Credit risk: models and management
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
London
Risk Books
2004
|
| Edition: | 2. ed |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIII, 638 S. graph. Darst. |
| ISBN: | 1904339212 |
Staff View
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Record in the Search Index
| _version_ | 1804137622420848640 |
|---|---|
| adam_text | CONTENTS FOREWORD LIST OF CONTRIBUTORS INTRODUCTION DAVID SLIIMKO IX XM
XXI SECTION 1: RISKY BONDS IN THE PORTFOLIO AND MARKET CONTEXT
INTRODUCTION DAVID SHIMKO 1 DEFAULTS AND RETURNS IN THE HIGH-YIELD BOND
MARKET: THE YEAR 2003 IN REVIEW AND MARKET OUTLOOK EDWARD I. ALT MAN,
GONZALO FATIJUL 2 PORTFOLIO CREDIT RISK (I) THOMAS C. WILSON 3 PORTFOLIO
CREDIT RISK (II) THOMAS C. WILSON 55 75 SECTION 2: VALUATION OF RISKY
DEBT INTRODUCTION DAVID SHIMKO 4 ON THE PRICING OF CORPORATE DEBT: THE
RISK STRUCTURE OF INTEREST RATES ROBERT C. MERTON 5 A SIMPLE APPROACH TO
VALUING RISKY FIXED AND FLOATING RATE DEBT FRANCIS A. LONGSTAFF, EDUARDO
S. SCHWARTZ 6 CREDIT RISK REVISITED MICHEL CROUHY; DAN GALAI; ROBERT M.
MARK 7 ASSESSING THE PROBABILITY OF BANKRUPTCY STEPHEN A. HILLEGEIST;
ELIZABETH K. KEATING; DONALD P. CRAM; KYLE G. LUNDSTEDT 93 97 123 159
175 CREDIT RISK MODELS AND MANAGEMENT SECTION 3: DEFAULT PROBABILITIES,
RECOVERIES AND CREDIT RATINGS INTRODUCTION 215 DAVID SHIIFIKO 8 ZETA
ANALYSIS: A NEW MODEL TO IDENTIFY BANKRUPTCY RISK OF CORPORATIONS 219
EDWARD I. ALT MAN; ROBERT G. HALDEMAN; P. NARAYANAN 9 WHAT DO WE KNOW
ABOUT LOSS GIVEN DEFAULT? 249 TIL SCJNIENNANN 10 PERFORMANCE EVALUATION
FOR CREDIT SPREAD AND DEFAULT RISK MODELS 275 JORGE R. SOBEHART, SEAN C.
