rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Introduction to credit risk modeling
  name:
    name part: Bluhm, Christian
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Overbeck, Ludger
    role:
      role term: author.
  name:
    name part: Wagner, Christoph
    name part: 1966-
    role:
      role term: author.
  name:
    name part: Taylor & Francis
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: flu
    date issued: 2010
    edition: Second edition.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (386 pages)
  abstract: "Preface Second Edition The first edition of this book appeared eight years ago. Since then the banking industry experienced a lot of change and challenges. The most recent financial crisis which started around May 2007 and lasted in its core period until early 2009 gave rise for a lot of scepticism whether credit risk models are appropriate to capture the true nature of risks inherent in credit portfolios in general and structured credit products in particular. In a recent article two of us discuss common credit risk modeling approaches in the light of the most recent crisis and invite readers to participate in the discussion; see [25]. A key observation in a discussion like the one in [25] is that the universe of available models and tools is sufficiently rich for doing a good job even in a severe crisis scenario as banks recently experienced it. What seems to be more critical is an appropriate model choice, parameterization of models, dealing with uncertainties, e.g., based on insufficient data, and communication of model outcomes to decision makers and executive senior management. These are the four main areas of challenge where we think that a lot of work and rethinking needs to be done in a p͡ost-crisis ̕reflection of credit risk models. In the first edition of this book we focussed on the description of common mathematical approaches to model credit portfolios. We did not change this philosophy for the second edition. Therefore, we left large parts of the book unchanged in its core message but supplemented the exposition with new model developments and with details we omitted in the first edition"--
  table of contents: 1. The Basics of Credit Risk Management -- 1.1. Expected Loss -- 1.1.1. Probability of Default (PD) -- 1.1.2. The Exposure at Default -- 1.1.3. The Loss Given Default -- 1.1.4. A Remark on the Relation between PD, EAD, LGD -- 1.2. Unexpected Loss -- 1.2.1. Economic Capital -- 1.2.2. The Losws Distribution -- 1.2.3. Modeling Correlations by Means of Factor Modles -- 1.3. Regulatory Capital and the Basel Initiative -- 2. Modeling Correlated Defaults -- 2.1. The Bernoulli Model -- 2.1.1. A General Bernoulli Mixture Model -- 2.1.2. Uniform Default Probability and Uniform Correlation -- 2.2. The Poisson Model -- 2.2.1. A General Poisson Mixture Model -- 2.2.2. Uniform Default Intensity and Uniform Correlation -- 2.3. Bernoulli versus Poisson Mixture -- 2.4. An Overview of Common Model Concepts -- 2.4.1. Moody's KMV's and RiskMetrics' Model Approach -- 2.4.2. MOdel Approach of CreditRisk+ -- 2.4.3. Credit Portfolio View -- 2.4.4. Basic Remarks on Dynamic Intensity Models -- 2.5. One Factor/Sector Models -- 2.5.1. One-Factor Models in the Asset Value Model Setup -- 2.5.2. The CreditRisk+ One-Sector Model -- 2.5.3. Comparison of One-Factor and One-Sector Models -- 2.6. Loss Dependence by Means of Copula Functions -- 2.6.1. Copulas: Variations of a Scheme -- 2.7. Working Example on Asset Correlations -- 2.8. Generating the Portfolio Loss Distribution -- 2.8.1. Some Prerequisites from Probability Theory -- 2.8.2. Conditional Independence -- 2.8.3. Technique I: Recursive Generation -- 2.8.4. Technique II: Fourier Transformation -- 2.8.5. Technique III: Saddle-Point Approximation -- 2.8.6. Technique IV: Importance Sampling -- 3. Asset Value Models -- 3.1. Introduction and a Brief Guide to the Literature -- 3.2. A Few Words about Calls and puts -- 3.2.1. Geometric Brownian Motion -- 3.2.2. Put and Call Options -- 3.3. Merton's Asset Value Model -- 3.3.1. Capital Structure: Option- Theoretic Approach --3.3.2. Asset from Equity Values -- 3.4. Transforming Equity into Asset Values:…
  note: Christian Bluhm, Ludger Overbeck, Christoph Wagner.
  note: "A Chapman & Hall book."
  note: Includes bibliographical references and index.
  subject:
    topic: Credit
    topic: Management
    topic: Mathematical models
  subject:
    topic: Risk management
    topic: Mathematical models
  subject:
    topic: Crédit
    topic: Gestion
    topic: Modèles mathématiques
  subject:
    topic: Gestion du risque
    topic: Modèles mathématiques
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Industrial Management
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Management
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Management Science
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Organizational Behavior
  subject:
    topic: Credit
    topic: Management
    topic: Mathematical models
  subject:
    topic: Risk management
    topic: Mathematical models
  classification: HG3751
  classification: 658.8/80151
  related item:
    title info:
      title: Introduction to credit risk modeling
    name:
      name part: Bluhm, Christian.
    origin info:
      publisher: Boca Raton, Florida : CRC Press, ©2010
      edition: Second edition.
    physical description:
      extent: xix, 364 pages
  related item:
    title info:
      title: Chapman & Hall/CRC financial mathematics series
  identifier: 9781584889939
  identifier: 1584889934
  identifier: 9781584889922
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: EBLCP
    record creation date: 161224
    record change date: 20241111204817.0
    record identifier: in00005528637
    language of cataloging:
      language term: eng