Derivative credit risk: advances in measurement and management
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | Undetermined |
| Veröffentlicht: |
London
Risk Books
1996
|
| Ausgabe: | Reprint. with minor amendments |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 216 S. graph. Darst. |
| ISBN: | 1899332154 1899332200 |
Internformat
MARC
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| 245 | 1 | 0 | |a Derivative credit risk |b advances in measurement and management |c [Ed.: Robert Jameson. Authors: Alan C. Backman ...] |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-021781788 | ||
Datensatz im Suchindex
| _version_ | 1804144660652752896 |
|---|---|
| adam_text | CONTENTS
Preface 5
Authors 8
QUANTIFYING
AGGREGATE CREDIT EXPOSURE
1 Aggregating Credit Exposures:
The Primary Risk Source Approach 13
David M. Rowe of Bank of America
2 Aggregating Credit Exposures:
The Simulation Approach 23
David Lawrence of Citibank International
PROBABILITY OF DEFAULT
3 Probability of Default:
A Derivatives Perspective 35
Jerome S. Fons and Lea V. Carty
of Moody s Investors Service
4 Managing Default Risk in Portfolios
of Derivatives 49
Stephen Kealhofer of KMV Corporation
PRICING CREDIT RISK:
APPROACHES AND APPLICATIONS
5 Pricing Credit Risk
Introduction 67
John Hull and Alan White of the University of Toronto
and A-J Financial Systems
The Forex Analogy 72
Robert Jarrow and Stuart Turnbull of Cornell University
and Queen s University
The Price of Default 79
John Hull and Alan White of the University of Toronto
and A-J Financial Systems
6 Pricing Default Risk:
The Interest Rate Swap Example 85
Eric H. Sorensen and Thierry F. Bollier of Salomon
Brothers and Long-Term Capital Management
INTEGRATED APPROACHES
TO CREDIT RISK 7 Measuring Credit Risk and Required Capital 99
Douglas J. Lucas of Salomon Swapco Inc
8 Integrated Credit Risk Measurement 109
Robert M.Mark of CIBC
9 Integrated Risk Management 141
James C. Lam of FGIC Capital Market Services Group
NEW STRUCTURES:
OTC CLEARING AND DERIVATIVE
PRODUCT COMPANIES 10 Multilateral Netting and the OTC
Clearing House Concept 159
Evrard Van Hertsen of Renaissance Software
11 Structuring Derivative Product Companies:
Risks and Safeguards 173
Reza Bahar and Mark Gold of Standard Poor s
12 Evaluating Derivative Product Companies 189
Daniel A. Curry, Jeremy A. Gluck, William L. May
and Alan C. Backman of Moody s Investors Service
Appendices 205
Glossary 209
Index 213
|
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| id | DE-604.BV026198907 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T23:07:05Z |
| institution | BVB |
| isbn | 1899332154 1899332200 |
| language | Undetermined |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-021781788 |
| oclc_num | 917593272 |
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| physical | 216 S. graph. Darst. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| publisher | Risk Books |
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| spelling | Derivative credit risk advances in measurement and management [Ed.: Robert Jameson. Authors: Alan C. Backman ...] Reprint. with minor amendments London Risk Books 1996 216 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzinnovation (DE-588)4124975-6 s Kreditrisiko (DE-588)4114309-7 s DE-188 Backman, Alan C. Sonstige oth Jameson, Robert edt HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021781788&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Derivative credit risk advances in measurement and management Kreditrisiko (DE-588)4114309-7 gnd Finanzinnovation (DE-588)4124975-6 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4124975-6 (DE-588)4143413-4 |
| title | Derivative credit risk advances in measurement and management |
| title_auth | Derivative credit risk advances in measurement and management |
| title_exact_search | Derivative credit risk advances in measurement and management |
| title_full | Derivative credit risk advances in measurement and management [Ed.: Robert Jameson. Authors: Alan C. Backman ...] |
| title_fullStr | Derivative credit risk advances in measurement and management [Ed.: Robert Jameson. Authors: Alan C. Backman ...] |
| title_full_unstemmed | Derivative credit risk advances in measurement and management [Ed.: Robert Jameson. Authors: Alan C. Backman ...] |
| title_short | Derivative credit risk |
| title_sort | derivative credit risk advances in measurement and management |
| title_sub | advances in measurement and management |
| topic | Kreditrisiko (DE-588)4114309-7 gnd Finanzinnovation (DE-588)4124975-6 gnd |
| topic_facet | Kreditrisiko Finanzinnovation Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021781788&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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