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Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms /
A classic book on credit risk management is updated to reflect the current economic crisis. Credit Risk Management In and Out of the Financial Crisi s dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley,
©2010.
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| Edición: | 3rd ed. |
| Colección: | Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- Credit Risk Measurement In and Out of the Financial Crisis, Third Edition: New Approaches to Value at Risk and Other Paradigms; Contents; List of Abbreviations; Preface; Part One: Bubbles and Crises: The Global Financial Crisis of 20072009; Chapter 1: Setting the Stage for Financial Meltdown; Chapter 2: The Three Phases of the Credit Crisis; Chapter 3: The Crisis and Regulatory Failure; Part Two: Probability of Default Estimation; Chapter 4: Loans as Options: The Moody's KMV Model; Chapter 5: Reduced Form Models: Kamakura's Risk Manager; Chapter 6: Other Credit Risk Models.
- Part Three: Estimation of Other Model ParametersChapter 7: A Critical Parameter: Loss Given Default; Chapter 8: The Credit Risk of Portfolios and Correlations; Part Four: Putting the Parameters Together; Chapter 9: The VAR Approach: CreditMetrics and Other Models; Chapter 10: Stress Testing Credit Risk Models: Algorithmics Mark-to-Future; Chapter 11: RAROC Models; Part Five: Credit Risk Transfer Mechanisms; Chapter 12: Credit Deriv.