Credit risk : measurement, evaluation and management
著者
書誌事項
Credit risk : measurement, evaluation and management
（Contributions to economics）
Physica-Verlag, c2003
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注記
Selected contributions to the 8th Econometric Workshop in Karlsruhe, held on Mar. 13, 2002
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
- 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.
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