Introduction to credit risk modeling. (2010)

• Record Type: Book
• Further Information: Note: Christian Bluhm, Ludger Overbeck, Christoph Wagner.
• Authors: Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph, 1966-
• Contents: The Basics of Credit Risk Management; Expected Loss; Unexpected Loss; Regulatory Capital and the Basel Initiative Modeling Correlated Defaults; The Bernoulli Model; The Poisson Model; Bernoulli versus Poisson Mixture; An Overview of Common Model Concepts; One-Factor/Sector Models; Loss Dependence by Means of Copula Functions; Working Example on Asset Correlations; Generating the Portfolio Loss Distribution Asset Value Models ; Introduction and a Brief Guide to the Literature; A Few Words about Calls and Puts; Merton’s Asset Value Model; Transforming Equity into Asset Values: A Working Approach The CreditRisk+ Model; The Modeling Framework of CreditRisk+ ; Construction Step 1: Independent Obligors; Construction Step 2: Sector Model Risk Measures and Capital Allocation; Coherent Risk Measures and Expected Shortfall; Contributory Capital Term Structure of Default Probability; Survival Function and Hazard Rate; Risk-Neutral vs. Actual Default Probabilities; Term Structure Based on Historical Default Information; Term Structure Based on Market Spreads Credit Derivatives; Total Return Swaps; Credit Default Products; Basket Credit Derivatives; Credit Spread Products; Credit-Linked Notes Collateralized Debt Obligations; Introduction to Collateralized Debt Obligations (CDOs); Different Roles of Banks in the CDO Market; CDOs from the Modeling Point of View; Multi-Period Credit Models; Former Rating Agency Model: Moody’s BET; Developments, Model Issues, and Further Reading References Index
• Publisher Details: Boca Raton, Florida London [England] New York : CRC Press
• Publication Date: 2010
• Copyright Date: 2010
• Extent: 1 online resource (386 pages), illustrations, tables
• Subjects: 658.8/80151; Credit -- Management -- Mathematical models; Risk management -- Mathematical models; Credit -- Management -- Mathematical models; Risk management -- Mathematical models; Electronic books
• Languages: English
• ISBNs: 9781584889939; 1584889934
• Related ISBNs: 9781584889922
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.