Measuring and Managing Credit Risk

✍ Scribed by Arnaud de Servigny;Olivier Renault

Publisher: McGraw-Hill Education
Year: 2004
Tongue: English
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment

Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm's credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including:

Determinants of credit risk and pricing/spread implications
Quantitative models for moving beyond Altman's Z score to separate "good" borrowers from "bad"
Key determinants of loss given default, and potential links between recovery rates and probabilities of default
Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
A detailed review of five of today's most popular portfolio...

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Книга Credit Risk: Pricing, Measurement, and Management Credit Risk: Pricing, Measurement, and ManagementКниги Экономика Автор: Darrell Duffie, Kenneth J. Singleton Год издания: 2003 Формат: pdf Издат.:Princeton University Press Страниц: 464 Размер: 8,2 ISBN: 0691090467 Язык: Русский0 (голосов: 0) О