KEENAN 11 TESTING RATING ACCURACY 307 BENUI ENGEJMANN, DIRK TASCHE
SECTION 4: STRUCTURED CREDIT PRODUCTS INTRODUCTION 327 DAVID SHIMKO 12
PRICING DERIVATIVES ON FINANCIAL SECURITIES SUBJECT TO CREDIT RISK 333
ROBERT A. JARROW; STUART M. TNRNBULL 13 CREDIT SWAP VALUATION 375
DARRELL DUFFIE 14 COMPARING THE DEPENDENCE STRUCTURE OF EQUITY AND ASSET
RETURNS 403 ROY MASHAL, MARCO NALDI, ASSAFZEEVI 15 AN INTRODUCTION TO
CDO MODELLING AND APPLICATIONS 419 CHRISTIAN BHIHM; LUDGER OVERBECK
SECTION 5: PRACTITIONERS TOOLS FOR MANAGING CREDIT RISK INTRODUCTION 485
DAVID SHITNKO VI CONTENTS 16 CREDIT RISK MODELLING AND VALUATION: AN
INTRODUCTION 487 KAY GIESECKE 17 CONTRIBUTIONS TO CREDIT RISK 527
ALEXAMIRE KURTH; DIRK TASCHE 18 ENHANCING CREDIT PERFORMANCE WITH
MARKET-IMPLIED CREDIT MEASURES AND DEFAULT SWAPS 543 TIM BACKSHALL 19
PRACTICAL USAGE OF CREDIT RISK MODELS IN LOAN PORTFOLIO AND COUNTERPARTY
EXPOSURE MANAGEMENT: AN UPDATE 573 ROBERT A. ] ARROW, DONALD R. VAN
DEZWITER 20 A COMPARISON OF STOCHASTIC DEFAULT RATE MODELS 599
CHRISTOPHER C. FINGER INDEX 629 VII
|
| adam_txt |
CONTENTS FOREWORD LIST OF CONTRIBUTORS INTRODUCTION DAVID SLIIMKO IX XM
XXI SECTION 1: RISKY BONDS IN THE PORTFOLIO AND MARKET CONTEXT
INTRODUCTION DAVID SHIMKO 1 DEFAULTS AND RETURNS IN THE HIGH-YIELD BOND
MARKET: THE YEAR 2003 IN REVIEW AND MARKET OUTLOOK EDWARD I. ALT MAN,
GONZALO FATIJUL 2 PORTFOLIO CREDIT RISK (I) THOMAS C. WILSON 3 PORTFOLIO
CREDIT RISK (II) THOMAS C. WILSON 55 75 SECTION 2: VALUATION OF RISKY
DEBT INTRODUCTION DAVID SHIMKO 4 ON THE PRICING OF CORPORATE DEBT: THE
RISK STRUCTURE OF INTEREST RATES ROBERT C. MERTON 5 A SIMPLE APPROACH TO
VALUING RISKY FIXED AND FLOATING RATE DEBT FRANCIS A. LONGSTAFF, EDUARDO
S. SCHWARTZ 6 CREDIT RISK REVISITED MICHEL CROUHY; DAN GALAI; ROBERT M.
MARK 7 ASSESSING THE PROBABILITY OF BANKRUPTCY STEPHEN A. HILLEGEIST;
ELIZABETH K. KEATING; DONALD P. CRAM; KYLE G. LUNDSTEDT 93 97 123 159
175 CREDIT RISK MODELS AND MANAGEMENT SECTION 3: DEFAULT PROBABILITIES,
RECOVERIES AND CREDIT RATINGS INTRODUCTION 215 DAVID SHIIFIKO 8 ZETA
ANALYSIS: A NEW MODEL TO IDENTIFY BANKRUPTCY RISK OF CORPORATIONS 219
EDWARD I. ALT MAN; ROBERT G. HALDEMAN; P. NARAYANAN 9 WHAT DO WE KNOW
ABOUT LOSS GIVEN DEFAULT? 249 TIL SCJNIENNANN 10 PERFORMANCE EVALUATION
FOR CREDIT SPREAD AND DEFAULT RISK MODELS 275 JORGE R. SOBEHART, SEAN C.
KEENAN 11 TESTING RATING ACCURACY 307 BENUI ENGEJMANN, DIRK TASCHE
SECTION 4: STRUCTURED CREDIT PRODUCTS INTRODUCTION 327 DAVID SHIMKO 12
PRICING DERIVATIVES ON FINANCIAL SECURITIES SUBJECT TO CREDIT RISK 333
ROBERT A. JARROW; STUART M. TNRNBULL 13 CREDIT SWAP VALUATION 375
DARRELL DUFFIE 14 COMPARING THE DEPENDENCE STRUCTURE OF EQUITY AND ASSET
RETURNS 403 ROY MASHAL, MARCO NALDI, ASSAFZEEVI 15 AN INTRODUCTION TO
CDO MODELLING AND APPLICATIONS 419 CHRISTIAN BHIHM; LUDGER OVERBECK
SECTION 5: PRACTITIONERS TOOLS FOR MANAGING CREDIT RISK INTRODUCTION 485
DAVID SHITNKO VI CONTENTS 16 CREDIT RISK MODELLING AND VALUATION: AN
INTRODUCTION 487 KAY GIESECKE 17 CONTRIBUTIONS TO CREDIT RISK 527
ALEXAMIRE KURTH; DIRK TASCHE 18 ENHANCING CREDIT PERFORMANCE WITH
MARKET-IMPLIED CREDIT MEASURES AND DEFAULT SWAPS 543 TIM BACKSHALL 19
PRACTICAL USAGE OF CREDIT RISK MODELS IN LOAN PORTFOLIO AND COUNTERPARTY
EXPOSURE MANAGEMENT: AN UPDATE 573 ROBERT A. ] ARROW, DONALD R. VAN
DEZWITER 20 A COMPARISON OF STOCHASTIC DEFAULT RATE MODELS 599
CHRISTOPHER C. FINGER INDEX 629 VII |
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| edition | 2. ed |
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| physical | XXIII, 638 S. graph. Darst. |
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| spelling | Credit risk models and management ed. by David Shimko 2. ed London Risk Books 2004 XXIII, 638 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Credit Management Mathematical models Risk management Mathematical models Kreditrisiko (DE-588)4114309-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditrisiko (DE-588)4114309-7 s DE-604 Shimko, David C. Sonstige oth SWBplus Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016480978&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Credit risk models and management Mathematisches Modell Credit Management Mathematical models Risk management Mathematical models Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4143413-4 |
| title | Credit risk models and management |
| title_auth | Credit risk models and management |
| title_exact_search | Credit risk models and management |
| title_exact_search_txtP | Credit risk models and management |
| title_full | Credit risk models and management ed. by David Shimko |
| title_fullStr | Credit risk models and management ed. by David Shimko |
| title_full_unstemmed | Credit risk models and management ed. by David Shimko |
| title_short | Credit risk |
| title_sort | credit risk models and management |
| title_sub | models and management |
| topic | Mathematisches Modell Credit Management Mathematical models Risk management Mathematical models Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Mathematisches Modell Credit Management Mathematical models Risk management Mathematical models Kreditrisiko Aufsatzsammlung |
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