Advanced financial risk management: tools and techniques for integrated credit risk and interest rate risk management
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Singapore [u.a.]
Wiley
2005
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturver. S. 661 - 666 |
| Physical Description: | IX, 668 S. graph. Darst. |
| ISBN: | 0470821264 9780470821268 |
Staff View
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV035392865 | ||
| 003 | DE-604 | ||
| 005 | 20090514 | ||
| 007 | t | ||
| 008 | 090325s2005 si d||| |||| 00||| eng d | ||
| 010 | |a 2005272877 | ||
| 020 | |a 0470821264 |9 0-470-82126-4 | ||
| 020 | |a 9780470821268 |9 978-0-470-82126-8 | ||
| 035 | |a (OCoLC)57175596 | ||
| 035 | |a (DE-599)BVBBV035392865 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a si |c SG | ||
| 049 | |a DE-355 | ||
| 050 | 0 | |a HG1615.25 | |
| 082 | 0 | |a 658.15/5 |2 22 | |
| 084 | |a QK 600 |0 (DE-625)141666: |2 rvk | ||
| 100 | 1 | |a Van Deventer, Donald R. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Advanced financial risk management |b tools and techniques for integrated credit risk and interest rate risk management |c Donald R. van Deventer ; Kenji Imai ; Mark Mesler |
| 264 | 1 | |a Singapore [u.a.] |b Wiley |c 2005 | |
| 300 | |a IX, 668 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Literaturver. S. 661 - 666 | ||
| 650 | 4 | |a Administración de activo-pasivo | |
| 650 | 4 | |a Administración de créditos | |
| 650 | 4 | |a Administración de riesgos financieros | |
| 650 | 4 | |a Administración del riesgo de las tasas de interés | |
| 650 | 4 | |a Crédit - Gestion | |
| 650 | 7 | |a Financieel management |2 gtt | |
| 650 | 4 | |a Gestion des actifs et des passifs | |
| 650 | 4 | |a Gestion du risque | |
| 650 | 7 | |a Risk management |2 gtt | |
| 650 | 4 | |a Taux d'intérêt - Gestion du risque | |
| 650 | 4 | |a Asset-liability management | |
| 650 | 4 | |a Credit |x Management | |
| 650 | 4 | |a Interest rate risk |x Management | |
| 650 | 4 | |a Financial risk management | |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikokapital |0 (DE-588)4124067-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzmanagement |0 (DE-588)4139075-1 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Risikokapital |0 (DE-588)4124067-4 |D s |
| 689 | 0 | 1 | |a Finanzmanagement |0 (DE-588)4139075-1 |D s |
| 689 | 0 | 2 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 700 | 1 | |a Imai, Kenji |e Verfasser |4 aut | |
| 700 | 1 | |a Mesler, Mark |e Verfasser |4 aut | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017313623&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-017313623 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Record in the Search Index
| _version_ | 1804138816498302976 |
|---|---|
| adam_text | Contents
Introduction
1
Risk Management: Definitions and Objectives
3
CHAPTER
1
A Risk Management Synthesis: Market Risk, Credit Risk,
Liquidity Risk and Asset and Liability Management
5
CHAPTER
2
Risk, Return and Performance
15
CHAPTER
3
Capital Regulation, Risk Management and Performance
47
CHAPTER
4
Interest Rate Risk: Introduction and Overview
65
CHAPTER
5
Interest Rate Risk Mismatching and Hedging
75
CHAPTER
6
Traditional Interest Rate Risk Analysis: Gap Analysis
and Simulation Models
81
CHAPTER
7
Fixed Income Mathematics: The Basic Tools
93
CHAPTER
8
Yield Curve Smoothing
121
Interest Rate Analytics
165
CHAPTER
9
Duration and Convexity
167
CHAPTER
10
Duration as a Term Structure Model
185
CHAPTER
11
The Vasicek and Extended Vasicek Models
199
CHAPTER
12
Alternative Term Structure Models
227
CHAPTER
13
Estimating the Parameters of Term Structure Models
241
yjji
Contents
Credit
Risk Models
257
CHAPTER
14
An Introduction to Credit Risk: Using Market Signals
in Loan Pricing and Performance Measurement
259
CHAPTER
15
Traditional Approaches to Credit Risk: Ratings and
267
Transition Matrices
CHAPTER
16
Structural Credit Models: An Introduction to the
275
Merton Approach
CHAPTERS Reduced Form Credit Models
293
CHAPTER
18
Credit Spread Fitting and Modeling
329
Interest Rate and Credit Model Testing
347
CHAPTER
19
Tests of Credit Models Using Historical Data
349
CHAPTER
20
Tests of Credit Models Using Market Data
373
CHAPTER
21
Tests of Interest Rate Models Using a Credit
381
Risk Approach
Risk Management Applications, Instrument by Instrument
393
CHAPTER
22
Valuing Credit Risky Bonds
395
CHAPTER
23
Credit Derivatives and Collateralized Debt Obligations
403
CHAPTER
24
European Options on Bonds
417
CHAPTER
25
Forward and Futures Contracts
439
CHAPTER
26
European Options on Forward and Futures Contracts
455
CHAPTER
27
Caps and Floors
465
CHAPTER
28
Interest Rate Swaps and Swaptions
471
CHAPTER
29
Exotic Swap and Option Structures
477
CHAPTER
30
American Fixed Income Options
485
CHAPTER
31
Irrational Exercise of Fixed Income Options
507
Contents
¡χ
CHAPTER
32
