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Private finance --- Credit --- Credit control --- Crédit --- 347.735 <44> --- CG / Congo --- FR / France - Frankrijk --- 333.130.2 --- 333.110 --- 333.402 --- 333.78 --- 333.70 --- Kredieten. Waardepapieren--Frankrijk --- Bankliquiditeit. Verplichte reserves. Solvabiliteit. --- Centrale banken en parastatale kredietinstellingen: algemeen. Overheidsbemoeiïng inzake organisatie en verdeling van het krediet. --- Geldschepping en geldvernietiging. Multiplicator van het krediet. --- Kredietcontrole. Credit crunch. --- Theorie en organisatie van het bankkrediet. --- 347.735 <44> Kredieten. Waardepapieren--Frankrijk --- Crédit --- Bankliquiditeit. Verplichte reserves. Solvabiliteit --- Centrale banken en parastatale kredietinstellingen: algemeen. Overheidsbemoeiïng inzake organisatie en verdeling van het krediet --- Geldschepping en geldvernietiging. Multiplicator van het krediet --- Kredietcontrole. Credit crunch --- Theorie en organisatie van het bankkrediet

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Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues have to promise a higher yield to attract investors. But how much higher a yield? Using methods from contingent claims analysis, credit risk valuation models attempt to put a price on credit risk. This monograph gives an overview of the current methods for the valu­ ation of credit risk and considers several applications of credit risk models in the context of derivative pricing. In particular, credit risk models are in­ corporated into the pricing of derivative contracts that are subject to credit risk. Credit risk can affect prices of derivatives in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the underlying vari­ able of a derivative instrument. In this case, the instrument is called a credit derivative. Fourth, credit derivatives may themselves be exposed to counter­ party risk. This text addresses all of those valuation problems but focuses on counterparty risk. The book is divided into six chapters and an appendix. Chapter 1 gives a brief introduction into credit risk and motivates the use of credit risk models in contingent claims pricing.

Credit ratings. --- Credit --- Risk management. --- Cotes de solvabilité --- Gestion du risque --- Management. --- AA / International- internationaal --- 333.130.2 --- 305.7 --- 333.605 --- 333.70 --- 333.109 --- Credit ratings --- -Risk management --- 332.632 --- Insurance --- Management --- Borrowing --- Finance --- Money --- Loans --- Commercial ratings --- Credit checks --- Credit guides --- Credit investigations --- Credit reports --- Ratings, Credit --- Bankliquiditeit. Verplichte reserves. Solvabiliteit. --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente. --- Nieuwe financiële instrumenten. --- Theorie en organisatie van het bankkrediet. --- Veiligheid. Bankovervallen. Bankrisico's. --- Cotes de solvabilité --- Risk management --- Credit management --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente --- Veiligheid. Bankovervallen. Bankrisico's --- Bankliquiditeit. Verplichte reserves. Solvabiliteit --- Nieuwe financiële instrumenten --- Theorie en organisatie van het bankkrediet --- Finance. --- Economics, Mathematical . --- Finance, general. --- Quantitative Finance. --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Funding --- Funds --- Currency question --- Methodology

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Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodologies in helping professionals to manage financial risks. The newly developed credit derivatives industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk. One of the objectives has been to understand links between credit risk and other major sources of uncertainty, such as the market risk or the liquidity risk. The main objective of this monograph is to present a comprehensive survey ofthe past developments in the area of credit risk research, as well as put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mahtematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced-form (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades. This book will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners with managing credit-risk sensitives portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs; some acquaintance with arbitrage pricing theory is also.

