Measuring and managing credit risk:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
McGraw-Hill
2004
|
| Subjects: | |
| Online Access: | Contributor biographical information Publisher description Table of contents Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references |
| Physical Description: | xi, 466 p. ill. 24 cm |
| ISBN: | 0071417559 9780071417556 |
Staff View
MARC
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| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 2004 | |
| 300 | |a xi, 466 p. |b ill. |c 24 cm | ||
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| 500 | |a Includes bibliographical references | ||
| 650 | 4 | |a Cotes de solvabilité | |
| 650 | 4 | |a Crédit - Gestion - Modèles mathématiques | |
| 650 | 4 | |a Défaillance (Finances) | |
| 650 | 4 | |a Gestion du risque - Modèles mathématiques | |
| 650 | 4 | |a Instruments dérivés (Finances) | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Credit |x Management |x Mathematical models | |
| 650 | 4 | |a Risk management |x Mathematical models | |
| 650 | 4 | |a Credit ratings | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Default (Finance) | |
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Record in the Search Index
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| adam_text | Titel: Measuring and managing credit risk
Autor: Servigny, Arnaud de
Jahr: 2004
CONTENTS
FOREWORD vii
INTRODUCTION ix
ACKNOWLEDGMENTS xi
Chapter 1
Credit, Financial Markets, and Microeconomics 1
The Role of Debt in the Theorv of the Firm 4
Banking Intermediation Theorv 12
Conclusion 19
Chapter 2
External and Internal Ratings 23
Ratings and External Agencies 24
Comments and Criticisms about External Ratings 28
Approaching Credit Risk through Internal Ratings or
Score-Based Ratings 39
Conclusion 48
Chapter 3
Default Risk: Quantitative Methodologies 63
Assessing Default Risk Through Structural Models 64
Credit Scoring 73
Conclusion 108
Chapter 4
Loss Given Default 117
Some Definitions US
What Measure of Reco erv Should One Use? 123
History and Determinants of Recovery Rates 124
Recovery on Nontraded Debt 136
The Importance of Stochastic Recovery Rates 138
Fitting Recoverv Functions 139
Extracting Recoveries from Security Prices 151
Conclusion 153
Chapter 5
Default Dependencies 167
Sources of Dependencies 168
Correlations and Other Dependency Measures 170
Default Dependencies?Empirical Findings 184
Conclusion 208
Chapter 6
Credit Risk Portfolio Models 213
Credit Risk Portfolio Models: What For? 213
Classes of Models 215
Review of Commercial Models 216
Alternative Approaches 234
Calculating Risk-Adjusted Performance Measures (RAPM) 236
Stress-Testing Portfolio Loss Calculations 248
Conclusion 251
Chapter 7
Credit Risk Management and Strategic Capital Allocation 271
Do Rating Agencies Have a Point of View on Strategic
Capital Allocation? 272
What Is Bank Capital Meant For7 273
The Various Static Methodologies to Allocate Equity Capital
among Business Units 283
Performance Measurement, the Cost of Capital, and Dynamic Equity
Capital Allocation 298
Conclusion 305
Chapter S
Yield Spreads 309
Corporate Spreads 310
Conclusion 328
Chapter 9_________________
Structured Products and Credit Derivatives 347
Credit Derivatives 348
Collateralized Debt Obligations 360
Conclusion 376
Chapter 10 _______
Regulation 383
A Brief History of Banking Regulation 384
The Principles of Banking Regulation 386
A Retrospective Look at the 1988 Basel Accord 392
Core Elements of the Second Basel Accord 393
The New Basel Regulation?Its Strengths and Shortcomings 407
Conclusion 413
EPILOGUE 415
NOTES 417
REFERENCES 437
INDEX 453
|
| adam_txt |
Titel: Measuring and managing credit risk
Autor: Servigny, Arnaud de
Jahr: 2004
CONTENTS
FOREWORD vii
INTRODUCTION" ix
ACKNOWLEDGMENTS xi
Chapter 1
Credit, Financial Markets, and Microeconomics 1
The Role of Debt in the Theorv of the Firm 4
Banking Intermediation Theorv 12
Conclusion 19
Chapter 2
External and Internal Ratings 23
Ratings and External Agencies 24
Comments and Criticisms about External Ratings 28
Approaching Credit Risk through Internal Ratings or
Score-Based Ratings 39
Conclusion 48
Chapter 3
Default Risk: Quantitative Methodologies 63
Assessing Default Risk Through Structural Models 64
Credit Scoring 73
Conclusion 108
Chapter 4
Loss Given Default 117
Some Definitions US
What Measure of Reco\ erv Should One Use? 123
History and Determinants of Recovery Rates 124
Recovery on Nontraded Debt 136
The Importance of Stochastic Recovery Rates 138
Fitting Recoverv Functions 139
Extracting Recoveries from Security Prices 151
Conclusion 153
Chapter 5
Default Dependencies 167
Sources of Dependencies 168
Correlations and Other Dependency Measures 170
