The foundations of credit risk analysis:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cheltenham [u.a.]
Elgar
2007
|
| Schriftenreihe: | The international library of critical writings in economics
211 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 526 S. graph. Darst. |
| ISBN: | 9781847201485 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents
Acknowledgements
vii
Introduction
Willi Semmler and Lucas
Bemard
ix
PARTI FOUNDATIONS
1.
Franco
Modigliani
and Merton
H.
Miller
(1958),
The Cost of
Capital, Corporation Finance and the Theory of Investment ,
American Economic Review,
XLVIII
(3),
June,
261-97 3
2.
Fischer Black and Myron Scholes
(1973),
The Pricing of Options
and Corporate Liabilities , Journal of Political Economy,
81 (1),
January/February,
637-54 40
3.
Robert
С
Merton
(1974),
On the Pricing of Corporate Debt: The
Risk Structure of Interest Rates , Journal of Finance,
29 (2),
May,
449-70 58
4.
J.E. Stiglitz and A. Weiss
(1992),
Asymmetric Information in
Credit Markets and its Implications for Macro-Economics , Oxford
Economic Papers,
44 (4),
October,
694-724 80
PART II MEASURING CREDIT RISK
5.
Marius J.L. Jonkhart
(1979),
On the Term Structure of Interest
Rates and the Risk of Default: An Analytical Approach , Journal of
Banking and Finance,
3 (3),
September,
253-62 113
6.
John Hull and Alan White
(1995),
The Impact of Default Risk on
the Prices of Options and Other Derivative Securities , Journal of
Banking and Finance,
19 (2),
May,
299-322 123
7.
Dilip B. Madan and
Haluk Unal
(1998),
Pricing the Risks of
Default , Review of Derivatives Research,
2 (2/3),
December,
121-60 147
8.
Michel Crouhy, Dan
Galai
and Robert Mark
(2000),
A Comparative
Analysis of Current Credit Risk Models , Journal of Banking and
Finance,
24(1),
January,
59-117 187
9.
Kay Giesecke and Lisa R. Goldberg
(2004),
Forecasting Default in
the Face of Uncertainty , Journal of Derivatives,
12 (1),
Fall,
11-25 246
PART
ΙΠ
CREDIT DERIVATIVES AND MODELING
10.
John
С
Hull and Alan White
(2000),
Valuing Credit Default Swaps
I: No Counterparty Default Risk , Journal of Derivatives,
8(1),
Fall,
29-40 263
11.
John Hull and Alan White
(2001),
Valuing Credit Default Swaps II:
Modeling Default Correlations , Journal of Derivatives,
8 (3),
Spring,
12-21 275
ví
The Foundations of Credit Risk Analysis
12. Philipp J. Schönbucher (2001),
Factor Models: Portfolio Credit
Risk When Defaults Are Correlated , Journal of Risk Finance,
3(1),
Fall,
45-56 285
13.
Darrell Duffie
(2005),
Credit Risk Modeling with
Affine
Processes
,
Journal of Banking and Finance,
19 (11),
November,
2751-802 297
14.
Keith Kuester, Stefan Mittnik and Marc S.
Paolella (20O6),
Value-
at-Risk Prediction: A Comparison of Alternative Strategies , Journal
of Financial Econometrics,
4 (1),
Winter,
53-89 349
PART IV CONTROL AND MANAGEMENT OF CREDIT RISK
15.
Douglas J. Lucas
(1995),
Default Correlation and Credit Analysis ,
Journal of Fixed Income,
4 (4),
March, 76-S7
389
16.
Edward W. Frees and
Emiliano
A. Valdez
(1998),
Understanding
Relationships Using Copulas , North American Actuarial Journal,
2
(1),
January,
1-25 401
17. Lars Grüne
and
Willi Semmler (2005),
Default Risk, Asset Pricing,
and Debt Control , Journal of Financial Econometrics,
3 (1),
Winter,
79-106 426
18.
Francis A. Longstaff, Sanjay Mithal and Eric
Neis
(2005),
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence
from the Credit Default Swap Market , Journal of Finance,
LX (5),
October,
2213-53 454
19.
Sanjiv
R.
Das, Darrell Duffie, Nikunj Kapadia and
Leandro
Saita
(2007),
Common Failings: How Corporate Defaults are Correlated ,
Journal of Finance,
LXII ( 1),
February,
93-117 495
Name Index
521
|
| adam_txt |
Contents
Acknowledgements
vii
Introduction
Willi Semmler and Lucas
Bemard
ix
PARTI FOUNDATIONS
1.
Franco
Modigliani
and Merton
H.
Miller
(1958),
'The Cost of
Capital, Corporation Finance and the Theory of Investment',
American Economic Review,
XLVIII
(3),
June,
261-97 3
2.
