mixed material bibliography London Risk Books 2003 en English

Printed Material

xxiii, 278 p. : figs., tabs., bibs., index ; 31 cm A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry. Designed in order for readers to easily familiarise themselves with all the leading authorities, ideas and techniques used in today’s business. The papers are subdivided into easy-reference sections that include credit portfolio modelling and measurement, credit derivatives, default models and prediction, and credit risk modelling in relation to Basel II. Introduced by Michael Gordy, who illustrates the significance that each chapter has on modern credit practice. Allows the reader to compare and contrast two different philosophies in credit risk modelling - "structural models" and "reduced-form models". Covers the statistical and financial tools that lie behind credit risk theory and management in addition to offering a comprehensive treatment of the pricing of credit derivatives, including credit swaps and CDOs. Includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates. TABLE OF CONTENTS I. PRICING CREDIT RISK 1. Credit Derivatives Made Simple 2. Applying HJM to Credit Risk 3. The Price of Credit 4. Price and Probability 5. Distance to Default 6. Equity to Credit Pricing 7. Getting the Pricing Right 8. On the Edge of Completeness II. MEASURING DEFAULT RISK 9. Measuring Default Accurately 10. A Credit Risk Catwalk 11. The Need for Hybrid Models III. DEPENDENCE IN DEFAULTS AND RECOVERIES 12. Devil in the Parameters 13. Modelling Default Correlation 14. How Dependent are Defaults? 15. Copulas and Credit Models 16. Depressing Recoveries IV. VALUE-AT-RISK FOR CREDIT PORTFOLIOS 17. Integrating Correlations 18. Taking to the Saddle 19. Calculating Portfolio Loss V. BASEL II 20. IRB Approach Explained 21. Pro-cyclicality in the New Basel Accord 22. The Maturity Effect on Credit Risk Capital VI. ASYMPTOTIC METHODS IN VAR 23. Loan Portfolio Value 24. Probing Granularity 25. Analytical Approach to Credit Risk Modelling 26. Unsystematic Credit Risk VII. PRICING MULTI-NAME DEFAULT RISK 27. Copula Vulnerability 28. Pricing Default Baskets 29. Long or Short in CDOs 30. Extreme Events and Default Baskets VIII. VALUE-AT-RISK FOR ASSET SECURITISATIONS 31. Credit Risk in Asset Securitisations: An Analytical Model 32. Coarse-grained CDOs 33. Random Tranches EEK 1904339085 Perpustakaan - Sekolah Tinggi Manajemen PPM Pusat Informasi Manajemen EEK Cre 31879 General (General) EEK Cre 29522 2004-07-08 00:00:00 2026-03-04 12:09:18 machine generated