Credit Risk

Measurement, Evaluation and Management

Georg Bol, Gholamreza Nakhaeizadeh, Thomas Ridder, K.-H. Vollmer

334 pages, parution le 12/06/2003

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Résumé

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.

Approaches to Credit Risk in the New Basel Capital Accord
Systematic Risk in Homogeneous Credit Portfolios
Valuation of a Credit Default Swap: The Stable Non-Gaussian versus the Gaussian Approach
Basel II in the DaimlerChrysler Bank
Sovereign Risk in a Structural Approach. Evaluating Sovereign Ability-to-Pay and Probability of Default
An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds
Default Probabilities in Structured Commodity Finance
Kendall's Tau for Elliptical Distributions
Exploring Credit Data
Stable Non-Gaussian Credit Risk Model; The Cognity Approach
An Application of the Credit Risk Model
Internal Ratings for Corporate Clients
Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation
Credit Risk Modelling and Estimation via Elliptical Copulae
Credit Risk Models in Practice - a Review

L'auteur - Georg Bol

University of Karlsruhe, Germany

L'auteur - Gholamreza Nakhaeizadeh

DaimlerChrysler AG, Ulm, Germany (Editor)

L'auteur - Thomas Ridder

DZ Bank AG, Frankfurt/Main, Germany

L'auteur - K.-H. Vollmer

University of Karlsruhe, Germany (Editor)

Caractéristiques techniques

	PAPIER
Éditeur(s)	Physica-Verlag
Auteur(s)	Georg Bol, Gholamreza Nakhaeizadeh, Thomas Ridder, K.-H. Vollmer
Parution	12/06/2003
Nb. de pages	334
Format	15,5 x 23,5
Couverture	Broché
Poids	522g
Intérieur	Noir et Blanc
EAN13	9783790800548