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Credit Risk : Measurement, Evaluation and Management /

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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...

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Bibliographic Details
Main Author: Bol, G. (Georg)
Corporate Author: SpringerLink (Online service)
Other Authors: Nakhaeizadeh, Gholamreza, Rachev, Svetlozar T., Ridder, Thomas, Vollmer, Karl-Heinz
Format: eBook
Language:English
Published: Heidelberg : Physica-Verlag HD, 2003.
Edition:1.
Series:Contributions to economics.
Subjects:
Economics.
Finance.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 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.