Mortgage-Backed Securities and Asset-Backed Securities
519
CHAPTER
33
Non-Maturity Deposits
549
CHAPTER
34
Foreign Exchange Markets: A Term Structure
577
Model Approach
CHAPTER
35
The Impact of Collateral on Valuation Models
585
CHAPTER
36
Pricing and Valuing Revolving Credit and
591
Other Facilities
CHAPTER
37
Modeling Common Stock and Convertible Bonds
on a Default-Adjusted Basis
597
CHAPTER
38
Valuing Insurance Policies and Pension Obligations
603
CHAPTER
39
Risk Management Objectives Revisited at the
Portfolio and Company Level
609
CHAPTER
40
Liquidity Risk Analysis and Management
619
CHAPTER
41
Performance Measurement: Plus Alpha versus
631
Transfer Pricing
CHAPTER
42
Managing Institutional Default Risk and Safety and
Soundness
641
CHAPTER
43
Information Technology Considerations
647
CHAPTER
44
Shareholder Value Creation and Destruction
655
Bibliography
661
Index
667
|
| any_adam_object | 1 |
| author | Van Deventer, Donald R. Imai, Kenji Mesler, Mark |
| author_facet | Van Deventer, Donald R. Imai, Kenji Mesler, Mark |
| author_role | aut aut aut |
| author_sort | Van Deventer, Donald R. |
| author_variant | d d r v ddr ddrv k i ki m m mm |
| building | Verbundindex |
| bvnumber | BV035392865 |
| callnumber-first | H - Social Science |
| callnumber-label | HG1615 |
| callnumber-raw | HG1615.25 |
| callnumber-search | HG1615.25 |
| callnumber-sort | HG 41615.25 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)57175596 (DE-599)BVBBV035392865 |
| dewey-full | 658.15/5 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.15/5 |
| dewey-search | 658.15/5 |
| dewey-sort | 3658.15 15 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02524nam a2200637zc 4500</leader><controlfield tag="001">BV035392865</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20090514 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">090325s2005 si d||| |||| 00||| eng d</controlfield><datafield tag="010" ind1=" " ind2=" "><subfield code="a">2005272877</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0470821264</subfield><subfield code="9">0-470-82126-4</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780470821268</subfield><subfield code="9">978-0-470-82126-8</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)57175596</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV035392865</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">si</subfield><subfield code="c">SG</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG1615.25</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">658.15/5</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 600</subfield><subfield code="0">(DE-625)141666:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Van Deventer, Donald R.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Advanced financial risk management</subfield><subfield code="b">tools and techniques for integrated credit risk and interest rate risk management</subfield><subfield code="c">Donald R. van Deventer ; Kenji Imai ; Mark Mesler</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Singapore [u.a.]</subfield><subfield code="b">Wiley</subfield><subfield code="c">2005</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">IX, 668 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturver. S. 661 - 666</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Administración de activo-pasivo</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Administración de créditos</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Administración de riesgos financieros</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Administración del riesgo de las tasas de interés</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Crédit - Gestion</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Financieel management</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Gestion des actifs et des passifs</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Gestion du risque</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risk management</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Taux d'intérêt - Gestion du risque</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Asset-liability management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Credit</subfield><subfield code="x">Management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rate risk</subfield><subfield code="x">Management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial risk management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikokapital</subfield><subfield code="0">(DE-588)4124067-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmanagement</subfield><subfield code="0">(DE-588)4139075-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Risikokapital</subfield><subfield code="0">(DE-588)4124067-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Finanzmanagement</subfield><subfield code="0">(DE-588)4139075-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Imai, Kenji</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Mesler, Mark</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017313623&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-017313623</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield></record></collection> |
