Listing 1 - 3 of 3 |
Sort by
|
Choose an application
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.
Credit -- Management. --- Credit -- Methodology. --- Credit scoring systems -- Evaluation. --- Electronic books. -- local. --- Portfolio management. --- Risk management. --- Credit control --- Credit scoring systems --- Portfolio management --- Risk management --- Credit, Debt & Loans --- Economic Theory --- Business & Economics --- Finance --- Methodology --- Evaluation --- Credit --- Management. --- Methodology. --- Evaluation. --- Investment management --- Borrowing --- Credit management --- Mathematics. --- Economics, Mathematical. --- Quantitative Finance. --- Insurance --- Management --- Investment analysis --- Investments --- Securities --- Credit analysis --- Money --- Loans --- Finance. --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Mathematics
Choose an application
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
Financial analysis --- financiële analyse --- Quantitative methods (economics) --- Credit control --- Credit scoring systems --- Portfolio management --- Risk management --- Gestion de portefeuille --- Gestion du risque --- Methodology --- Evaluation --- EPUB-LIV-FT LIVMATHE LIVSTATI SPRINGER-B --- Methodology. --- 332.7011 --- 305.6 --- 305.91 --- 333.109 --- AA / International- internationaal --- Insurance --- Management --- Investment management --- Investment analysis --- Investments --- Securities --- Credit analysis --- Credit --- Credit allocation --- Credit policy --- Monetary policy --- Risicotheorie, speltheorie. Risicokapitaal. Beslissingsmodellen --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Veiligheid. Bankovervallen. Bankrisico's --- Government policy
Choose an application
Quantitative methods (economics) --- Financial analysis --- financiële analyse
Listing 1 - 3 of 3 |
Sort by
|