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Recent advances in credit risk modeling /
As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries,...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
©2009.
|
| Colección: | IMF working paper ;
WP/09/162. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Capuano, Christian, |d 1975- |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjF4fYdyVDYdwb8bV9bJH3 | |
| 245 | 1 | 0 | |a Recent advances in credit risk modeling / |c prepared by Christian Capuano [and others]. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c ©2009. | ||
| 300 | |a 1 online resource (31 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper ; |v WP/09/162 | |
| 504 | |a Includes bibliographical references. | ||
| 520 | 3 | |a As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models. It also discusses the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of the prices of distressed debt and estimation of recovery values. | |
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2011. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2011 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a I. Introduction; II. Structural Models; A. Single-Issuer Default Risk; B. Distance-to-Default: Variations on a Theme; Figure; 1. Dah-Sing Bank: Distance-to-Default; C. Portfolio Credit Risk Models; III. Reduced-Form Models; A. Structural and Reduced-Form Models: Reconciliation Attempts; Boxes; 1. Compensators and Pricing Trends: Some Definitions-Elizalde (2006); B. Some Models; C. Nonlinear Filtering; 2. The Modeling Strategy of Frey, Schmidt, Gabih (2007); IV. Other Innovations in the Modeling of Credit Risk; A. Default Correlation Using Copulas and Other Recent Approaches | |
| 505 | 8 | |a B. Pricing of Credit Index OptionsC. Distressed Debt Prices and Recovery Rate Estimation; V. Conclusions; Appendix; Filtration and the Pricing of Credit Index Options; References | |
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Credit |x Management |x Mathematical models. | |
| 650 | 0 | |a Risk management. | |
| 650 | 2 | |a Risk Management | |
| 650 | 6 | |a Crédit |x Gestion |x Modèles mathématiques. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a Credit |x Management |x Mathematical models |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 700 | 1 | |a Capuano, Christian, |d 1975- |1 https://id.oclc.org/worldcat/entity/E39PCjF4fYdyVDYdwb8bV9bJH3 | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. | |
| 758 | |i has work: |a Recent advances in credit risk modeling (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGKRGCWHJtMMWxDfmKw7pd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Capuano, Christian, 1975- |t Recent advances in credit risk modeling. |d Washington, D.C. : International Monetary Fund, ©2009 |w (OCoLC)643295654 |
| 830 | 0 | |a IMF working paper ; |v WP/09/162. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1608374 |z Texto completo |
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