay and Probability of Default.- An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds.- Default Probabilities in Structured Commodity Finance.- Kendall's Tau for Elliptical Distributions.- Exploring Credit Data.- Stable Non-Gaussian Credit Risk Model; The Cognity Approach.- An Application of the CreditRisk+ Model.- Internal Ratings for Corporate Clients.- Finding Constrained Downside Risk-Return Efßcient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation.- Credit Risk Modelling and Estimation via Elliptical Copulae.- Credit Risk Models in Practice - a Review.- List of Authors.