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Recovery risk: the next challenge in credit risk management

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Bibliographic Details
Format:	Book
Language:	English
Published:	London Risk Books 2005
Subjects:	Administração de crédito Administração de risco Crédit - Gestion Gestion du risque Credit > Management Risk management Kreditderivat Beitreibung Kreditrisiko Schuldner Risikomanagement Aufsatzsammlung
Online Access:	Inhaltsverzeichnis Klappentext
Physical Description:	XXII, 364 S. graph. Darst.
ISBN:	1904339506

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MARC


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adam_text	Contents About the Editors Editors Note List of Contributors Introduction Edward I. NYU Salomon Center and NYU Stern School of Business; Bocconi PART I: DEFINING AND MEASURING RECOVERY RISK 1 Til Schuermann Federal Reserve Bank of New York and Wharton Financial Institutions Center 2 Andrea Bocconi 3 Edward I. NYU Salomon Center and NYU Stern School of Business; Bocconi 4 Quantitative Model: LossCalc Greg M. Gupton Moody s KMV 5 Estimating Recovery Risk William H. Chew, Steven S. Kerr Standard and Poor s PART II: MEASURING LGD ON SPECIFIC PORTFOLIOS 6 Lending: Methodology and Empirical Evidence Jean Dermine; INSEAD; Universidade RECOVERY RISK: THE NEXT CHALLENGE IN 7 Emerging from the Italian Experience Pierpaolo Bank of Italy; Monte 8 Evidence from a Multivariate Model Giacomo De Bocconi 9 Buy-Outs David Cass Business Business PART 111: THE PD/LGD CORRELATION 10 of Security Jon Frye Federal Reserve Bank of Chicago 11 Samu Sampo pic; Bank of Finland 12 Bond Market Edward I. NYU Salomon Center and NYU Stern School of Business; Standard and Poor s; 13 Credit Exposures Klaus Duetsche Bundesbank; University of Mannheim 14 Modelling Edward I. NYU Salomon Center and NYU Stern School of Business; Bocconi 15 An Investigation of Correlation Effects Ali Chabaane; АСА University of vi CONTENTS PART IV: 16 lain Maclachlan Australia and New Zealand Banking Group Ltd 17 A Portfolio Model Applied to Leasing Contracts Marie-Paule Université 18 Semi-parametric Approaches versus Industry Practice Matthias Hagmann; Olivier Renault; Olivier Scaillet НЕС Ltd; 19 Recovery Rates: A Utility-Based Approach Craig Friedman; Standard and Poor s; NYU Mathematical Sciences Index VII The importance of loss given default (LGD) has been punctuated by Basel II s advanced approach to internal ratings and its recent focus on a better understanding of recovery rates in economic downturns. Financial markets have given so much prominence to this risk component that some major credit rating agencies have introduced recovery ratings and recovery scales ; also, the growth of credit derivatives and the desirability of adding extra credit protection for structured, asset-backed products generates additional interest by the credit insurance industry in the LGD phenomenon. Recovery Risk: The Next Challenge in Credit Risk Management presents an impressive collection of rigorous and focused pieces of research. These materials are grouped into four parts: D Defining and measuring recovery risk D Measuring LGD on specific portfolios Ü □ This book is an essential text for risk managers, compliance professionals, executives focusing on Basel II, regulators and the whole credit risk industry.
adam_txt	Contents About the Editors Editors' Note List of Contributors Introduction Edward I. NYU Salomon Center and NYU Stern School of Business; Bocconi PART I: DEFINING AND MEASURING RECOVERY RISK 1 Til Schuermann Federal Reserve Bank of New York and Wharton Financial Institutions Center 2 Andrea Bocconi 3 Edward I. NYU Salomon Center and NYU Stern School of Business; Bocconi 4 Quantitative Model: LossCalc Greg M. Gupton Moody's KMV 5 Estimating Recovery Risk William H. Chew, Steven S. Kerr Standard and Poor's PART II: MEASURING LGD ON SPECIFIC PORTFOLIOS 6 Lending: Methodology and Empirical Evidence Jean Dermine; INSEAD; Universidade RECOVERY RISK: THE NEXT CHALLENGE IN 7 Emerging from the Italian Experience Pierpaolo Bank of Italy; Monte 8 Evidence from a Multivariate Model Giacomo De Bocconi 9 Buy-Outs David Cass Business Business PART 111: THE PD/LGD CORRELATION 10 of Security Jon Frye Federal Reserve Bank of Chicago 11 Samu Sampo pic; Bank of Finland 12 Bond Market Edward I. NYU Salomon Center and NYU Stern School of Business; Standard and Poor's; 13 Credit Exposures Klaus Duetsche Bundesbank; University