Bluhm C., Overbeck L., Wagner C. An Introduction to Credit Risk Modeling
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Chapman & Hall/CRC, Baco Raton, 2003. — 285 p. 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 Today’s Industry Models; One-Factor/Sector Models; Loss Distributions by Means of Copula Functions; Estimation of Asset Correlations. Asset Value Models: A Few Words about Calls and Puts; Merton’s Asset Value Model; Transforming Equity into Asset Values. The CreditRisk+ Model: The Modeling Framework of CreditRisk+; Independent Obligors; Sector Model. Alternative Risk Measures and Capital Allocation: Coherent Risk Measures and Conditional 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; Different Roles of Banks in the CDO Market; CDOs from the Modeling Point of View; Rating Agency Models: Moody’s BET.
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Prmia Publications – 2005, 1301 pages
ISBN: 0976609703, 9780976609704
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Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
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A top risk management practitioner addresses the essential aspects of modern financial risk management
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