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,...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Capuano, Christian, 1975- (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Capital Markets Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington, D.C. : International Monetary Fund, ©2009.
Colección:IMF working paper ; WP/09/162.
Temas:
Credit > Management > Mathematical models.
Risk management.
Risk Management
Crédit > Gestion > Modèles mathématiques.
Gestion du risque.
risk management.
Credit > Management > Mathematical models
Risk management
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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
  • 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

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