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Concentration Risk in Credit Portfolios
Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to a...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2009.
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| Edición: | 1st ed. 2009. |
| Colección: | EAA Series,
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| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
| LEADER | 00000nam a22000005i 4500 | ||
|---|---|---|---|
| 001 | 978-3-540-70870-4 | ||
| 003 | DE-He213 | ||
| 005 | 20220113010155.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 100301s2009 gw | s |||| 0|eng d | ||
| 020 | |a 9783540708704 |9 978-3-540-70870-4 | ||
| 024 | 7 | |a 10.1007/978-3-540-70870-4 |2 doi | |
| 050 | 4 | |a H61.25 | |
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| 082 | 0 | 4 | |a 519 |2 23 |
| 100 | 1 | |a Lütkebohmert, Eva. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Concentration Risk in Credit Portfolios |h [electronic resource] / |c by Eva Lütkebohmert. |
| 250 | |a 1st ed. 2009. | ||
| 264 | 1 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg : |b Imprint: Springer, |c 2009. | |
| 300 | |a XVIII, 226 p. 17 illus. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a EAA Series, |x 1869-6937 | |
| 505 | 0 | |a to Credit Risk Modeling -- Risk Measurement -- Modeling Credit Risk -- The Merton Model -- The Asymptotic Single Risk Factor Model -- Mixture Models -- The CreditRisk+ Model -- Concentration Risk in Credit Portfolios -- Ad-Hoc Measures of Concentration -- Name Concentration -- Sector Concentration -- Empirical Studies on Concentration Risk -- Default Contagion -- Empirical Studies on Default Contagion -- Models Based on Copulas -- A Voter Model for Credit Contagion -- Equilibrium Models. | |
| 520 | |a Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective. | ||
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 1 | 4 | |a Mathematics in Business, Economics and Finance. |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783540867104 |
| 776 | 0 | 8 | |i Printed edition: |z 9783540708698 |
| 830 | 0 | |a EAA Series, |x 1869-6937 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-540-70870-4 |z Texto Completo |
| 912 | |a ZDB-2-SMA | ||
| 912 | |a ZDB-2-SXMS | ||
| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||