Default Dependencies?Empirical Findings 184
Conclusion 208
Chapter 6
Credit Risk Portfolio Models 213
Credit Risk Portfolio Models: What For? 213
Classes of Models 215
Review of Commercial Models 216
Alternative Approaches 234
Calculating Risk-Adjusted Performance Measures (RAPM) 236
Stress-Testing Portfolio Loss Calculations 248
Conclusion 251
Chapter 7
Credit Risk Management and Strategic Capital Allocation 271
Do Rating Agencies Have a Point of View on Strategic
Capital Allocation? 272
What Is Bank Capital Meant For7 273
The Various Static Methodologies to Allocate Equity Capital
among Business Units 283
Performance Measurement, the Cost of Capital, and Dynamic Equity
Capital Allocation 298
Conclusion 305
Chapter S
Yield Spreads 309
Corporate Spreads 310
Conclusion 328
Chapter 9_
Structured Products and Credit Derivatives 347
Credit Derivatives 348
Collateralized Debt Obligations 360
Conclusion 376
Chapter 10 _
Regulation 383
A Brief History of Banking Regulation 384
The Principles of Banking Regulation 386
A Retrospective Look at the 1988 Basel Accord 392
Core Elements of the Second Basel Accord 393
The New Basel Regulation?Its Strengths and Shortcomings 407
Conclusion 413
EPILOGUE 415
NOTES 417
REFERENCES 437
INDEX 453 |
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| index_date | 2024-07-02T14:40:26Z |
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| spelling | Servigny, Arnaud de Verfasser aut Measuring and managing credit risk Arnaud de Servigny ; Olivier Renault New York [u.a.] McGraw-Hill 2004 xi, 466 p. ill. 24 cm txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references Cotes de solvabilité Crédit - Gestion - Modèles mathématiques Défaillance (Finances) Gestion du risque - Modèles mathématiques Instruments dérivés (Finances) Mathematisches Modell Credit Management Mathematical models Risk management Mathematical models Credit ratings Derivative securities Default (Finance) Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Unternehmen (DE-588)4061963-1 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Unternehmen (DE-588)4061963-1 s Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s DE-604 DE-188 Risikoanalyse (DE-588)4137042-9 s Mathematisches Modell (DE-588)4114528-8 s Renault, Olivier Verfasser aut http://www.loc.gov/catdir/bios/mh042/2003018949.html Contributor biographical information http://www.loc.gov/catdir/description/mh041/2003018949.html Publisher description http://www.loc.gov/catdir/toc/ecip048/2003018949.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014792851&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Servigny, Arnaud de Renault, Olivier Measuring and managing credit risk Cotes de solvabilité Crédit - Gestion - Modèles mathématiques Défaillance (Finances) Gestion du risque - Modèles mathématiques Instruments dérivés (Finances) Mathematisches Modell Credit Management Mathematical models Risk management Mathematical models Credit ratings Derivative securities Default (Finance) Kreditrisiko (DE-588)4114309-7 gnd Unternehmen (DE-588)4061963-1 gnd Risikoanalyse (DE-588)4137042-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4061963-1 (DE-588)4137042-9 (DE-588)4114528-8 (DE-588)4121590-4 |
| title | Measuring and managing credit risk |
| title_auth | Measuring and managing credit risk |
| title_exact_search | Measuring and managing credit risk |
| title_exact_search_txtP | Measuring and managing credit risk |
| title_full | Measuring and managing credit risk Arnaud de Servigny ; Olivier Renault |
| title_fullStr | Measuring and managing credit risk Arnaud de Servigny ; Olivier Renault |
| title_full_unstemmed | Measuring and managing credit risk Arnaud de Servigny ; Olivier Renault |
| title_short | Measuring and managing credit risk |
| title_sort | measuring and managing credit risk |
| topic | Cotes de solvabilité Crédit - Gestion - Modèles mathématiques Défaillance (Finances) Gestion du risque - Modèles mathématiques Instruments dérivés (Finances) Mathematisches Modell Credit Management Mathematical models Risk management Mathematical models Credit ratings Derivative securities Default (Finance) Kreditrisiko (DE-588)4114309-7 gnd Unternehmen (DE-588)4061963-1 gnd Risikoanalyse (DE-588)4137042-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Cotes de solvabilité Crédit - Gestion - Modèles mathématiques Défaillance (Finances) Gestion du risque - Modèles mathématiques Instruments dérivés (Finances) Mathematisches Modell Credit Management Mathematical models Risk management Mathematical models Credit ratings Derivative securities Default (Finance) Kreditrisiko Unternehmen Risikoanalyse Risikomanagement |
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