AA / International- internationaal --- 333.130.2 --- 305.7 --- 333.605 --- 333.70 --- 333.109 --- Bankliquiditeit. Verplichte reserves. Solvabiliteit. --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente. --- Nieuwe financiële instrumenten. --- Theorie en organisatie van het bankkrediet. --- Veiligheid. Bankovervallen. Bankrisico's. --- -Risk management --- Risk management --- Credit --- Mathematical models --- Mathematical models. --- Crédit --- Gestion du risque --- Modèles mathématiques --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente --- Veiligheid. Bankovervallen. Bankrisico's --- Bankliquiditeit. Verplichte reserves. Solvabiliteit --- Nieuwe financiële instrumenten --- Theorie en organisatie van het bankkrediet --- Public finance. --- Economics, Mathematical . --- Probabilities. --- Public Economics. --- Quantitative Finance. --- Probability Theory and Stochastic Processes. --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Economics --- Mathematical economics --- Econometrics --- Cameralistics --- Public finance --- Public finances --- Currency question --- Methodology --- Risk management - Mathematical models --- Credit - Mathematical models

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Monetary policy --- Money supply --- 333.130.2 --- 333.402 --- 333.823 --- AA / International- internationaal --- CG / Congo --- DE / Germany - Duitsland - Allemagne --- 336.74 --- Money stock --- Quantity of money --- Supply of money --- Money --- Demand for money --- 336.74 Geld. Geldwezen. Monetaire sector. --- Geld. Geldwezen. Monetaire sector. --- Monetary management --- Economic policy --- Currency boards --- Bankliquiditeit. Verplichte reserves. Solvabiliteit --- Geldschepping en geldvernietiging. Multiplicator van het krediet --- liquiditeitsbeleid.Kascoëfficiënten en liquiditeitscoëfficiënten --- Geld. Geldwezen. Monetaire sector

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International finance --- International Monetary Fund --- Monetary policy --- Economic stabilization --- Banks and banking --- Politique monétaire --- Stabilisation économique --- Banques --- 330.3 --- 339.7 --- 339.732 --- AA / International- internationaal --- 333.100 --- 333.139.2 --- 333.130.2 --- 333.432.8 --- 333.130.3 --- Monetary management --- Economic policy --- Currency boards --- Money supply --- Adjustment, Economic --- Business stabilization --- Economic adjustment --- Stabilization, Economic --- Agricultural banks --- Banking --- Banking industry --- Commercial banks --- Depository institutions --- Finance --- Financial institutions --- Money --- Dynamiek der staatshuishouding. Economische bewegingen. Economische dynamica --- Internationale financien. Buitenlands betalingsverkeer --(z.o {336}) --- Internationale banken. Wereldbank. Ontwikkelingsbank. Investeringsbank. Comecom, samenwerkingsbank. Europees monetair fonds. Europees ontwikkelingsfonds. Europese investeringsbank. Europese monetaire --- Algemeenheden. Theorie en principes van de bankorganisatie en -techniek. --- Bankcontrole en -reglementering. Reglementering van het bankberoep. --- Bankliquiditeit. Verplichte reserves. Solvabiliteit. --- Internationale monetaire organisatie. Internationaal Muntfonds. Algemene leningovereenkomsten. --- Kapitaal van de banken. Eigen fondsen van de banken. --- Business & Economics --- 339.732 Ida. Ibrd. Bird. Ifc. Imf. Speciale trekkingsrechten. Bank voor internationale betalingen. Internationaal monetair systeem --- 339.732 Internationale banken. Wereldbank. Ontwikkelingsbank. Investeringsbank. Comecom, samenwerkingsbank. Europees monetair fonds. Europees ontwikkelingsfonds. Europese investeringsbank. Europese monetaire --- Ida. Ibrd. Bird. Ifc. Imf. Speciale trekkingsrechten. Bank voor internationale betalingen. Internationaal monetair systeem --- 339.7 Internationale financien. Buitenlands betalingsverkeer --(z.o {336}) --- 330.3 Dynamiek der staatshuishouding. Economische bewegingen. Economische dynamica --- Politique monétaire --- Stabilisation économique --- Algemeenheden. Theorie en principes van de bankorganisatie en -techniek --- Bankliquiditeit. Verplichte reserves. Solvabiliteit --- Kapitaal van de banken. Eigen fondsen van de banken --- Bankcontrole en -reglementering. Reglementering van het bankberoep --- Internationale monetaire organisatie. Internationaal Muntfonds. Algemene leningovereenkomsten