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Credit Risk: Measurement, Evaluation and Management

✍ Scribed by Arne Benzin, Stefan Trück, Svetlozar T. Rachev (auth.), Prof. Dr. Georg Bol, Prof. Dr. Gholamreza Nakhaeizadeh, Prof. Dr. Svetlozar T. Rachev, Dr. Thomas Ridder, Prof. Dr. Karl-Heinz Vollmer (eds.)

Publisher
Physica-Verlag Heidelberg
Year
2003
Tongue
English
Leaves
333
Series
Contributions to Economics
Edition
1
Category
Library
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✦ Synopsis

New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are important issues, such as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk.

✦ Table of Contents

Front Matter....Pages I-X
Approaches to Credit Risk in the New Basel Capital Accord....Pages 1-33
Systematic Risk in Homogeneous Credit Portfolios....Pages 35-48
Valuation of a Credit Default Swap: The Stable Non-Gaussian versus the Gaussian Approach....Pages 49-84
Basel II in the DaimlerChrysler Bank....Pages 85-90
Sovereign Risk in a Structural Approach....Pages 91-109
An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds....Pages 111-137
Default Probabilities in Structured Commodity Finance....Pages 139-147
Kendall’s Tau for Elliptical Distributions....Pages 149-156
Exploring Credit Data *....Pages 157-173
Stable Non-Gaussian Credit Risk Model; The Cognity Approach....Pages 175-193
An Application of the CreditRisk + Model....Pages 195-205
Internal Ratings for Corporate Clients....Pages 207-230
Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation....Pages 231-265
Credit Risk Modelling and Estimation via Elliptical Copulae....Pages 267-289
Credit Risk Models in Practice - a Review....Pages 291-329
Back Matter....Pages 331-334

✦ Subjects

Finance/Investment/Banking; Financial Economics; Quantitative Finance

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