| id | DE-604.BV035392865 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:34:12Z |
| institution | BVB |
| isbn | 0470821264 9780470821268 |
| language | English |
| lccn | 2005272877 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017313623 |
| oclc_num | 57175596 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | IX, 668 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Wiley |
| record_format | marc |
| spelling | Van Deventer, Donald R. Verfasser aut Advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management Donald R. van Deventer ; Kenji Imai ; Mark Mesler Singapore [u.a.] Wiley 2005 IX, 668 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturver. S. 661 - 666 Administración de activo-pasivo Administración de créditos Administración de riesgos financieros Administración del riesgo de las tasas de interés Crédit - Gestion Financieel management gtt Gestion des actifs et des passifs Gestion du risque Risk management gtt Taux d'intérêt - Gestion du risque Asset-liability management Credit Management Interest rate risk Management Financial risk management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risikokapital (DE-588)4124067-4 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Risikokapital (DE-588)4124067-4 s Finanzmanagement (DE-588)4139075-1 s Risikomanagement (DE-588)4121590-4 s 1\p DE-604 Imai, Kenji Verfasser aut Mesler, Mark Verfasser aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017313623&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Van Deventer, Donald R. Imai, Kenji Mesler, Mark Advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management Administración de activo-pasivo Administración de créditos Administración de riesgos financieros Administración del riesgo de las tasas de interés Crédit - Gestion Financieel management gtt Gestion des actifs et des passifs Gestion du risque Risk management gtt Taux d'intérêt - Gestion du risque Asset-liability management Credit Management Interest rate risk Management Financial risk management Risikomanagement (DE-588)4121590-4 gnd Risikokapital (DE-588)4124067-4 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4124067-4 (DE-588)4139075-1 |
| title | Advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management |
| title_auth | Advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management |
| title_exact_search | Advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management |
| title_full | Advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management Donald R. van Deventer ; Kenji Imai ; Mark Mesler |
| title_fullStr | Advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management Donald R. van Deventer ; Kenji Imai ; Mark Mesler |
| title_full_unstemmed | Advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management Donald R. van Deventer ; Kenji Imai ; Mark Mesler |
| title_short | Advanced financial risk management |
| title_sort | advanced financial risk management tools and techniques for integrated credit risk and interest rate risk management |
| title_sub | tools and techniques for integrated credit risk and interest rate risk management |
| topic | Administración de activo-pasivo Administración de créditos Administración de riesgos financieros Administración del riesgo de las tasas de interés Crédit - Gestion Financieel management gtt Gestion des actifs et des passifs Gestion du risque Risk management gtt Taux d'intérêt - Gestion du risque Asset-liability management Credit Management Interest rate risk Management Financial risk management Risikomanagement (DE-588)4121590-4 gnd Risikokapital (DE-588)4124067-4 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| topic_facet | Administración de activo-pasivo Administración de créditos Administración de riesgos financieros Administración del riesgo de las tasas de interés Crédit - Gestion Financieel management Gestion des actifs et des passifs Gestion du risque Risk management Taux d'intérêt - Gestion du risque Asset-liability management Credit Management Interest rate risk Management Financial risk management Risikomanagement Risikokapital Finanzmanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017313623&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT vandeventerdonaldr advancedfinancialriskmanagementtoolsandtechniquesforintegratedcreditriskandinterestrateriskmanagement AT imaikenji advancedfinancialriskmanagementtoolsandtechniquesforintegratedcreditriskandinterestrateriskmanagement AT meslermark advancedfinancialriskmanagementtoolsandtechniquesforintegratedcreditriskandinterestrateriskmanagement |