of Mannheim 14 Modelling Edward I. NYU Salomon Center and NYU Stern School of Business; Bocconi 15 An Investigation of Correlation Effects Ali Chabaane; АСА University of vi CONTENTS PART IV: 16 lain Maclachlan Australia and New Zealand Banking Group Ltd 17 A Portfolio Model Applied to Leasing Contracts Marie-Paule Université 18 Semi-parametric Approaches versus Industry Practice Matthias Hagmann; Olivier Renault; Olivier Scaillet НЕС Ltd; 19 Recovery Rates: A Utility-Based Approach Craig Friedman; Standard and Poor's; NYU Mathematical Sciences Index VII The importance of loss given default (LGD) has been punctuated by Basel II's advanced approach to internal ratings and its recent focus on a better understanding of recovery rates in economic downturns. Financial markets have given so much prominence to this risk component that some major credit rating agencies have introduced "recovery ratings" and "recovery scales"; also, the growth of credit derivatives and the desirability of adding extra credit protection for structured, asset-backed products generates additional interest by the credit insurance industry in the LGD phenomenon. Recovery Risk: The Next Challenge in Credit Risk Management presents an impressive collection of rigorous and focused pieces of research. These materials are grouped into four parts: D Defining and measuring recovery risk D Measuring LGD on specific portfolios Ü □ This book is an essential text for risk managers, compliance professionals, executives focusing on Basel II, regulators and the whole credit risk industry.
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spelling	Recovery risk the next challenge in credit risk management ed. by Edward I. Altman ... London Risk Books 2005 XXII, 364 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Administração de crédito larpcal Administração de risco larpcal Crédit - Gestion Gestion du risque Credit Management Risk management Kreditderivat (DE-588)7660453-6 gnd rswk-swf Beitreibung (DE-588)4144391-3 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Schuldner (DE-588)4053466-2 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Schuldner (DE-588)4053466-2 s Beitreibung (DE-588)4144391-3 s Kreditderivat (DE-588)7660453-6 s b DE-604 Altman, Edward I. 1941- Sonstige (DE-588)124062016 oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014189294&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014189294&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext
spellingShingle	Recovery risk the next challenge in credit risk management Administração de crédito larpcal Administração de risco larpcal Crédit - Gestion Gestion du risque Credit Management Risk management Kreditderivat (DE-588)7660453-6 gnd Beitreibung (DE-588)4144391-3 gnd Kreditrisiko (DE-588)4114309-7 gnd Schuldner (DE-588)4053466-2 gnd Risikomanagement (DE-588)4121590-4 gnd
subject_GND	(DE-588)7660453-6 (DE-588)4144391-3 (DE-588)4114309-7 (DE-588)4053466-2 (DE-588)4121590-4 (DE-588)4143413-4
title	Recovery risk the next challenge in credit risk management
title_auth	Recovery risk the next challenge in credit risk management
title_exact_search	Recovery risk the next challenge in credit risk management
title_exact_search_txtP	Recovery risk the next challenge in credit risk management
title_full	Recovery risk the next challenge in credit risk management ed. by Edward I. Altman ...
title_fullStr	Recovery risk the next challenge in credit risk management ed. by Edward I. Altman ...
title_full_unstemmed	Recovery risk the next challenge in credit risk management ed. by Edward I. Altman ...
title_short	Recovery risk
title_sort	recovery risk the next challenge in credit risk management
title_sub	the next challenge in credit risk management
topic	Administração de crédito larpcal Administração de risco larpcal Crédit - Gestion Gestion du risque Credit Management Risk management Kreditderivat (DE-588)7660453-6 gnd Beitreibung (DE-588)4144391-3 gnd Kreditrisiko (DE-588)4114309-7 gnd Schuldner (DE-588)4053466-2 gnd Risikomanagement (DE-588)4121590-4 gnd
topic_facet	Administração de crédito Administração de risco Crédit - Gestion Gestion du risque Credit Management Risk management Kreditderivat Beitreibung Kreditrisiko Schuldner Risikomanagement Aufsatzsammlung
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014189294&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014189294&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
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