Fischer Black and Myron Scholes
(1973),
'The Pricing of Options
and Corporate Liabilities', Journal of Political Economy,
81 (1),
January/February,
637-54 40
3.
Robert
С
Merton
(1974),
'On the Pricing of Corporate Debt: The
Risk Structure of Interest Rates', Journal of Finance,
29 (2),
May,
449-70 58
4.
J.E. Stiglitz and A. Weiss
(1992),
'Asymmetric Information in
Credit Markets and its Implications for Macro-Economics', Oxford
Economic Papers,
44 (4),
October,
694-724 80
PART II MEASURING CREDIT RISK
5.
Marius J.L. Jonkhart
(1979),
'On the Term Structure of Interest
Rates and the Risk of Default: An Analytical Approach', Journal of
Banking and Finance,
3 (3),
September,
253-62 113
6.
John Hull and Alan White
(1995),
'The Impact of Default Risk on
the Prices of Options and Other Derivative Securities', Journal of
Banking and Finance,
19 (2),
May,
299-322 123
7.
Dilip B. Madan and
Haluk Unal
(1998),
'Pricing the Risks of
Default', Review of Derivatives Research,
2 (2/3),
December,
121-60 147
8.
Michel Crouhy, Dan
Galai
and Robert Mark
(2000),
'A Comparative
Analysis of Current Credit Risk Models', Journal of Banking and
Finance,
24(1),
January,
59-117 187
9.
Kay Giesecke and Lisa R. Goldberg
(2004),
'Forecasting Default in
the Face of Uncertainty', Journal of Derivatives,
12 (1),
Fall,
11-25 246
PART
ΙΠ
CREDIT DERIVATIVES AND MODELING
10.
John
С
Hull and Alan White
(2000),
'Valuing Credit Default Swaps
I: No Counterparty Default Risk', Journal of Derivatives,
8(1),
Fall,
29-40 263
11.
John Hull and Alan White
(2001),
'Valuing Credit Default Swaps II:
Modeling Default Correlations', Journal of Derivatives,
8 (3),
Spring,
12-21 275
ví
The Foundations of Credit Risk Analysis
12. Philipp J. Schönbucher (2001),
'Factor Models: Portfolio Credit
Risk When Defaults Are Correlated', Journal of Risk Finance,
3(1),
Fall,
45-56 285
13.
Darrell Duffie
(2005),
'Credit Risk Modeling with
Affine
Processes'
,
Journal of Banking and Finance,
19 (11),
November,
2751-802 297
14.
Keith Kuester, Stefan Mittnik and Marc S.
Paolella (20O6),
'Value-
at-Risk Prediction: A Comparison of Alternative Strategies', Journal
of Financial Econometrics,
4 (1),
Winter,
53-89 349
PART IV CONTROL AND MANAGEMENT OF CREDIT RISK
15.
Douglas J. Lucas
(1995),
'Default Correlation and Credit Analysis',
Journal of Fixed Income,
4 (4),
March, 76-S7
389
16.
Edward W. Frees and
Emiliano
A. Valdez
(1998),
'Understanding
Relationships Using Copulas', North American Actuarial Journal,
2
(1),
January,
1-25 401
17. Lars Grüne
and
Willi Semmler (2005),
'Default Risk, Asset Pricing,
and Debt Control', Journal of Financial Econometrics,
3 (1),
Winter,
79-106 426
18.
Francis A. Longstaff, Sanjay Mithal and Eric
Neis
(2005),
'Corporate Yield Spreads: Default Risk or Liquidity? New Evidence
from the Credit Default Swap Market', Journal of Finance,
LX (5),
October,
2213-53 454
19.
Sanjiv
R.
Das, Darrell Duffie, Nikunj Kapadia and
Leandro
Saita
(2007),
'Common Failings: How Corporate Defaults are Correlated',
Journal of Finance,
LXII ( 1),
February,
93-117 495
Name Index
521 |
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| spelling | The foundations of credit risk analysis ed. by Willi Semmler ... Cheltenham [u.a.] Elgar 2007 XVI, 526 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The international library of critical writings in economics 211 An Elgar reference collection Credit Management Risk management Kreditrisiko (DE-588)4114309-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditrisiko (DE-588)4114309-7 s DE-604 Semmler, Willi 1942- Sonstige (DE-588)121195775 oth The international library of critical writings in economics 211 (DE-604)BV004220075 211 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016075681&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | The foundations of credit risk analysis |
| title_auth | The foundations of credit risk analysis |
| title_exact_search | The foundations of credit risk analysis |
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| title_full_unstemmed | The foundations of credit risk analysis ed. by Willi Semmler ... |
| title_short | The foundations of credit risk analysis |
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| topic | Credit Management Risk management Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Credit Management Risk management Kreditrisiko Aufsatzsammlung |
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